Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics

DOI10.1080/14697688.2021.1970212MaRDI QIDQ5079388zbMATH OpenOpenAlexFDO

Authors Maria Elena De Giuli, Andrea Flori, Daniela Lazzari, Alessandro Spelta

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.1970212

zbMATH Keywords

Brexitmarket volatilitymultidimensional visibility networkOmori law

Mathematics Subject Classification ID

Financial markets (91G15) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• Authoritative sources in a hyperlinked environment
• From time series to complex networks: the visibility graph
• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• Nonlinear Time Series Analysis
• Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
• Recurrence networks -- a novel paradigm for nonlinear time series analysis
• Recurrence-based time series analysis by means of complex network methods
• Superfamily phenomena and motifs of networks induced from time series
• Tensor Decompositions and Applications

Cited in

(3)

• The Brexit impact on European market co-movements
• Brexit and its impact on the US stock market
• Statistically validated coeherence and intensity in temporal networks of information flows

Describes a project that uses

Uses Software

• ElemStatLearn

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