---
title: How Long is Five Minutes?
url: https://www.ml-quant.com/papers/ssrn/7667218/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-30
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7667218
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7667218
featured: 2026-10-30
citations: unknown
topic: Derivatives & Volatility
---


# How Long is Five Minutes?

Validating against event-contract settlement data, the five-minute midquote captures only 68.7% of true price impact and significantly misprices thin markets, challenging the convention.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7667218
- Identifier: SSRN 7667218
- Released: 2026-10-30
- First featured: Quant Letter No. 137 (2026-10-30): https://www.ml-quant.com/issues/2026-10-30/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Kedar Sahu

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