Drawdown-based risk indicators for high-frequency financial volumes

Financial Innovation

Table 43 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 \(S_c^{s}\)-NETFLIX
\(s=0\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M=30\)	0.1250	0.1250	0.2250	0.1026	0.0901	\(-\)0.7453	0
\(M=40\)	0.1667	0.1667	0.3000	0.1351	0.1166	\(-\)0.8130	0
\(M=80\)	0.3333	0.3333	0.6000	0.2525	0.2205	\(-\)1.0997	0.8

\(s=5\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M=30\)	0.0675	0.1250	0.1250	0.1028	0.0697	\(-\)0.9579	0
\(M=40\)	0.0900	0.1167	0.1667	0.1356	0.0899	0.6331	0
\(M=80\)	0.1238	0.2333	0.3333	0.2300	0.1804	\(-\)0.0552	0.8

\(s=50\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M=30\)	0.0875	0.1250	0.2250	0.1065	0.0754	\(-\)0.7351	0
\(M=40\)	0.1167	0.1667	0.3000	0.1398	0.0957	\(-\)0.8430	0
\(M=80\)	0.1800	0.3333	0.6000	0.2560	0.1894	\(-\)1.2255	1.6

\(s=100\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M=30\)	0.1250	0.1250	0.2250	0.1136	0.0781	\(-\)0.4391	0
\(M=40\)	0.1167	0.1667	0.3000	0.1513	0.0965	\(-\)0.4779	0
\(M=80\)	0.2333	0.3333	0.6000	0.2725	0.1905	\(-\)0.9584	1.6