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High Frequency Data Analysis

High Frequency Data Analysis. Sharon Lee Econ 201 FS February 4, 2009. Data. Procter & Gamble (PG) Number of observations: 1,125,739 April 9, 1997 – January 7, 2009 Oracle Corp (ORCL) Number of observations: 1,124,200 From April 16, 1997 – January 7, 2009 From 9:35 am – 3:59 pm each day

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High Frequency Data Analysis

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  1. High Frequency Data Analysis Sharon Lee Econ 201 FS February 4, 2009

  2. Data • Procter & Gamble (PG) • Number of observations: 1,125,739 • April 9, 1997 – January 7, 2009 • Oracle Corp (ORCL) • Number of observations: 1,124,200 • From April 16, 1997 – January 7, 2009 • From 9:35 am – 3:59 pm each day • 385 observations per day • Price data sampled at one minute

  3. PG Prices by Minute

  4. PG Log Returns

  5. PG RV at 5-min intervals

  6. PG Volatility Signature Plot

  7. PG Jump Test Jumps at 1%: 160 Jumps at 0.1%: 56

  8. ORCL Prices by Minute

  9. ORCL Log Returns

  10. ORCL RV at 5-min intervals

  11. ORCL Volatility Signature Plot

  12. ORCL Jump Test Jumps at 1%: 210 Jumps at 0.1%: 68

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