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Presentation 3: Median Based Jump Test by Industry Siyu Zheng. Last Time…. AAPL: RV, BV, Med RV. Tripower Quarticity, Med RQ. Max Adjusted TP vs. MedVar. The Stocks. Conglomerates CL, GD, GE, HON, JNJ, KFT, MMM, PG Financials BAC, C, GS, JPM, MS, WFC Oil - PowerPoint PPT Presentation
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Presentation 3:Median Based Jump Test by Industry
Siyu Zheng
Last Time…
0 5 10 15 20 25 300
100
200
300
400
500
600Jumps Count Media Based Test
Time Interval in Minutes
Day
s w
ith J
umps
AAPL: RV, BV, Med RV
0 5 10 15 20 25 300.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5x 10
-3
Med RV
BVRV
Tripower Quarticity, Med RQ
0 5 10 15 20 25 300
1
2
3
4
5
6
7
8
9x 10
-6 Med RQ and Tripower
Max Adjusted TP vs. MedVar
0 5 10 15 20 25 30400
600
800
1000
1200
1400
1600Total Jump Count at 5% Significance
0 5 10 15 20 25 30
100
200
300
400
500
600
700
800
900
1000Jumps Count Media Based Test
Time Interval in Minutes
Day
s w
ith J
umps
5% 1% .1%
5 min699
23.9%
431
14.8%
263
9.0%
10 min699
23.9%
468
16.0%
310
10.6%
0 5 10 15 20 25 300
200
400
600
800
1000
1200P&G Jumps Count Media Based Test
Time Interval in Minutes
Day
s w
ith J
umps
5% 1% .1%
5 min666
22.8%
376
12.9%
209
7.2%
10 min719
24.6%
476
16.3%
288
9.9%
The Stocks Conglomerates
◦ CL, GD, GE, HON, JNJ, KFT, MMM, PG
Financials◦ BAC, C, GS, JPM, MS, WFC
Oil◦ BHI, COP, CVX, DVN, HAL, OXY, SLB, XOM
Pharmaceuticals◦ ABT, AMGN, BMY, GILD, MDT, MRK, PFE
Tech◦ AAPL, AMZN, DELL, EMC, GOOG, HPQ, IBM,
INTC,MSFT, ORCL
Tech IV estimation
0 5 10 15 20 25 304
4.5
5
5.5
6
6.5
7x 10
-4
BV
RVMed RV
Tech Jumps
0 5 10 15 20 25 30100
200
300
400
500
600
700
800
900
Pharmaceuticals IV
0 5 10 15 20 25 30
3
3.5
4
4.5
5
5.5x 10
-4
BV
RV
Med RV
Jumps in Pharmaceuticals
0 5 10 15 20 25 30200
300
400
500
600
700
800
900
1000
1100
Next… Finish industry jump tests Use Median Test on Monte Carlo Simulations
