DailyDataLab: Mining Information from Financial Markets

Financial Markets: Source of Information

In a world marked by uncertainty, access to accurate and up-to-date information can be a valuable source of support for business decision-making. Operators who have the means and the convenience to collect, process and use high-frequency data are financial operators. Financial markets' volatility imposes on them a constant detailed study and update of all available economic information that may influence the prices of different assets. Only in this way, an operator can anticipate the market and gain from price changes.
This monitoring activity has high costs, justified by the expectation of even higher gains. No financial operator would ever want to share available information with third parties. However, there is one moment when they must necessarily show their valuations: when they make a transaction. The price of a transaction is in fact the result not only of the different positions of strength of the parties involved, but also of their assessment of the current and prospective situation of the economic variables influencing the market. If the average of a sufficiently large number of transactions is taken into account, the "position of strength" effect will tend to disappear, and the average economic valuations of the players involved will emerge.
The average daily price of the transactions carried out on a financial market thus reveals the prevailing opinion of the operators on the current and prospective situation of the economic variables influencing the market under examination.

DailyDataLab

The DailyDataLab project stems from the collaboration of the teams managing ExportPlanning and PricePedia, with the aim of monitoring several financial markets (exchange rates, stock exchanges, interest rates and commodity prices) in order to mine the prevailing opinion of traders about world economy and individual countries from prices dynamics. In addition, DailyDataLab also considers those economic variables, with a daily frequency, that can help to complement signals coming from financial markets: changes in electricity consumption and mobility indices. Finally, given the ongoing Covid-19 epidemic, DailyDataLab also takes into account daily data on infections and deaths, providing a summary of the evolution of the epidemic.
The combination of all this information provides a unique and organic picture of the evolution of the economic situation in real-time.

A weekly report on economic and financial data

Starting from the first week of 2021, the most relevant information from DailyDataLab is organized in a report: the DailyDataLab "Economic and Financial Week", freely downloadable from www.dailydatalab.com
This report is an ongoing project, that will be improved over time also in relation to criticisms, observations and suggestions that users will decide to share.

The scenario in the first week of 2021

The picture for the first week of 2021 shows the following dynamics in place:

• Stock market indices showed a significant growth in almost all countries of the world.
• Commodity prices rose sharply, from energy to metals and agriculture.
• In the US, 10-year bond yields showed an upward trend. The spread with German yields rose from 1.54 to 1.64, an increase of 10 basis points in just 5 days. The spread of Chinese yields with thier US counterpart fell by 20 basis points.
• Positive signals came from the markets on Vietnam's economic situation and prospects: a strong increase in stock market indices recently took place, much higher than the one observed in the USA; Vietnam's bond yield spread against the USA decreased, while the dong showed a strengthening.
• On the contrary, signs of uncertainty characterize Brazil: 10-year bond yields increased sharply, while the real weakened.

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