I’ve just released a new revision of my working paper, Intraday Correlation Patterns Between the S&P 500 and Sector Indices, which you can download by clicking the link.  Here are a few of the improvements in the new revision:

  • I’ve updated the paper to include minutely data from August 23rd to October 1st.  This has effectively doubled the size of the dataset.  Furthermore, the sample now includes both up and down weeks.
  • I’ve added two-sample K-S and Wilcoxon rank-sum tests to show more rigorously that the patterns observed in return and volume correlation are significant at the \alpha=0.001 level.
  • The paper now includes many more references to relevant existing literature.  If you think I’ve missed a paper that should be included, please let me know!

You can cite the paper in its current form as:

Bommarito, Michael James, Intraday Correlation Patterns between the S&P 500 and Sector Indices (September 16, 2010). Available at SSRN: http://ssrn.com/abstract=1677915

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