Table 46 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 \(R_t^{s}\)-NETFLIX with \(M=80\%\) | |||||||
|---|---|---|---|---|---|---|---|
\(s=0\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M'=30\) | 2.8232 | 15.6116 | 86.3785 | 389.0448 | 9.6845e+03 | 0.1157 | 11 |
\(M'=40\) | 2.7832 | 14.8426 | 79.1529 | 322.7627 | 7.0113e+03 | 0.1318 | 10 |
\(M'=50\) | 2.7576 | 14.5778 | 76.7872 | 302.9809 | 6.2898e+03 | 0.1376 | 10 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 3.4569 | 11.5814 | 38.8001 | 57.7387 | 282.0047 | 0.4910 | 2 |
\(M'=40\) | 2.5773 | 8.0615 | 25.2155 | 33.6608 | 136.4602 | 0.5628 | 1.6 |
\(M'=50\) | 1.8586 | 5.1929 | 14.5087 | 16.5688 | 50.2015 | 0.6798 | 0.8 |
\(s=50\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 3.6872 | 11.2245 | 34.1699 | 43.8237 | 165.3929 | 0.5913 | 2 |
\(M'=40\) | 2.9838 | 8.5156 | 24.3029 | 28.5199 | 91.1597 | 0.6583 | 2 |
\(M'=50\) | 2.2512 | 6.5483 | 19.0471 | 22.9231 | 76.9016 | 0.6388 | 2 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 2.6446 | 8.1882 | 25.3524 | 33.3320 | 131.5271 | 0.5735 | 3 |
\(M'=40\) | 2.2550 | 6.7768 | 20.3659 | 25.6420 | 93.5750 | 0.6048 | 2 |
\(M'=50\) | 1.6783 | 5.0637 | 15.2784 | 19.3458 | 71.3335 | 0.6003 | 2 |