High Frequency Data Analysis

Sharon Lee

Econ 201 FS

February 4, 2009

Data

Procter & Gamble (PG) Number of observations: 1,125,739 April 9, 1997 – January 7, 2009

Oracle Corp (ORCL) Number of observations: 1,124,200 From April 16, 1997 – January 7, 2009

From 9:35 am – 3:59 pm each day 385 observations per day Price data sampled at one minute

PG Prices by Minute

PG Log Returns

0 50000 100000 150000 200000

-0.6

-0.4

-0.2

0.0

obs

retu

rns

PG RV at 5-min intervals

0 500 1000 1500 2000 2500 3000

02

00

40

06

00

80

01

00

0

Index

RV

a

PG Volatility Signature Plot

PG Jump Test

Jumps at 1%: 160

Jumps at 0.1%: 56

ORCL Prices by Minute

ORCL Log Returns

ORCL RV at 5-min intervals

ORCL Volatility Signature Plot

ORCL Jump Test

Jumps at 1%: 210

Jumps at 0.1%: 68