Drawdown-based risk indicators for high-frequency financial volumes

Financial Innovation

Table 42 Descriptive statistics of \(S_c^{s}\) (First Quartile, Second Quartile (Median), Third Quartile, Mean, Standard Deviation, Asymmetry Index) and related censored units as a function of M and s

Descriptive statistics of \(S_c^{s}\)-TESLA
\(s=0\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M=30\)	0.1250	0.2250	0.2250	0.1097	0.1027	\(-\)3.3693	0
\(M=40\%\)	0.1667	0.3000	0.3000	0.1464	0.1305	\(-\)3.5311	0
\(M=80\)	0.3333	0.3333	0.6000	0.2949	0.2489	\(-\)0.4632	0

\(s=5\) (%)	Q1	Q2	Q3	Mean	SD	AI
\(M=30\)	0.0550	0.0875	0.1250	0.1035	0.0648	0.7412
\(M=40\)	0.0536	0.0900	0.1667	0.1157	0.0858	0.8990
\(M=80\)	0.0844	0.1467	0.2333	0.2080	0.1649	1.1161

\(s=50\) (%)	Q1	Q2	Q3	Mean	SD	AI
\(M=30\)	0.0875	0.1250	0.2250	0.1232	0.0707	\(-\)0.0752
\(M=40\)	0.1167	0.1667	0.1667	0.1563	0.0889	\(-\)0.3513
\(M=80\)	0.1800	0.2333	0.3333	0.2883	0.1749	0.9421

\(s=100\) (%)	Q1	Q2	Q3	Mean	SD	AI
\(M=30\)	0.1250	0.1250	0.2250	0.1155	0.0919	\(-\)0.3117
\(M=40\)	0.1667	0.1667	0.3000	0.1645	0.1003	\(-\)0.0659
\(M=80\)	0.2333	0.3333	0.3333	0.3258	0.1789	\(-\)0.1259