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We investigate the emergence of a structure in the correlation matrix ofassets' returns as the time-horizon over which returns are computed increasesfrom the minutes to the daily scale. We analyze data from different stockmarkets (New York, Paris, London, Milano) and with different methods. Resultcrucially depends on whether the data is restricted to the ``internal''dynamics of the market, where the ``center of mass'' motion (the market mode)is removed or not. If the market mode is not removed, we find that thestructure emerges, as the time-horizon increases, from splitting a single largecluster. In NYSE we find that when the market mode is removed, the structure ofcorrelation at the daily scale is already well defined at the 5 minutestime-horizon, and this structure accounts for 80 % of the classification ofstocks in economic sectors. Similar results, though less sharp, are found forthe other markets. We also find that the structure of correlations in theovernight returns is markedly different from that of intraday activity.Comment: 12 pages, 17 figure

Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode