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Multidimensional Visibility for Describing the Market Dynamics Around Brexit Announcements

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Elena Giuli

    (University of Pavia)

  • Andrea Flori

    (Polytechnic of Milan)

  • Daniela Lazzari

    (University of Pavia)

  • Alessandro Spelta

    (University of Pavia)

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.

Suggested Citation

  • Elena Giuli & Andrea Flori & Daniela Lazzari & Alessandro Spelta, 2021. "Multidimensional Visibility for Describing the Market Dynamics Around Brexit Announcements," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 183-188, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_27
    DOI: 10.1007/978-3-030-78965-7_27
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