Intra-day variability of the stock market activity versus stationarity   of the financial time series
  We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions of non-stationary process to its stationary counterpart. Hence, we proved that the day seasonality of inter-transaction times extends the memory of as well the process itself as its absolute value. That is, both processes relaxation to zero is longer. 
T. Gubiec and M. Wili\'nski
q-fin.ST physics.data-an q-fin.TR