{"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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0007712878,0.0001313112,0.0002347053,0.0004932694,0.0001927644,0.001185803,0.0001625207,0.0004374374,0.003449102],"category_scores_gemma":[0.007561727,0.0001128961,0.0002369215,0.0005104162,0.0002760492,0.0007569675,0.0005820803,0.0006453555,0.000799746],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005484923,"about_ca_system_score_gemma":0.0002260504,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01513427,"about_ca_topic_score_gemma":0.01733363,"domain_scores_codex":[0.9995884,0.0000729241,0.00004238024,0.00006088407,0.0001372744,0.00009811682],"domain_scores_gemma":[0.9959418,0.001262825,0.001652497,0.0002022667,0.0006871872,0.0002533071],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.00157317,0.0001612285,0.9564051,0.00006298973,0.0001409879,0.0004850732,0.002331057,0.001680322,0.004226703,0.00148988,0.003915836,0.02752755],"study_design_scores_gemma":[0.000003591172,0.0000485738,0.9976846,0.000006398191,0.000009647629,0.00003517616,0.000368745,0.0004116718,0.0003652213,0.00006390724,0.0009912434,0.00001133559],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9975695,0.0001190923,0.00007883524,0.0002144422,0.00002089464,0.000002711201,0.00028961,0.000005116478,0.001699721],"genre_scores_gemma":[0.9985073,0.00005953574,0.0000297995,0.00005618971,0.00001524386,0.0000026258,0.0004832212,0.000003899855,0.0008421703],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.01513427,"threshold_uncertainty_score":0.03009236,"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."}}