Table 2: Order flow ratio descriptive statistics at different horizons.

5 minutes10 minutes15 minutes20 minutes25 minutes30 minutes

Mean0.0318450.0278660.0265260.0292780.0257670.020082
Median0.0327960.0434380.0431400.0150800.0013790.023331
Maximum1.0000000.7368420.7099240.6842110.5314290.435780
Minimum−1.000000−0.729167−0.725191−0.531469−0.517647−0.428571
Std. dev.0.3922080.3047380.2707060.2360410.2194070.195233

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