Table 2

Descriptive Statistics for LIFFE Data Set

Training and Holdout Samples
   

R(t)

K

u

t

C

P
  Mean 4.96 4.57 31.905 0.470 0.40 0.79

TRAINONE

 Std. Dev. 0.90 1.14 15.078 0.280 0.53 0.81

N=2000

 Min 3.34 2.50 14.349 0.008 0.00 0.00
  Max 6.54 7.50 72.555 0.981 2.40 3.30
  Mean 4.98 4.56 31.653 0.450 0.40 0.82

HOLDOUT1

 Std. Dev. 0.90 1.10 14.704 0.280 0.53 0.84

N=200

 Min 3.34 2.50 14.349 0.011 0.00 0.00
  Max 6.54 7.25 72.555 0.973 2.06 3.15
  Mean 6.02 5.36 35.629 0.530 0.38 1.04

HOLDOUT2

 Std. Dev. 0.47 1.37 4.640 0.270 0.45 0.86

N=384

 Min 5.25 2.50 28.075 0.175 0.00 0.00
  Max 6.67 8.00 44.205 0.953 1.66 3.08
  Mean 5.99 5.36 36.317 0.510 0.38 1.01

HOLDOUT3

 Std. Dev. 0.48 1.37 3.621 0.270 0.46 0.86

N=320

 Min 5.11 2.50 31.629 0.156 0.00 0.00
  Max 6.71 8.00 41.626 0.926 1.79 3.12
  Mean 5.79 5.36 36.814 0.490 0.43 0.86

HOLDOUT4

 Std. Dev. 0.44 1.37 3.777 0.270 0.51 0.81

N=320

 Min 5.07 2.50 30.247 0.137 0.00 0.00
  Max 6.43 8.00 42.281 0.907 1.81 2.89
  Mean 5.87 5.36 35.264 0.470 0.40 0.91

HOLDOUT5

 Std. Dev. 0.46 1.37 4.156 0.270 0.49 0.83

N=320

 Min 5.05 2.50 30.001 0.118 0.00 0.00
  Max 6.53 8.00 40.759 0.888 1.82 2.97
All variables are as previously defined.

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