Drawdown-based risk indicators for high-frequency financial volumes

Financial Innovation

Table 49 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 \(S_r^{s}\)-NETFLIX with \(M=80\%\)
\(s=0\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0958	0.0323	0.2083	0.0588	0.0954	0.8335	11
\(M'=40\)	0.0050	0.0276	0.1667	0.0481	0.0768	0.8005	10
\(M'=50\)	0.0039	0.0207	0.1250	0.0364	0.0577	0.8137	10

\(s=5\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0130	0.0436	0.1458	0.0730	0.0966	0.9153	2
\(M'=40\)	0.0157	0.0472	0.1667	0.0679	0.0818	0.7576	1.6
\(M'=50\)	0.0207	0.0550	0.2250	0.0611	0.0648	0.2843	0.8

\(s=50\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0145	0.0436	0.1458	0.0753	0.0954	0.9989	2
\(M'=40\)	0.0163	0.0472	0.1167	0.0686	0.0798	0.8023	2
\(M'=50\)	0.0154	0.0464	0.1250	0.0561	0.0629	0.4591	2

\(s=100\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0196	0.0590	0.2083	0.0847	0.1018	0.7565	3
\(M'=40\)	0.0195	0.0619	0.1667	0.0729	0.0837	0.3939	2
\(M'=50\)	0.0194	0.0550	0.2250	0.0589	0.0652	0.1809	2