The intraday momentum is the positive relationship between the first-half hour return of the trading day and the last hour return. This paper documents an intraday momentum that the first and the seventh returns can significantly predict the last half-hour return.
When i use the closing and opening price method, they both have 2263 rows, but when using 16:00 specific time method, there are 2244 rows in this sample period. However, 10:00 always has 2263 rows.The difference is probably due to early market close. Some days (most notably Christmas eve) markets close earlier than 16:00.
I found that there are 3 days every year i need to exclude, which is July 3, Nov29, Dec24, but how to exclude them using the get_pricing function or are there any other method?
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