Table 39 Descriptive statistics of \(T_c^{s}\) (first quartile, second quartile (median), third quartile, mean, standard deviation, asymmetry index) and related censored units as a function of M and s
From: Drawdown-based risk indicators for high-frequency financial volumes
Descriptive statistics of \(T_c^{s}\)-TESLA | |||||||
|---|---|---|---|---|---|---|---|
\(s=0\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M=30\) | 0.8680 | 1.0917 | 1.3729 | 1.1566 | 0.4048 | 0.4812 | 0 |
\(M=40\) | 0.8703 | 1.1195 | 1.4401 | 1.2003 | 0.4641 | 0.5222 | 0 |
\(M=80\) | 0.8730 | 1.11484 | 1.5108 | 1.2474 | 0.5289 | 0.5614 | 0 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 1.4240 | 2.4697 | 4.2834 | 3.4465 | 3.3547 | 0.8735 | 0 |
\(M=40\) | 1.7621 | 3.4257 | 6.6597 | 5.5678 | 7.1339 | 0.9008 | 0 |
\(M=80\) | 2.2028 | 4.3912 | 8.7536 | 7.4087 | 10.0677 | 0.8992 | 0 |
\(s=50\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 1.0486 | 1.4902 | 2.1178 | 1.7069 | 0.9534 | 0.6819 | 0 |
\(M=40\) | 1.1394 | 1.7723 | 2.7569 | 2.1964 | 1.6077 | 0.7913 | 0 |
\(M=80\) | 1.2871 | 2.1686 | 3.6540 | 2.9249 | 2.6470 | 0.8571 | 0 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 0.9385 | 1.2041 | 1.5447 | 1.2891 | 0.4929 | 0.5175 | 0 |
\(M=40\) | 1.0192 | 1.3885 | 1.8915 | 1.5423 | 0.7458 | 0.6187 | 0 |
\(M=80\) | 1.1122 | 1.6451 | 2.4334 | 1.9469 | 1.2322 | 0.7348 | 0 |