Quick analysis of intraday momentum effects on the last 30 minutes of NY trading session via best subset regression. Original idea inspired by paper: "Hedging demand and market intraday momentum" written by Dr. Guido Baltussen, Dr. Zhi Da, Dr. Sten Lammers, and Martin Martens.
Note: Not finished. Barrier of entry to hft/mft for stocks makes me assign a lower priority to this topic.