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)– During (summed volume t-5 to t)– After (summed volume t+1 to t+6)

Density Estimates

-2 0 2 4 6 8 10

x 105

0

1

2

3

4

5

6

7

8x 10

-6 JPM

No JumpsBeforeDuringAfter

0 5 10 15

x 105

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

Volume

IBM

BeforeDuringAfterNo Jump

8 9 10 11 12 13 14 15 160

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

log(Volume)

F(x)

GE

BeforeDuringAfterNo Jump

Kolmogorov–Smirnov testJump vs No Jump (1 tailed)

  Before During After

AAPL 0.0000 0.0000 0.0000

CSCO 0.0000 0.0000 0.0000

CVX 0.0000 0.0000 0.0000

GE 0.0000 0.0000 0.0000

IBM 0.0000 0.0000 0.0000

JNJ 0.0000 0.0000 0.0000

JPM 0.0000 0.0000 0.0000

MSFT 0.0000 0.0000 0.0000

PG 0.0000 0.0000 0.0000

T 0.0000 0.0000 0.0000

XOM 0.0000 0.0000 0.0000

Daily Volume Pattern

0 50 100 150 200 250 300 350 4000.5

1

1.5

2

2.5

3

3.5

4

4.5x 10

4

CVX

0 50 100 150 200 250 300 350 4001

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6x 10

4 JPM

4 6 8 10 12 14 160

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

x

F(x)

Volume Before Jump

JumpsNo Jumps

4 6 8 10 12 14 160

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

x

F(x)

Volume Before2 Jump

JumpsNo Jumps

AAPL

AAPL

Kolmogorov–Smirnov testwith jump

  Before - During During – After (1 tailed) Before – After (1 tailed)

AAPL 0.48550 0.0000 0.0000

CSCO 0.16330 0.00001 0.00240

CVX 0.62050 0.00830 0.04850

GE 0.82930 0.00000 0.0000

IBM 0.25040 0.00000 0.0000

JNJ 0.15900 0.0000 0.0000

JPM 0.10090 0.0000 0.0000

MSFT 0.02760 0.0000 0.00027

PG 0.26070 0.0000 0.0000

T 0.81000 0.0000 0.0000

XOM 0.39030 0.0000 0.00003

Kolmogorov–Smirnov testno jumps

  Before - During During - After Before - After

AAPL 0.59100 0.96930 0.13580

CSCO 0.92750 0.82210 0.18150

CVX 0.12800 1.00000 0.09330

GE 0.02720 0.99990 0.00320

IBM 0.38120 1.00000 0.16460

JNJ 0.02080 1.00000 0.02240

JPM 0.05150 1.00000 0.02590

MSFT 0.25280 0.83740 0.01310

PG 0.04830 1.00000 0.03830

T 0.54500 1.00000 0.03840

XOM 0.04030 1.00000 0.01360

8 9 10 11 12 13 140

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

log(Volume)

F(x)

JNJ No Jumps

BeforeDuringAfter

Mean Volume (5 minutes)  Before During After

  Jump No Jump Jump No Jump Jump No Jump

AAPL 339,450 132,480 368,620 132,800 282,440 133,780

CSCO 1,156,200 613,420 1,288,300 614,680 991,300 618,720

CVX 86,021 55,055 90,754 55,794 71,863 55,844

GE 422,330 210,000 433,530 212,120 344,750 212,770

IBM 178,380 75,356 183,870 75,712 141,760 75,901

JNJ 139,270 72,320 132,480 73,182 105,400 73,178

JPM 175,580 89,123 183,610 90,166 143,090 90,331

MSFT 1,376,000 659,070 1,575,100 664,210 1,258,700 668,110

PG 89,778 50,136 93,023 50,762 73,793 50,829

T 189,340 91,154 197,110 92,146 154,310 92,241

XOM 208,230 133,350 225,080 134,990 166,990 13,523

Median Volume ( 5 minutes)  Before During After

  Jump No Jump Jump No Jump Jump No Jump

AAPL 174,200 78,800 184,479 79,200 137,594 79,413

CSCO 947,100 463,000 1,034,500 464,370 795,100 465,110

CVX 57,423 39,500 61,859 39,800 59,759 39,800

GE 306,550 167,996 312,203 168,499 242,250 168,600

IBM 121,500 55,500 132,100 55,700 102,400 55,800

JNJ 96,000 55,000 87,600 55,200 69,100 55,200

JPM 129,050 69,700 137,440 69,900 100,600 69,900

MSFT 1,093,100 508,932 1,186,900 510,709 903,100 511,203

PG 63,806 36,806 67,700 37,000 52,409 37,000

T 126,510 611,789 126,360 62,186 99,250 62,200

XOM 162,100 107,400 171,775 107,900 132,083 108,000