Table 52 Kullback–Leibler divergence computed on the risk measure \(R_t^{s}\) as a function of M, \(M'\) and s for Tesla, Netflix and Apple
From: Drawdown-based risk indicators for high-frequency financial volumes
Kullback–Leibler divergence for \(R_t^{s}\) with \(M=80\%\) | |||
|---|---|---|---|
\(s=0\) | \(D(P \Vert Q)\) | \(D(P \Vert Q)\) | \(D(P \Vert Q)\) |
\(M'=30\%\) | 0.2660 | 0.1734 | 0.0971 |
\(M'=40\%\) | 0.0466 | 0.2530 | 0.1832 |
\(M'=50\%\) | 0.0186 | 0.4686 | 0.6976 |
\(s=5\) | \(D(P \Vert Q)\) | \(D(P \Vert Q)\) | \(D(P \Vert Q)\) |
|---|---|---|---|
\(M'=30\%\) | 0.4531 | 0.0345 | 0.1690 |
\(M'=40\%\) | 0.4227 | 0.0402 | 0.1428 |
\(M'=50\%\) | 0.7375 | 0.1053 | 0.2298 |
\(s=50\) | \(D(P \Vert Q)\) | \(D(P \Vert Q)\) | \(D(P \Vert Q)\) |
|---|---|---|---|
\(M'=30\%\) | 0.0665 | 0.0155 | 0.0595 |
\(M'=40\%\) | 0.1448 | 0.0037 | 0.0423 |
\(M'=50\%\) | 0.0160 | 0.0210 | 0.0595 |
\(s=100\) | \(D(P \Vert Q)\) | \(D(P \Vert Q)\) | \(D(P \Vert Q)\) |
|---|---|---|---|
\(M'=30\%\) | 0.0225 | 0.0686 | 0.0049 |
\(M'=40\%\) | 0.0259 | 0.0661 | 0.0042 |
\(M'=50\%\) | 0.0321 | 0.0910 | 0.0117 |