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Final Presentation

Final Presentation. Siyu Zheng. 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)

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Final Presentation

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  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

  4. Kolmogorov–Smirnov testJump vs No Jump (1 tailed)

  5. CVX Daily Volume Pattern

  6. AAPL AAPL

  7. Kolmogorov–Smirnov testwith jump

  8. Kolmogorov–Smirnov testno jumps

  9. Mean Volume (5 minutes)

  10. Median Volume ( 5 minutes)

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