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

DOI10.1080/14697688.2021.1970212zbMath1491.91156OpenAlexW3207579307MaRDI QIDQ5079388

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

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

market volatilityBrexitOmori lawmultidimensional visibility network

Mathematics Subject Classification ID

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

Uses Software

• ElemStatLearn

Cites Work

• Unnamed Item
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• Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
• RECURRENCE-BASED TIME SERIES ANALYSIS BY MEANS OF COMPLEX NETWORK METHODS
• Recurrence networks—a novel paradigm for nonlinear time series analysis
• Superfamily phenomena and motifs of networks induced from time series
• From time series to complex networks: The visibility graph
• Authoritative sources in a hyperlinked environment
• Nonlinear Time Series Analysis

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