From: Drawdown-based risk indicators for high-frequency financial volumes
Summary of the best statistical model selection | ||||
---|---|---|---|---|
for \(T_c^{s}\)-TESLA | ||||
\(s=0\) | M | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
30% | Lognormal | 0.0877–0.3399 | 0.5806–0.6975 | |
40% | Lognormal | 0.1129–0.3733 | 0.7110–0.8040 | |
80% | Lognormal | 0.1384–0.4066 | 0.9193–0.9602 |
\(s=5\) | M | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
---|---|---|---|---|
30% | Lognormal | 0.9041–0.8164 | 0.6380–0.7215 | |
40% | Lognormal | 1.2313–0.9856 | 0.7868–0.8303 | |
80% | Lognormal | 1.4796–1.0228 | 0.9973–0.9272 |
\(s=50\) | M | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
---|---|---|---|---|
30% | Lognormal | 0.3989–0.5211 | 0.4982–0.6520 | |
40% | Lognormal | 0.5723–0.6550 | 0.6047–0.7115 | |
80% | Lognormal | 0.7741–0.7735 | 0.8020–0.8563 |
\(s=100\) | M | Best model | Real data (\(\mu\), \(\sigma\)) | Simulated data (\(\mu\), \(\sigma\)) |
---|---|---|---|---|
30% | Lognormal | 0.1857–0.3694 | 0.4075–0.5145 | |
40% | Lognormal | 0.3282–0.4584 | 0.4483–0.5883 | |
80% | Lognormal | 0.4978–0.5804 | 0.6265–0.6985 |