In this brief research paper, I explore patterns in intraday return and volume correlation between the S&P 500 and sector indices, as represented by minutely data from Aug. 23 to Oct. 1 for the SPDR exchange-traded funds. Notably, there is evidence of two previously unreported time-of-day...

We present an adjusted method for calculating the eigenvalues of a time-dependent return correlation matrix that produces a more stationary distribution of eigenvalues. First, we compare the normalized maximum eigenvalue time series of the market-adjusted return correlation matrix to that of...