Table 18 Descriptive statistics of \(\tau ^{s}\) (first quartile, second quartile (median), third quartile, mean, standard deviation, asymmetry index) and related censored unit as a function of the threshold M
From: Drawdown-based risk indicators for high-frequency financial volumes
Descriptive statistics of \(\tau ^{s}\)-TESLA | |||||||
|---|---|---|---|---|---|---|---|
\(s=0 (\%)\) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M=30\) | 5 | 7 | 11 | 6.3770 | 7.7314 | -0.2417 | 0 |
\(M=40\) | 5 | 7 | 11 | 6.4524 | 7.7553 | -0.2118 | 0 |
\(M=80\) | 5 | 7 | 12 | 5.0397 | 8.6643 | -0.6788 | 0 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 4 | 8 | 12 | 6.9167 | 8.4828 | -0.3831 | 0 |
\(M=40\) | 4 | 10 | 16 | 8.8095 | 11.4713 | -0.3113 | 0 |
\(M=80\) | 18 | 30 | 54 | 34.6032 | 30.5603 | 0.4519 | 0 |
\(s=50\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 3 | 4 | 5 | 1.8214 | 3.3564 | -1.9472 | 0 |
\(M=40\) | 3 | 5 | 7 | 2.9385 | 4.5669 | -1.3581 | 0 |
\(M=80\) | 6 | 11 | 23 | 14.4643 | 20.6719 | 0.5028 | 0 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 3 | 3.5 | 5 | 1.3730 | 2.7824 | -2.2933 | 0 |
\(M=40\) | 3 | 4 | 5 | 1.8214 | 3.2823 | -1.9912 | 0 |
\(M=80\) | 5 | 8.5 | 17 | 9.6667 | 14.4247 | 0.2426 | 0 |