Table 45 Descriptive statistics of \(R_t^{s}\) (First Quartile, Second Quartile (Median), Third Quartile, Mean, Standard Deviation, Asymmetry Index) and related censored units as a function of s, M and \(M'\)
From: Drawdown-based risk indicators for high-frequency financial volumes
Descriptive statistics of \(R_t^{s}\)-TESLA with \(M=80\%\) | |||||||
|---|---|---|---|---|---|---|---|
\(s=0\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M'=30\) | 2.7488 | 11.6092 | 49.0305 | 113.6171 | 1.1061e+03 | 0.2767 | 9 |
\(M'=40\) | 2.6726 | 10.3439 | 40.0354 | 77.4336 | 574.4651 | 0.3504 | 8 |
\(M'=50\) | 2.5868 | 9.2368 | 32.9820 | 54.7942 | 320.3950 | 0.4266 | 6 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 2.3565 | 6.3275 | 16.9900 | 18.4882 | 50.7585 | 0.7187 | 0.8 |
\(M'=40\) | 1.6357 | 3.8148 | 8.8971 | 8.3900 | 16.4344 | 0.8352 | 0 |
\(M'=50\) | 1.3970 | 2.5049 | 4.5064 | 3.6575 | 3.8794 | 0.8881 | 0 |
\(s=50\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 3.4674 | 9.4963 | 26.0075 | 28.9761 | 83.5318 | 0.6996 | 0.8 |
\(M'=40\) | 2.6693 | 5.9495 | 13.2606 | 12.0532 | 21.2368 | 0.8622 | 0 |
\(M'=50\) | 1.9385 | 4.1887 | 9.0509 | 8.0432 | 13.1848 | 0.8770 | 0 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 3.1460 | 9.0052 | 25.7765 | 30.3669 | 97.7956 | 0.6553 | 0.8 |
\(M'=40\) | 2.3326 | 6.0056 | 15.4623 | 16.0489 | 39.7717 | 0.7556 | 0.8 |
\(M'=50\) | 1.8813 | 4.8365 | 12.4338 | 12.8850 | 31.8165 | 0.7589 | 0.8 |