Multidimensional Visibility for Describing the Market Dynamics Around Brexit Announcements

Elena Giuli (), Andrea Flori (), Daniela Lazzari () and Alessandro Spelta ()
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Elena Giuli: University of Pavia
Andrea Flori: Polytechnic of Milan
Daniela Lazzari: University of Pavia
Alessandro Spelta: University of Pavia

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 183-188 from Springer

Abstract: Abstract We propose a multivariate procedure based on multidimensional visibility graph to detect changes in the UK financial system volatility, considered both before and after Brexit main events. We aim at recognizing whether external news related to the Brexit process could induce significant “after-shocks” (and also “pre-shocks”) in the system by producing dynamic relaxation in the values of the centrality measures in line with the cascade effects which follow the Omori earthquake law. In particular, the “after-shocks” high volatility cascades dissipate into the market via power-law relaxation, showing the significant market inefficiency in processing Brexit related news. On opposite, the market is instead more efficient in processing other categories of events, such as the Bank of England monetary policy announcements.

Keywords: Brexit; Financial markets; Visibility graphs; Tensor decomposition; Omori law (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_27

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DOI: 10.1007/978-3-030-78965-7_27

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