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Preliminary Data Analysis. Abhinay Sawant February 4, 2009 Economics 201FS. Raw Data. Morgan Stanley (MS): January 17, 2009 – January 7, 2009 742 Days, 119 Imputed Data Points (0.04%) McDonald’s Corp. (MCD): April 17, 2009 – January 7, 2009 2,295 Days, 24,518 Imputed Data Points (2.18%)
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Preliminary Data Analysis Abhinay Sawant February 4, 2009 Economics 201FS
Raw Data • Morgan Stanley (MS): • January 17, 2009 – January 7, 2009 • 742 Days, 119 Imputed Data Points (0.04%) • McDonald’s Corp. (MCD): • April 17, 2009 – January 7, 2009 • 2,295 Days, 24,518 Imputed Data Points (2.18%) • Price data available every minute from 9:35 AM to 3:59 PM for each trading day
Cleaning Up the Raw Data • McDonald's Corp. (MCD): • 2008-07-21: 3:58 pm 59.75 • 2008-07-21: 3:59 pm 59.79 • 2008-07-22: 9:35 am 0.001 • 2008-07-22: 9:36 am 0.001 • 2008-07-22: 9:37 am 59.995 • 2008-07-22: 9:38 am 60.058 • Imputed data for times 9:35 am and 9:36 am
MS Signature Volatility Plot • Not intraday returns, includes overnights
MS Signature Volatility Plot • Not intraday returns, includes overnights
MCD Signature Volatility Plot • Not intraday returns, includes overnights
MCD Signature Volatility Plot • Not intraday returns, includes overnights
MS Returns • Includes overnight returns
MCD Returns • Includes overnight returns
MS Jump Detection: Quad-Power Quarticity • 1% Significance Level = 69 jump days / 742 (9.30%) • 5% Significance Level = 127 jump days / 742 (17.12%) • 10% Significance Level = 171 jump days / 742 (23.05%)
MCD Jump Detection: Quad-Power Quarticity • 1% Significance Level = 458 jump days / 2925 (15.66%) • 5% Significance Level = 724 jump days / 2925 (24.75%) • 10% Significance Level = 859 jump days / 2925 (29.37%)