Additional note on the histogram.
Trades from the last 5 days are highlighted separately.
Their holding-time distribution reproduces the previously observed structure: a pronounced concentration in the initial intervals (particularly within ~15 minutes), followed by a monotonic decay in frequency.
For us, this is a meaningful observation.
It suggests short-term reproducibility of the statistical properties of the distribution within the current sample.
At the same time, we are fully aware that this observation is limited to a specific time window and sample, and does not in itself imply long-term stationarity or persistence of these characteristics.
Nevertheless, the recurrence of this distributional shape in a stochastic environment is of particular interest, especially in the context of analyzing tail trades that fall outside the main body of the distribution.
Trades from the last 5 days are highlighted separately.
Their holding-time distribution reproduces the previously observed structure: a pronounced concentration in the initial intervals (particularly within ~15 minutes), followed by a monotonic decay in frequency.
For us, this is a meaningful observation.
It suggests short-term reproducibility of the statistical properties of the distribution within the current sample.
At the same time, we are fully aware that this observation is limited to a specific time window and sample, and does not in itself imply long-term stationarity or persistence of these characteristics.
Nevertheless, the recurrence of this distributional shape in a stochastic environment is of particular interest, especially in the context of analyzing tail trades that fall outside the main body of the distribution.
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