Table 19 Descriptive statistics of \(\tau ^{s}\) (First Quartile, Second Quartile (Median), Third Quartile, Mean, Standard Deviation, Asymmetry Index) and related censored units as a function of the threshold M. All results refer to Netflix real data
From: Drawdown-based risk indicators for high-frequency financial volumes
Descriptive statistics of \(\tau ^{s}\)-NETFLIX | |||||||
|---|---|---|---|---|---|---|---|
\(s=0\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M=30\) | 4 | 5 | 6 | 4.7302 | 20.3237 | -0.0398 | 0 |
\(M=40\) | 4 | 5 | 6 | 4.9722 | 23.4389 | -0.0036 | 0 |
\(M=80\) | 4 | 5 | 6 | 4.2302 | 13.5855 | -0.1700 | 0.8 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 3 | 4 | 6 | 6.1230 | 21.4727 | 0.2966 | 0 |
\(M=40\) | 4 | 5 | 8 | 7.7857 | 25.6596 | 0.3257 | 0 |
\(M=80\) | 8 | 13 | 30 | 20.3571 | 31.6203 | 0.6980 | 0.8 |
\(s=50\) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 3 | 4 | 5 | 3.4325 | 11.4496 | -0.1102 | 0 |
\(M=40\) | 3 | 4 | 5 | 4.7421 | 20.2230 | 0.1102 | 0 |
\(M=80\) | 5 | 8 | 15 | 12.5754 | 26.0906 | 0.5261 | 1.6 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 3 | 3.5 | 5 | 2.6865 | 11.5271 | -0.2117 | 0 |
\(M=40\) | 3 | 4 | 5 | 3.3571 | 14.9780 | -0.1288 | 0 |
\(M=80\) | 5 | 8 | 14 | 9.4048 | 16.9184 | 0.2491 | 1.6 |