$ In the "operate circumstance" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a little) Having said that, the existence of sizeable autocorrelation during the return process would hint that we are able to trade applying futures/linear products over a intraday horizon which https://emilianogvkai.mdkblog.com/39930588/the-best-side-of-pnl