Drawdown-based risk indicators for high-frequency financial volumes

Financial Innovation

Table 48 Descriptive statistics of \(S_r^{s}\) (First Quartile, Second Quartile (Median), Third Quartile, Mean, Standard Deviation, Asymmetry Index) and related censored units as a function of s, M and \(M'\)

Descriptive statistics of \(S_r^{s}\)-TESLA with \(M=80\%\)
\(s=0\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0101	0.0436	0.2083	0.0687	0.0987	0.7629	9
\(M'=40\)	0.0099	0.0382	0.1667	0.0584	0.0800	0.7570	8
\(M'=50\)	0.0092	0.0317	0.1250	0.0465	0.0607	0.7336	6

\(s=5\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0303	0.0774	0.2083	0.0979	0.1043	0.5894	0.8
\(M'=40\)	0.0472	0.1167	0.3000	0.0986	0.0883	-0.6153	0
\(M'=50\)	0.0675	0.1250	0.2250	0.0998	0.0657	-1.1503	0

\(s=50\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0189	0.0528	0.1458	0.0826	0.0963	0.9287	0.8
\(M'=40\)	0.0297	0.0733	0.1667	0.0865	0.0805	0.4914	0
\(M'=50\)	0.0317	0.0675	0.2250	0.0757	0.0643	0.3843	0

\(s=100\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0196	0.0528	0.1458	0.0837	0.0986	0.9409	0.8
\(M'=40\)	0.0258	0.0619	0.1667	0.0812	0.0836	0.6938	0.8
\(M'=50\)	0.0240	0.0675	0.2250	0.0653	0.0649	-0.1007	0.8