Econ 201 Presentation 2

JNJ: 2923 Days385 Minutes/DayKO: 2924 Days385 Minutes/Day

KO Price By Minute

>> mean(KOprice)

ans =

52.7879

JNJ Price By Minute

>> mean(JNJprice)

ans =

53.2906

JNJ Daily Prices

>> mean(JNJmean)

ans =

53.2906

RV

RV for KO Sampling Every 11 minutes

RV JNJ Sampled Every 11 Minutes

BP

BP KO Sampling Every 11 Minutes

BP JNJ Sampling Every 11 Minutes

BP Overnight JNJ

BP Overnight KO

Difference Between RV and BP for JNJ (Standardized)

Difference Between RV and BP for KO (Standardized)

Difference Between RV and BP for JNJ

Difference Between RV and BP for KO

Future Examination

How does the increased difference between RV and BP when RV and BP

are high affect calculations?

QP for JNJ

QP for KO

Z for JNJ

Z for KO

ContinuationExamine Correlation Between Intraday and Interday VariationExamine Correlation Between RV, BP, and QPExamine Benefits of Differing Variation Techniques

Following Slides for Clarification of Jump

QP Term for JNJ

QP Term for KO