Sovereign debt
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Sovereign Debt. Igor Mozeti č , Petra Kralj Novak, Miha Gr č ar Jo ž ef Stefan Institute. Problem. Anticipation, forecasting? No Partial explanation? Yes. Events in financial market Euro sovereign debt CDS jumps, divergence. Activities on the web Financial news

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Sovereign Debt

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Sovereign Debt

Igor Mozetič, Petra Kralj Novak, Miha Grčar

Jožef Stefan Institute


Problem

Anticipation, forecasting? No

Partial explanation? Yes

FIRST review Y3

Events in financial market

Euro sovereign debt

CDS jumps,

divergence

Activities on the web

Financial news

Volume & sentiment

peaks


Eurozone countries: CDS

CDS = credit default swap on 10-year sovereign bond [in basis points]

FIRST review Y3


1200

1000

800

600

400

200

0

Ireland

Portugal

800

600

400

200

0

-200

difference(Ir, Pt)

>3*SD of Diff

Portugal + Ireland:CDS correlation?

FIRST review Y3


price

1600

1400

1200

1000

800

600

400

200

0

400

300

200

100

0

-100

-200

-300

-400

>3*stdev (21 dni)

>SEY (21 dni)

Cyprus: CDS jumps?

FIRST review Y3


Italy + Spain + Slovenia:CDS divergence?

FIRST review Y3


Portugal: trend reversals, max-min, increase-decrease

  • No discrimination found between:

  • Days when CDS trend reverses and the rest

  • Days when the CDS price increases and decreases

  • Days with most extreme CDS values

FIRST review Y3


Eurozone countries: news

FIRST review Y3


Cyprus: news, sentiment, CDS

FIRST review Y3


Cyprus: tag clouds

FIRST review Y3


Cyprus: sentiment drill-down

CDS

+

573 b.p.

Mar. 15

0

Mar. 16

= b.p.

_

Mar. 17

=b.p.

_

Mar. 18

697 b.p.

802 b.p.

FIRST review Y3

820 b.p.


Conclusions

  • Failed to predict CDS movements from news:

    • no surprise, financial markets and web activities are two complex systems, only partially interrelated

  • http://NewStream.ijs.si portal:

    • useful insights into news (entities, volume, sentiment, tag clouds, drill-down)

  • Publications:

  • KraljNovak, P., Grčar, M., Mozetič, I.

  • Visual analytics of financial news with NewStream,

  • Submitted to Information Processing & Management journal, Elsevier,

  • Special Issue “Interactive Analysis of weakly structured & unstructured data”, 2013.

  • Vavpetič, A., Kralj Novak, P., Grčar, M., Mozetič, I., Lavrač, N.

  • Semantic data mining of financial news articles,

  • Proc. Intl. Conf. Discovery Science, pp. 294-307, Springer (LNAI 8140), Singapore, October 6-9, 2013.

FIRST review Y3


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