1. Data Analysis II
Mingwei Lei
March 3rd, 2010
Econ 201S

2. Things to Improve on From Last Presentation
Explain everything on slides
Include graphs as well as numerical results
Improve the visual presentation of the slides
More ideas for research

3. VZ: Tests Using TP Quarticity
ZTP
0.1% (9.83%)
1% (15.8%)
5% (23.8%)
ZTP , l
0.1% (6.47%)
1% (12.9%)
5% (22.3%)
ZTP , lm
0.1% (5.90%)
1% (11.7%)
5% (21.4%)

4. VZ: Tests Using QP Quarticity
ZQP
0.1% (11.0%)
1% (17.4%)
5% (27.2%)
ZQP, l
0.1% (9.83%)
1% (15.8%)
5% (23.8%)
ZQP, lm
0.1% (9.83%)
1% (15.8%)
5% (23.8%)

5. HPQ: Tests Using TP Quarticity
ZTP
0.1% (10.7%)
1% (16.7%)
5% (25.5%)
ZTP, l
0.1% (7.90%)
1% (15.2%)
5% (26.0%)
ZTP, lm
0.1% (7.22%)
1% (14.6%)
5% (25.4%)

6. HPQ: Tests Using QP Quarticity
ZQP
0.1% (13.7%)
1% (21.1%)
5% (31.3%)
ZQP, l
0.1% (11.1%)
1% (18.0%)
5% (28.9%)
ZQP, lm
0.1% (8.58%)
1% (15.9%)
5% (26.8%)

7. KO: Tests Using TP Quarticity
ZTP
0.1% (9.61%)
1% (15.4%)
5% (24.1%)
ZTP, l
0.1% (7.21%)
1% (14.3%)
5% (25.0%)
ZTP, lm
0.1% (6.57%)
1% (13.5%)
5% (24.2%)

8. KO: Tests Using QP Quarticity
ZQP
0.1% (14.3%)
1% (22.1%)
5% (32.4%)
ZQP, l
0.1% (9.88%)
1% (16.9%)
5% (28.0%)
ZQP, lm
0.1% (7.52%)
1% (14.6%)
5% (25.7%)

9. VZ Jump Detection: Median Test Using TP Quarticity
Results:
0.1% level – 30/2117 (1.42%)
1% level – 75/2117 (3.31%)
5% level – 186/2117 (8.79%)

10. HPQ Jump Detection: Median Test Using TP Quarticity
Results:
0.1% level – 56/2924 (1.9%)
1% level – 115/2924 (3.93%)
5% level – 279/2924 (9.54%)

11. KO Jump Detection: Median Test Using TP Quarticity
Results:
0.1% level – 33/2924 (1.13%)
1% level – 107/2924 (3.66%)
5% level – 261/2924 (8.93%)

12. A Possible Research Topic
It is sometimes said that correlations between stocks increases when the market is tanking
The goal is to explore the empirical relationship between coefficient of correlation between various stocks of similar industries and market returns
Process:
Match up individual stocks’ data and S&P data
Partition data into periods to be analyzed (by week, by month, etc.)
Calculate the market returns for each period
Calculate the coefficient of correlation of returns (hourly, daily, etc) between stocks for each period
Plot coefficient of correlation against returns and find a relationship

13. Another Possible Research Topic
Find relationship between beta and market returns
Process:
Match up individual stocks’ data and S&P data
Partition data into periods to be analyzed (by week, by month, etc.)
Calculate time variant realized betas over periods
Calculate the market returns for each period
Plot realized betas vs. market returns and find a relationship