Peter Schwendner is a Professor at Zurich University of Applied Sciences. His research interests are financial markets, asset management and network analytics. He has 15 years’ work experience in the financial industry as a head of quantitative research at Sal. Oppenheim and as a partner at Fortinbras Asset Management. His specific expertise are correlation analytics and liquid multi-asset products run by systematic models.
Correlation Influence Networks for Sentiment Analysis in European Sovereign Bonds
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.