Title: Correlation influence networks for sentiment analysis in European sovereign bonds
Authors : Schwendner, Peter
Schüle, Martin
Hillebrand, Martin
et. al : No
Conference details: Financial Revolution - Sentiment Analysis, AI and Machine Learning, London, United Kingdom, 25-26 June 2019
Issue Date: 2019
License (according to publishing contract) : Licence according to publishing contract
Type of review: No review
Language : English
Subject (DDC) : 332.6: Investment
Abstract: European sovereign bonds are especially sensitive to the political news flow. Consistent to the current sentiment, market makers adjust factor models in their quotation systems to be prepared for short-term market reactions in the most liquid instruments. We present a correlation influence network case study to make the signs of these factor betas transparent using intraday data analysis. This shows the sentiment of the most active market participants.
Departement: School of Management and Law
Organisational Unit: Institute of Wealth & Asset Management (IWA)
Publication type: Conference Other
URI: https://digitalcollection.zhaw.ch/handle/11475/17836
Appears in Collections:Publikationen School of Management and Law

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