Table 40 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 \(T_c^{s}\)-NETFLIX | |||||||
|---|---|---|---|---|---|---|---|
\(s=0\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M=30\) | 0.7852 | 1.1056 | 1.5567 | 1.2574 | 0.6812 | 0.6686 | 0 |
\(M=40\) | 0.7695 | 1.1177 | 1.6236 | 1.3028 | 0.7800 | 0.7116 | 0 |
\(M=80\) | 0.7062 | 1.1300 | 1.8081 | 1.4406 | 1.1391 | 0.8180 | 0.8 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 1.0337 | 1.8152 | 3.1876 | 2.5719 | 2.5815 | 0.8794 | 0 |
\(M=40\) | 1.2095 | 2.1593 | 3.8551 | 3.1236 | 3.2650 | 0.8860 | 0 |
\(M=80\) | 1.3372 | 2.7710 | 5.7423 | 4.9665 | 7.3875 | 0.8916 | 0.8 |
\(s=50\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 0.8705 | 1.3836 | 2.1992 | 1.7519 | 1.3605 | 0.8120 | 0 |
\(M=40\) | 0.9395 | 1.5825 | 2.6657 | 2.1337 | 1.9296 | 0.8569 | 0 |
\(M=80\) | 0.9440 | 1.7624 | 3.9204 | 2.7049 | 3.1492 | 0.8978 | 1.6 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 0.9075 | 1.3197 | 1.9190 | 1.5395 | 0.9248 | 0.7131 | 0 |
\(M=40\) | 0.9672 | 1.4881 | 2.2896 | 1.8249 | 1.2954 | 0.7800 | 0 |
\(M=80\) | 0.9427 | 1.6384 | 2.8475 | 2.2921 | 2.2427 | 0.8745 | 1.6 |