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Sovereign Debt

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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  1. Sovereign Debt Igor Mozetič, Petra Kralj Novak, Miha Grčar Jožef Stefan Institute

  2. 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

  3. Eurozone countries: CDS CDS = credit default swap on 10-year sovereign bond [in basis points] FIRST review Y3

  4. 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

  5. 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

  6. Italy + Spain + Slovenia:CDS divergence? FIRST review Y3

  7. 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

  8. Eurozone countries: news FIRST review Y3

  9. Cyprus: news, sentiment, CDS FIRST review Y3

  10. Cyprus: tag clouds FIRST review Y3

  11. 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.

  12. 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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