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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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Presentation Transcript
sovereign debt

Sovereign Debt

Igor Mozetič, Petra Kralj Novak, Miha Grčar

Jožef Stefan Institute

problem
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
Eurozone countries: CDS

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

FIRST review Y3

portugal ireland cds correlation

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

cyprus cds jumps

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

portugal trend reversals max min increase decrease
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

cyprus tag clouds
Cyprus: tag clouds

FIRST review Y3

cyprus sentiment drill down
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
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