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High-Frequency Analysis of WFC and PFE

This analysis examines the high-frequency trading data of Wells Fargo (WFC) and Pfizer (PFE). All data has been sanitized to ensure accuracy, removing any days with over 10% flagged invalid values. The study focuses on log returns, utilizing inter-day returns derived from minute-level data. Key findings include daily return comparisons, realized variance, and volatility signature plots for both stocks. Comprehensive visualization of the volatility over time allows for insight into market behavior and underlying patterns in price fluctuations.

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High-Frequency Analysis of WFC and PFE

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  1. High-Frequency Analysis of WFC and PFE Sean Puneky

  2. Assumptions • All data has been scrubbed to remove any day where more than 10% of the values from that day were flagged as invalid • All returns are log returns • Inter-day returns were replaced with the returns from the minute before

  3. Minute-by-Minute PFE Price

  4. Minute-by-Minute WFC Price

  5. Daily Returns: PFE

  6. Daily Returns: WFC

  7. Background Math & Theory • Realized Variance • Volatility Signature Plot • Plot of Realized Volatility vs. Time Measured Over

  8. Volatility Signature Plot: WFC

  9. Volatility Signature Plot: WFC 1-60 minute plot 1-30 day plot

  10. Volatility Signature Plot: WFC

  11. Volatility Signature Plot: PFE

  12. Volatility Signature Plot: PFE 1-60 minute plot 1-30 day plot

  13. Volatility Signature Plot: PFE

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