Analysis Methodologies High- Frequency LCLC as Electrodeless
High Frequency Data Analysis
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High Frequency Data Analysis Sharon Lee Econ 201 FS February 4, 2009
description
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 - PowerPoint PPT Presentation
Transcript of High Frequency Data Analysis
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
