# Intraday Factor Analysis, measuring intraday alpha, etc

I understand that models like the Fama-French 3 factor model are sometimes regressed against portfolio returns to compute an intercept value to understand if the portfolio captures common factors or 'has alpha.' Meaning, individuals can regress a portfolio against these factors to measure alpha: example

I have had trouble finding literature related to use of factors to measure alpha or understand returns in context of intraday trading. For example, if I have a strategy that holds a security or group of securities for 1 hour or 2 hours every so often, how would I measure the alpha of this strategy? Regressing the daily FF factors would not make sense in this context.

How would a high frequency trader of say large cap stocks know if they have a truly profitable strategy or are just capturing factors on a short time frame?

Can anyone please provide information on the use of intraday factors/understanding intraday returns of short-term strategies. Any readings or insights?

I have read about the eeps effect which seems to make this even more challenging.

• One of the factors could be trade imbalances as in Chordia and Subramayam (2000) Nov 25 at 19:27

I will start by coming back to the concept of alpha: it exists jointly with the concept of beta, and both terms are related to the coefficient of a linear regression of the returns of a strategy on "benchmarks" that are meant to be "non diversifiable risks" or "open source returns": $$r(t) = \alpha(t) + \sum_k \beta_k F_k(t) + \epsilon(t).$$