Matthias Fengler

Matthias Fengler is Professor of Econometrics and Director at the Department of Mathematics and Statistics at the University of St.Gallen. Professor Fengler has published extensively in the top academic journals in his areas of research expertise.

Expertise

Professor Fengler is researching how news, including the tone used in written statements, can help determine asset prices beyond traditional market variables. To analyze tens of thousands of NASDAQ articles, he develops a supervised learning algorithm trained on an annotated phrase bank to predict sentence-level tone. He finds that option markets are impacted by tone, and that options further predict stock returns. Further analysis reveals that overnight tone is more informative than concurrent trading-time tone, which is likely due to the differences in news coverage. Results show that employing alternative data sources and machine learning techniques can improve financial forecasting.