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Brexit, a study conducted by the University of Milan forecasts possible scenarios23-06-2016

Published on the Social Science Research Network and in the news of Risk.net, the study, performed at the Department of Physics, analyses the financial markets looking for clues on the results of the UK’s referendum about the EU membership, which is in progress today.Physics

The results of a scientific study performed at the Department of  Physics at the University of Milan have been published on the Social Science Research Network (SSRN) in an article entitled: “Brexit or Bremain? Evidence from Bubble Analysis”; these results forecast possible scenarios for the outcome of the EU membership referendum which is in progress today in UK.

In this study - appeared also in the Risk.net news - a group of researchers of our University analysed several financial assets to asses a possible correlation with the referendum outcome.

The statistical model adopted – the Johansen-Ledoit-Sornette (JLS) model – has been enhanced via the development of a calibration technique which required the usage of parallel computing facilities at the Department of Physics.

The results suggest that equity and currency markets do not show financial bubbles and possible crash signals linked to the referendum outcome. In contrast, interbank interest rates and bond markets show instability patterns that may lead to violent rates and credit markets values drawdowns.

The results seem to point to a Bremain scenario, in which the market investors and traders expect that the vote to remain in the EU will prevail.


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For information
Università degli Studi di Milano
Dipartimento di Fisica
Prof. Davide Galli
Tel. + 39 2 50317378
davide.galli@unimi.it