Drawdown-based risk indicators for high-frequency financial volumes

Financial Innovation

Table 50 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 \(S_r^{s}\)-APPLE with \(M=80\%\)
\(s=0\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0064	0.0345	0.2083	0.0603	0.0959	0.8062	12
\(M'=40\)	0.0058	0.0297	0.1667	0.0498	0.0776	0.7768	11
\(M'=50\)	0.0047	0.0240	0.1250	0.0381	0.0587	0.7203	11

\(s=5\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0159	0.0436	0.1458	0.0762	0.0933	1.0486	0.8
\(M'=40\)	0.0229	0.0619	0.1667	0.0783	0.0812	0.6074	0.8
\(M'=50\)	0.0354	0.0675	0.2250	0.0764	0.0643	0.4164	0.8

\(s=50\) (%)	Q1	Q2	Q3	Mean	SD	AI
\(M'=30\)	0.0244	0.0590	0.1458	0.0903	0.0970	0.9669
\(M'=40\)	0.0258	0.0619	0.1667	0.0821	0.0809	0.7501
\(M'=50\)	0.0317	0.0675	0.1250	0.0750	0.0637	0.3517

\(s=100\) (%)	Q1	Q2	Q3	Mean	SD	AI	Censoring rate (%)
\(M'=30\)	0.0154	0.0436	0.1125	0.0756	0.0931	1.0335	1.6
\(M'=40\)	0.0186	0.0536	0.1667	0.0723	0.0803	0.6994	1.6
\(M'=50\)	0.0194	0.0550	0.1250	0.0612	0.0635	0.2911	1.6