Table 1: Order flow descriptive statistics at different horizons.

5 minutes10 minutes15 minutes20 minutes25 minutes30 minutes

Mean0.8816671.7633332.6450003.5266674.4083335.290000
Median1.5000005.0000008.0000004.0000001.0000006.000000
Maximum215.0000269.0000356.0000410.0000283.0000324.0000
Minimum−234.0000−197.0000−321.0000−279.0000−345.0000−366.0000
Std. dev.39.6405558.9486576.6721190.37102102.3269115.9329

This table reports some summary statistics for order flow, measured in millions of dollars, at 5-minute frequency, and aggregated to 10-minute, 15-minute, 20-minute, 25-minute, and 30-minute frequencies.