{"id":"W4200251434","doi":"10.21511/imfi.18(4).2021.30","title":"Market expectation shifts in option-implied volatilities in the US and UK stock markets during the Brexit vote","year":2021,"lang":"en","type":"article","venue":"Investment Management and Financial Innovations","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Guelph; Cape Breton University","funders":"","keywords":"Brexit; Economics; Referendum; Financial economics; Equity (law); Stock market; Stock (firearms); Monetary economics; International economics; European union; Political science","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0006128524,0.0001917374,0.000232108,0.0003478626,0.0003210717,0.0002413141,0.0001565494,0.00007351608,0.00006223191],"category_scores_gemma":[0.00009300291,0.0001674584,0.00003521033,0.0009749434,0.0001485898,0.0003377944,0.0001270229,0.0001841166,0.000004585029],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001047518,"about_ca_system_score_gemma":0.00003369675,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0002556823,"about_ca_topic_score_gemma":0.0008157063,"domain_scores_codex":[0.9985473,0.00004657166,0.0006450722,0.0003922609,0.00007975115,0.0002890885],"domain_scores_gemma":[0.9994256,0.00006518867,0.0001827906,0.0002728221,0.00003088279,0.00002266934],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.00002733006,0.0000754362,0.0813266,0.00007401969,0.00001464462,0.00001769223,0.001333258,0.00001846211,0.000006995418,0.9161277,0.0006482533,0.0003295595],"study_design_scores_gemma":[0.0006887408,0.00002062888,0.8032416,0.00004488228,0.000004999841,0.000001985135,0.0006282076,0.0002682318,0.000004470103,0.1862039,0.008734134,0.0001581713],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9397178,0.001337365,0.0001583007,0.002609977,0.0001827811,0.0006520429,0.00003566742,0.00001544705,0.05529061],"genre_scores_gemma":[0.9949226,0.0006101875,0.0004059107,0.002149261,0.00005969748,0.0003163632,0.00003341042,0.00001210966,0.001490467],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.7299238,"threshold_uncertainty_score":0.6828756,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02295143150219926,"score_gpt":0.2135914785657513,"score_spread":0.190640047063552,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}