Consider the tick-by-tick trade data of Starbucks stock from December 20 to December 31, 2014. The data are in the le taq-t-sbuxdec2031-2014.txt.(a). Use the data within the normal trading hours only, i.e. from 9:30 am to 4:00 pm Eastern time, to construct a series of intraday 5-minute log returns. If there isno trading within a 5-minute interval, assume that the log return is zero. If there are multiple trades in a 5-minute interval, use the last trade to obtain the pricefor that interval. Plot the log return series.(b). Are there any serial correlations in the intra-day 5-minute log return series? Use Q(10) to perform the test.(c). Use 5-minute intraday log returns to compute the realized volatility for each of the trading days.(d). Use 1-minute intraday log returns to compute the realized volatility for each of the trading days.3. Again, consider the tick-by-tick trade data of Starbucks from December 20 to December 31, 2014.(a). Construct the series of the number of trades within a 5-minute interval. Use data in the normal trading hours only.(b). Compute the ACF of the constructed time series, say from lag 1 to lag 310. Is there any evidence of a diurnal pattern? [No formal is needed. Simply comment on the ACF plot.]
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