Table 20 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 Apple real data
From: Drawdown-based risk indicators for high-frequency financial volumes
Descriptive statistics of \(\tau ^{s}\)-APPLE | |||||||
|---|---|---|---|---|---|---|---|
\(s=0\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M=30\) | 2 | 4 | 5 | 2.7500 | 7.0612 | -0.5311 | 0 |
\(M=40\) | 2 | 4 | 5 | 2.8413 | 7.2456 | -0.4798 | 0 |
\(M=80\) | 2 | 4 | 5 | 3.4444 | 8.4238 | -0.9101 | 0 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 4 | 5 | 8 | 4.4048 | 7.4041 | -0.2412 | 0 |
\(M=40\) | 4 | 7 | 10 | 5.8849 | 8.1405 | -0.4109 | 0 |
\(M=80\) | 14 | 27.5 | 56 | 35.9087 | 38.4186 | 0.6566 | 0 |
\(s=50\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 3 | 4 | 5 | 1.9966 | 3.4151 | -1.7604 | 0 |
\(M=40\) | 3 | 4 | 6 | 3.2262 | 4.8787 | -1.0907 | 0 |
\(M=80\) | 8 | 14 | 26 | 21.4246 | 32.8473 | 0.6781 | 1.6 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 3 | 4 | 5 | 1.9286 | 3.2494 | -1.9125 | 0 |
\(M=40\) | 4 | 5 | 6 | 2.7659 | 4.0753 | -1.6446 | 0 |
\(M=80\) | 8 | 12.5 | 25 | 15.9048 | 22.4812 | 0.4543 | 0 |