Table 8 Open in new tab Descriptive...

	Frequency	n	0s	${\hat{π}}_{0}$	${\hat{ρ}}_{i} (1)$	T	$\max_{s} {\| {\hat{ρ}}_{s t} (1) \|}$	S
Amazon:	Hourly	1 750	10	0.006	0.497	250	0.016	7
	30-minute	3 500	22	0.006	0.634	250	0.016	14
	15-minute	6 750	44	0.007	0.748	250	0.020	27
	5-minute	19 750	138	0.007	0.752	250	0.146	79
	1-minute	97 750	1 199	0.012	0.458	250	0.325	391
Facebook:	Hourly	1 750	11	0.006	0.543	250	0.020	7
	30-minute	3 500	29	0.008	0.513	250	0.020	14
	15-minute	6 750	93	0.014	0.357	250	0.033	27
	5-minute	19 750	336	0.017	0.316	250	0.184	79
	1-minute	97 750	3 094	0.032	0.186	250	0.496	391
Microsoft:	Hourly	1 750	14	0.008	0.424	250	0.016	7
	30-minute	3 500	41	0.012	0.383	250	0.025	14
	15-minute	6 750	103	0.015	0.339	250	0.238	27
	5-minute	19 750	486	0.025	0.217	250	0.184	79
	1-minute	97 750	4 702	0.048	0.130	250	0.239	391
Tesla:	Hourly	1 743	12	0.007	0.413	249	0.021	7
	30-minute	3 486	26	0.007	0.535	249	0.016	14
	15-minute	6 723	62	0.009	0.512	249	0.118	27
	5-minute	19 671	217	0.011	0.478	249	0.238	79
	1-minute	97 359	1 632	0.017	0.339	249	0.193	391
IBM:	Hourly	1 764	39	0.022	0.135	252	0.037	7
	30-minute	3 528	91	0.026	0.177	252	0.146	14
	15-minute	6 804	260	0.038	0.128	252	0.167	27
	5-minute	19 908	1 306	0.066	0.070	252	0.276	79
	1-minute	98 532	13 205	0.134	0.069	252	0.232	391

Frequency

{\hat{π}}_{0}

{\hat{ρ}}_{i} (1)

\max_{s} {| {\hat{ρ}}_{s t} (1) |}

Amazon:

Hourly

1 750

0.006

0.497

250

0.016

30-minute

3 500

0.006

0.634

250

0.016

15-minute

6 750

0.007

0.748

250

0.020

5-minute

19 750

138

0.007

0.752

250

0.146

1-minute

97 750

1 199

0.012

0.458

250

0.325

391

Facebook:

Hourly

1 750

0.006

0.543

250

0.020

30-minute

3 500

0.008

0.513

250

0.020

15-minute

6 750

0.014

0.357

250

0.033

5-minute

19 750

336

0.017

0.316

250

0.184

1-minute

97 750

3 094

0.032

0.186

250

0.496

391

Microsoft:

Hourly

1 750

0.008

0.424

250

0.016

30-minute

3 500

0.012

0.383

250

0.025

15-minute

6 750

103

0.015

0.339

250

0.238

5-minute

19 750

486

0.025

0.217

250

0.184

1-minute

97 750

4 702

0.048

0.130

250

0.239

391

Tesla:

Hourly

1 743

0.007

0.413

249

0.021

30-minute

3 486

0.007

0.535

249

0.016

15-minute

6 723

0.009

0.512

249

0.118

5-minute

19 671

217

0.011

0.478

249

0.238

1-minute

97 359

1 632

0.017

0.339

249

0.193

391

IBM:

Hourly

1 764

0.022

0.135

252

0.037

30-minute

3 528

0.026

0.177

252

0.146

15-minute

6 804

260

0.038

0.128

252

0.167

5-minute

19 908

1 306

0.066

0.070

252

0.276

1-minute

98 532

13 205

0.134

0.069

252

0.232

391

	Frequency	n	0s	${\hat{π}}_{0}$	${\hat{ρ}}_{i} (1)$	T	$\max_{s} {\| {\hat{ρ}}_{s t} (1) \|}$	S
Amazon:	Hourly	1 750	10	0.006	0.497	250	0.016	7
	30-minute	3 500	22	0.006	0.634	250	0.016	14
	15-minute	6 750	44	0.007	0.748	250	0.020	27
	5-minute	19 750	138	0.007	0.752	250	0.146	79
	1-minute	97 750	1 199	0.012	0.458	250	0.325	391
Facebook:	Hourly	1 750	11	0.006	0.543	250	0.020	7
	30-minute	3 500	29	0.008	0.513	250	0.020	14
	15-minute	6 750	93	0.014	0.357	250	0.033	27
	5-minute	19 750	336	0.017	0.316	250	0.184	79
	1-minute	97 750	3 094	0.032	0.186	250	0.496	391
Microsoft:	Hourly	1 750	14	0.008	0.424	250	0.016	7
	30-minute	3 500	41	0.012	0.383	250	0.025	14
	15-minute	6 750	103	0.015	0.339	250	0.238	27
	5-minute	19 750	486	0.025	0.217	250	0.184	79
	1-minute	97 750	4 702	0.048	0.130	250	0.239	391
Tesla:	Hourly	1 743	12	0.007	0.413	249	0.021	7
	30-minute	3 486	26	0.007	0.535	249	0.016	14
	15-minute	6 723	62	0.009	0.512	249	0.118	27
	5-minute	19 671	217	0.011	0.478	249	0.238	79
	1-minute	97 359	1 632	0.017	0.339	249	0.193	391
IBM:	Hourly	1 764	39	0.022	0.135	252	0.037	7
	30-minute	3 528	91	0.026	0.177	252	0.146	14
	15-minute	6 804	260	0.038	0.128	252	0.167	27
	5-minute	19 908	1 306	0.066	0.070	252	0.276	79
	1-minute	98 532	13 205	0.134	0.069	252	0.232	391

Table 8

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Descriptive statistics of intraday stock market data: Main trading hours, that is, from 09:30 EST to 16:00 EST (see Section 3.2)

	Frequency	n	0s	${\hat{π}}_{0}$	${\hat{ρ}}_{i} (1)$	T	$\max_{s} {\| {\hat{ρ}}_{s t} (1) \|}$	S
Amazon:	Hourly	1 750	10	0.006	0.497	250	0.016	7
	30-minute	3 500	22	0.006	0.634	250	0.016	14
	15-minute	6 750	44	0.007	0.748	250	0.020	27
	5-minute	19 750	138	0.007	0.752	250	0.146	79
	1-minute	97 750	1 199	0.012	0.458	250	0.325	391
Facebook:	Hourly	1 750	11	0.006	0.543	250	0.020	7
	30-minute	3 500	29	0.008	0.513	250	0.020	14
	15-minute	6 750	93	0.014	0.357	250	0.033	27
	5-minute	19 750	336	0.017	0.316	250	0.184	79
	1-minute	97 750	3 094	0.032	0.186	250	0.496	391
Microsoft:	Hourly	1 750	14	0.008	0.424	250	0.016	7
	30-minute	3 500	41	0.012	0.383	250	0.025	14
	15-minute	6 750	103	0.015	0.339	250	0.238	27
	5-minute	19 750	486	0.025	0.217	250	0.184	79
	1-minute	97 750	4 702	0.048	0.130	250	0.239	391
Tesla:	Hourly	1 743	12	0.007	0.413	249	0.021	7
	30-minute	3 486	26	0.007	0.535	249	0.016	14
	15-minute	6 723	62	0.009	0.512	249	0.118	27
	5-minute	19 671	217	0.011	0.478	249	0.238	79
	1-minute	97 359	1 632	0.017	0.339	249	0.193	391
IBM:	Hourly	1 764	39	0.022	0.135	252	0.037	7
	30-minute	3 528	91	0.026	0.177	252	0.146	14
	15-minute	6 804	260	0.038	0.128	252	0.167	27
	5-minute	19 908	1 306	0.066	0.070	252	0.276	79
	1-minute	98 532	13 205	0.134	0.069	252	0.232	391

	Frequency	n	0s	${\hat{π}}_{0}$	${\hat{ρ}}_{i} (1)$	T	$\max_{s} {\| {\hat{ρ}}_{s t} (1) \|}$	S
Amazon:	Hourly	1 750	10	0.006	0.497	250	0.016	7
	30-minute	3 500	22	0.006	0.634	250	0.016	14
	15-minute	6 750	44	0.007	0.748	250	0.020	27
	5-minute	19 750	138	0.007	0.752	250	0.146	79
	1-minute	97 750	1 199	0.012	0.458	250	0.325	391
Facebook:	Hourly	1 750	11	0.006	0.543	250	0.020	7
	30-minute	3 500	29	0.008	0.513	250	0.020	14
	15-minute	6 750	93	0.014	0.357	250	0.033	27
	5-minute	19 750	336	0.017	0.316	250	0.184	79
	1-minute	97 750	3 094	0.032	0.186	250	0.496	391
Microsoft:	Hourly	1 750	14	0.008	0.424	250	0.016	7
	30-minute	3 500	41	0.012	0.383	250	0.025	14
	15-minute	6 750	103	0.015	0.339	250	0.238	27
	5-minute	19 750	486	0.025	0.217	250	0.184	79
	1-minute	97 750	4 702	0.048	0.130	250	0.239	391
Tesla:	Hourly	1 743	12	0.007	0.413	249	0.021	7
	30-minute	3 486	26	0.007	0.535	249	0.016	14
	15-minute	6 723	62	0.009	0.512	249	0.118	27
	5-minute	19 671	217	0.011	0.478	249	0.238	79
	1-minute	97 359	1 632	0.017	0.339	249	0.193	391
IBM:	Hourly	1 764	39	0.022	0.135	252	0.037	7
	30-minute	3 528	91	0.026	0.177	252	0.146	14
	15-minute	6 804	260	0.038	0.128	252	0.167	27
	5-minute	19 908	1 306	0.066	0.070	252	0.276	79
	1-minute	98 532	13 205	0.134	0.069	252	0.232	391

n, number of intraday returns. 0s, number of intraday zeros. ${\hat{π}}_{0}$ ⁠, proportion of intraday zeros. ${\hat{ρ}}_{i} (1)$ ⁠, sample correlation between $I_{i}$ and $I_{i - 1}$ ⁠. T, number of days. ${\hat{ρ}}_{s t} (1)$ ⁠, sample correlation between $I_{s t}$ and $I_{s, t - 1}$ ⁠. S, number of intraday periods. All computations in R.

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