Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Risk diversification: a study of persistence with a filtered
  correlation-network approach   The evolution with time of the correlation structure of equity returns is
studied by means of a filtered network approach investigating persistences and
recurrences and their implications for risk diversification strategies. We
build dynamically Planar Maximally Filtered Graphs from the correlation
structure over a rolling window and we study the persistence of the associated
Directed Bubble Hierarchical Tree (DBHT) clustering structure. We observe that
the DBHT clustering structure is quite stable during the early 2000' becoming
gradually less persistent before the unfolding of the 2007-2008 crisis. The
correlation structure eventually recovers persistence in the aftermath of the
crisis settling up a new phase, distinct from the pre-cysts structure, where
the market structure is less related to industrial sector activity. Notably, we
observe that - presently - the correlation structure is loosing again
persistence indicating the building-up of another, different, phase. Such
dynamical changes in persistence and their occurrence at the unfolding of
financial crises rises concerns about the effectiveness of correlation-based
portfolio management tools for risk diversification.

24
The categories of this paper are: dg-ga
2
The categories of this paper are: math
31
The categories of this paper are: ao-sci
34
The categories of this paper are: chem-ph
20
The categories of this paper are: acc-phys
22
The categories of this paper are: chao-dyn
29
The categories of this paper are: funct-an
6
The categories of this paper are: astro-ph
37
The categories of this paper are: supr-con
5
The categories of this paper are: gr-qc
9
The categories of this paper are: nlin
3
The categories of this paper are: physics
4
The categories of this paper are: cond-mat
33
The categories of this paper are: plasm-ph
35
The categories of this paper are: mtrl-th
28
The categories of this paper are: alg-geom