{
  "annotation_id": "32bf333a-09c0-4bb4-b78c-687a0e6dc96d",
  "date_created": "2026-02-17T05:53:04.895000Z",
  "date_modified": "2026-02-17T05:53:04.895000Z",
  "file_hash": "0007b6a239155ce600c1a98a54587efe1d55e15e266454aee439e78bd426c412",
  "private": false,
  "record": {
    "abstract": "Financial markets are complex adaptive systems characterized by collective behavior and abrupt regime shifts, particularly during crises. This paper studies time-varying dependencies in Nordic equity markets and examines whether correlation-eigenstructure dynamics can be exploited for regime-aware portfolio construction. Using two decades of daily data for the OMXS30, OMXC20, and OMXH25 universes, pronounced regime dependence in rolling correlation matrices is documented: crisis episodes are characterized by sharp increases in the leading eigenvalue and counter-cyclical behavior in the second eigenvalue. Eigenportfolio regressions further support a market-factor interpretation of the dominant eigenmode. Building on these findings, an adaptive portfolio allocation framework is proposed, combining correlation-matrix cleaning, an eigenvalue-ratio crisis indicator and long-only minimum-variance optimization with constraints that bound exposures to dominant eigenmodes. Backtesting results indicate improved downside protection and risk-adjusted performance during stress regimes, while remaining competitive with state-of-the-art benchmarks in tranquil periods.",
    "arxiv_id": "2601.06090",
    "authors": [
      "Maksym A. Girnyk"
    ],
    "categories": [
      "q-fin.PM"
    ],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "title": "Correlation Structures and Regime Shifts in Nordic Stock Markets",
    "url": "https://arxiv.org/abs/2601.06090",
    "version": "v1"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "5532adbc-78a6-46bd-b42c-fc1711dc9e2e",
    "id": "arXiv Dataset",
    "type": "Model",
    "variant": "snapshot-2026-01-17",
    "version": "0.1.0"
  },
  "user_id": 1000002
}