Table 41 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 \(T_c^{s}\)-APPLE | |||||||
|---|---|---|---|---|---|---|---|
\(s=0\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M=30\) | 0.9352 | 1.0336 | 1.1422 | 1.0450 | 0.1557 | 0.2199 | 0 |
\(M=40\) | 0.8968 | 1.0507 | 1.2311 | 1.0801 | 0.2573 | 0.3428 | 0 |
\(M=80\) | 0.8783 | 1.0800 | 1.3281 | 1.1320 | 0.3553 | 0.4386 | 0 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 1.1550 | 1.8071 | 2.8272 | 2.2521 | 1.6752 | 0.7971 | 0 |
\(M=40\) | 1.3051 | 2.2282 | 3.8043 | 3.0517 | 2.8558 | 0.8942 | 0 |
\(M=80\) | 1.4673 | 2.6912 | 4.9361 | 4.0324 | 4.4995 | 0.8577 | 0 |
\(s=50\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 1.0093 | 1.3675 | 1.8530 | 1.5135 | 0.7178 | 0.6102 | 0 |
\(M=40\) | 1.0942 | 1.6748 | 2.5635 | 2.0439 | 1.4296 | 0.7744 | 0 |
\(M=80\) | 1.3212 | 2.2284 | 3.7585 | 3.0090 | 2.7302 | 0.8577 | 0 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M=30\) | 1.0179 | 1.4215 | 1.9850 | 1.6068 | 0.8469 | 0.6566 | 0 |
\(M=40\) | 1.1035 | 1.6441 | 2.4495 | 1.9580 | 1.2662 | 0.7436 | 0 |
\(M=80\) | 1.2007 | 1.9402 | 3.1352 | 2.4991 | 2.0288 | 0.8264 | 0 |