Matthias Fengler

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

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

• Financial Markets
  • Financial Forecasting
• Portfolio Management and Asset Classes
  • Asset Pricing
  • Options and Other Derivatives
• Corporate Finance and Governance
  • Financial Risk and Risk Management