JOURACA_SP_2017

Analysis of High-Frequency Financial
Market Data
Alexander Theodore
The research that we will be conducting
seeks to improve upon previous
studies of the role implied and realized
volatility have as estimators of
future volatility. Utilizing the Bloomberg
Terminal System, transactional
level data of the DOW Jones Industrial
30 will be extracted from the previous
year (June 2015 through June
2016). Once the data has been compiled
into a uniform format, realized
variance estimators can be used to
calculate the volatility at various time
intervals, i.e. 1 minute, 5 minutes, 15
minutes, etc. Furthermore, rangebased
estimators can be used to analyze
the realized variance for each interval
size, with an "interval size"
representing the amount of trades
within a specified period. The focus
of this research is the return volatility
of the DOW Jones Industrial 30.
However, if warranted, the research
can be extended across other indexes,
such as the S&P 100 index and the
S&P 500.
Department of Finance
Mentor: Alan Chow
Management
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