Table 47 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 \(R_t^{s}\)-APPLE with \(M=80\%\) | |||||||
|---|---|---|---|---|---|---|---|
\(s=0\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
\(M'=30\) | 2.8495 | 14.9498 | 78.4341 | 306.2351 | 6.2655e+03 | 0.1395 | 12 |
\(M'=40\) | 2.6831 | 13.6672 | 69.6175 | 251.6335 | 4.6261e+03 | 0.1543 | 11 |
\(M'=50\) | 2.5477 | 12.7777 | 64.0845 | 222.6104 | 3.8719e+03 | 0.1626 | 11 |
\(s=5\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 3.9719 | 11.1898 | 31.5239 | 36.3805 | 112.5476 | 0.6715 | 0.8 |
\(M'=40\) | 2.7016 | 6.7808 | 17.0197 | 17.1997 | 40.0940 | 0.7796 | 0.8 |
\(M'=50\) | 1.9236 | 4.1280 | 8.8586 | 7.8352 | 12.6401 | 0.8799 | 0.8 |
\(s=50\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 3.2737 | 8.1645 | 20.3619 | 20.4437 | 46.9310 | 0.7849 | 0 |
\(M'=40\) | 2.6989 | 6.3796 | 15.0796 | 14.3884 | 29.0873 | 0.8260 | 0 |
\(M'=50\) | 2.0327 | 4.3645 | 9.3711 | 8.2915 | 13.3931 | 0.8796 | 0 |
\(s=100\) (%) | Q1 | Q2 | Q3 | Mean | SD | AI | Censoring rate (%) |
|---|---|---|---|---|---|---|---|
\(M'=30\) | 4.0080 | 11.3441 | 32.1078 | 32.2761 | 116.6773 | 0.6668 | 1.6 |
\(M'=40\) | 2.8912 | 7.7920 | 21.0002 | 22.9520 | 63.5914 | 0.7152 | 1.6 |
\(M'=50\) | 2.1594 | 5.7150 | 15.1256 | 16.1873 | 42.8962 | 0.7324 | 1.6 |