1. Final Presentation Siyu Zheng

2. Continuing from last time… Looked at volumes of largest stocks (by MCap) in S&P 100 – AAPL, CSCO, CVX, GE, IBM, JNJ, JPM, MSFT, PG, T, XOM 3 volumes were calculated for each jump test statistic at time t – Before (summed volume t-11 to t-6) – During (summed volume t-5 to t) – After (summed volume t+1 to t+6)

3. Density Estimates

5. Kolmogorov–Smirnov test Jump vs No Jump (1 tailed) BeforeDuringAfter AAPL0.0000 CSCO0.0000 CVX0.0000 GE0.0000 IBM0.0000 JNJ0.0000 JPM0.0000 MSFT0.0000 PG0.0000 T XOM0.0000

6. Daily Volume Pattern CVX

7. AAPL

8. Kolmogorov–Smirnov test with jump Before - DuringDuring – After (1 tailed)Before – After (1 tailed) AAPL 0.48550 0.0000 CSCO 0.163300.000010.00240 CVX 0.620500.008300.04850 GE 0.829300.00000 0.0000 IBM 0.250400.00000 0.0000 JNJ 0.15900 0.0000 JPM 0.10090 0.0000 MSFT 0.02760 0.0000 0.00027 PG 0.26070 0.0000 T 0.81000 0.0000 XOM 0.39030 0.0000 0.00003

9. Kolmogorov–Smirnov test no jumps Before - DuringDuring - AfterBefore - After AAPL 0.591000.969300.13580 CSCO 0.927500.822100.18150 CVX 0.128001.000000.09330 GE 0.027200.999900.00320 IBM 0.381201.000000.16460 JNJ 0.020801.000000.02240 JPM 0.051501.000000.02590 MSFT 0.252800.837400.01310 PG 0.048301.000000.03830 T 0.545001.000000.03840 XOM 0.040301.000000.01360

11. Mean Volume (5 minutes) BeforeDuringAfter JumpNo JumpJumpNo JumpJumpNo Jump AAPL 339,450132,480368,620132,800282,440133,780 CSCO 1,156,200613,4201,288,300614,680991,300618,720 CVX 86,02155,05590,75455,79471,86355,844 GE 422,330210,000433,530212,120344,750212,770 IBM 178,38075,356183,87075,712141,76075,901 JNJ 139,27072,320132,48073,182105,40073,178 JPM 175,58089,123183,61090,166143,09090,331 MSFT 1,376,000659,0701,575,100664,2101,258,700668,110 PG 89,77850,13693,02350,76273,79350,829 T 189,34091,154197,11092,146154,31092,241 XOM 208,230133,350225,080134,990166,99013,523

12. Median Volume ( 5 minutes) BeforeDuringAfter JumpNo JumpJumpNo JumpJumpNo Jump AAPL 174,20078,800184,47979,200137,59479,413 CSCO 947,100463,0001,034,500464,370795,100465,110 CVX 57,42339,50061,85939,80059,75939,800 GE 306,550167,996312,203168,499242,250168,600 IBM 121,50055,500132,10055,700102,40055,800 JNJ 96,00055,00087,60055,20069,10055,200 JPM 129,05069,700137,44069,900100,60069,900 MSFT 1,093,100508,9321,186,900510,709903,100511,203 PG 63,80636,80667,70037,00052,40937,000 T 126,510611,789126,36062,18699,25062,200 XOM 162,100107,400171,775107,900132,083108,000