Correlation influence networks for sentiment analysis in European sovereign bonds
| Autor: | Schwendner, Peter, Schüle, Martin, Hillebrand, Martin |
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| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: | |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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