Information Extraction From the GDELT

Database to Analyse EU Sovereign Bond

Markets

Sergio Consoli1(B) , Luca Tiozzo Pezzoli1 , and Elisa Tosetti1,2

1
Joint Research Centre, Directorate A-Strategy, Work Programme and Resources,
Scientific Development Unit, European Commission,
Via E. Fermi 2749, 21027 Ispra, VA, Italy
{sergio.consoli,luca.tiozzo-pezzoli}@ec.europa.eu
2
Department of Management, Universitá Ca’ Foscari Venezia,
Cannaregio 873, 30121 Fondamenta San Giobbe, Venice, Italy
[email protected]

Abstract. In this contribution we provide an overview of a currently

on-going project related to the development of a methodology for build-
ing economic and financial indicators capturing investor’s emotions and
topics popularity which are useful to analyse the sovereign bond markets
of countries in the EU.These alternative indicators are obtained from the
Global Data on Events, Location, and Tone (GDELT) database, which
is a real-time, open-source, large-scale repository of global human soci-
ety for open research which monitors worlds broadcast, print, and web
news, creating a free open platform for computing on the entire world’s
media. After providing an overview of the method under development,
some preliminary findings related to the use case of Italy are also given.
The use case reveals initial good performance of our methodology for the
forecasting of the Italian sovereign bond market using the information
extracted from GDELT and a deep Long Short-Term Memory Network
opportunely trained and validated with a rolling window approach to
best accounting for non-linearities in the data.

Keywords: Big data · Government yield spread · GDELT · Machine

learning · Features engineering

1 Introduction and Preliminaries

Economic and fiscal policies conceived by international organizations, govern-

ments, and central banks heavily depend on economic forecasts, in particular
during times of economic turmoil like the one we have recently experienced
with the COVID-19 virus spreading world-wide [30]. The accuracy of economic
forecasting and nowcasting models is however still problematic since modern
economies are subject to numerous shocks that make the forecasting and now-
casting tasks extremely hard, both in the short and in the medium-long run.
c The Author(s) 2021
V. Bitetta et al. (Eds.): MIDAS 2020, LNAI 12591, pp. 55–67, 2021.
https://doi.org/10.1007/978-3-030-66981-2_5
56 S. Consoli et al.

In this context, the use of recent Big Data technologies for improving forecast-
ing and nowcasting for several types of economic and financial applications has
high potentials. In a currently on-going project we are designing a methodol-
ogy to extract alternative economic and financial indicators capturing investor’s
emotions, topics popularity, and economic and political events, from the Global
Database of Events, Language and Tone (GDELT) 1 [17], a novel big database of
news information. GDELT is a real-time, open-source, large-scale repository of
global human society for open research which monitors worlds broadcast, print,
and web news. The news-based economic and financial indicators extracted from
GDELT can be used as alternative features to enrich forecasting and nowcasting
models for the analysis of the sovereign bond markets of countries in the EU.
The very large dimensions of GDELT make unfeasible the use of any rela-
tional database and require ad-hoc big data management solutions to perform
any kind of analysis in reasonable time. In our case, after GDELT data are
crawled from the Web by means of custom REST APIs2 , we use Elasticsearch
[13,24] to host and interact with the data. Elasticsearch is a popular and efficient
NO-SQL big data management system whose search engine relies on the Lucene
library3 to efficiently transform, store, and query the data.
After GDELT data are stored into our Elasticsearch infrastructure, a feature
selection procedure selects the variables having higher forecasting potentials to
analyse the sovereign bond market of the EU country under study. The selected
variables capture, among others, investor’s emotions, economic and political
events, and popularity of news thematics for that country. These additional vari-
ables are included into economic forecasting and nowcasting models with the goal
of improving their performance. In current research we are experimenting differ-
ent models, ranging from traditional economic models to novel machine learning
approaches, like Gradient Boosting Machines and Recurrent Neural Networks
(RNNs), which have been shown to be successful in various forecasting problems
in Economics and Finance (see e.g. [4,6–8,16,18,29] among others).

2 Related Work
The recent surge in the government yield spreads in countries within the Euro
area has originated an intense debate about the determinants and sources of
risk of sovereign spreads. Traditionally, factors such as the creditworthiness, the
sovereign bond liquidity risk, and global risk aversion have been identified as
the main factors having an impact on government yield spreads [3,22]. How-
ever, a recent literature has pointed at the important role of financial investor’s
sentiment in anticipating interest rates dynamics [19,26]. An early paper that
has used a sentiment variable calculated on news articles from the Wall Street
Journal is [26]. In this work it is showed that high levels of pessimism are a
relevant predictor of convergence of the stock prices towards their fundamental
1
GDELT website: https://blog.gdeltproject.org/.
2
See https://blog.gdeltproject.org/gdelt-2-0-our-global-world-in-realtime/.
3
https://lucene.apache.org/.
 Information Extraction from the GDELT Database 57

values. Other recent works in finance exist on the use of emotions extracted from
social media, financial microblogs, and news to improve predictions of the stock
market (e.g. [1,9]). In the macroeconomics literature, [14] has looked at the infor-
mational content of the Federal Reserve statements and the guidance that these
statements provide about the future evolution of monetary policy. Other papers
([27,28] and [25] among others) have used Latent Dirichlet allocation (LDA)
to classify articles in topics and to extract a signal with predictive power for
measures of economic activity, such as GDP, unemployment and inflation [12].
These results, among others, have shown the high potentials of the information
extracted from news variables on monitoring and improving the forecasts of the
business cycle [9].
Machine learning approaches in the existing literature for controlling financial
indexes measuring credit risk, liquidity risk and risk aversion include the works in
[3,5,10,11,20], among others. Several efforts to make machine learning models
accepted within the economic modeling space have increased exponentially in
recent years (see e.g.. [4,6–8,16,18,29] among others).

3 GDELT Data

GDELT analyses over 88 million articles a year and more than 150,000 news
outlets. Its dimension is around 8 TB, growing 2TB each year [17]. For our
study we rely on the “Global Knowledge Graph (GKG)” repository of GDELT,
which captures people, organizations, quotes, locations, themes, and emotions
associated with events happening in print and web news across the world in more
than 65 languages and translated in English. Themes are mapped into commonly
used practitioners’ topical taxonomies, such as the “World Bank (WB) Topical
Ontology”4 . GDELT also measures thousands of emotional dimensions expressed
by means of, e.g., the “Harvard IV-4 Psychosocial Dictionary”5 , the “WordNet-
Affect dictionary”6 , and the “Loughran and McDonald Sentiment Word Lists
dictionary”7 , among others. For our application we use the GDELT GKG fields
from the World Bank Topical Ontology (i.e. WB themes), all emotional dimen-
sions (GCAM), and the name of the journal outlets.
The huge number of unstructured documents coming from GDELT are re-
engineered and stored on an ad-hoc Elasticsearch infrastructure [13,24]. Elas-
ticsearch is a popular and efficient document-store built on the Apache Lucene
search library8 and providing real-time search and analytics for different types
of complex data structures, like text, numerical data, or geospatial data, that
have been serialized as JSON documents. Elasticsearch can efficiently store and
4
https://vocabulary.worldbank.org/taxonomy.html.
5
Harvard IV-4 Psychosocial Dictionary: http://www.wjh.harvard.edu/∼inquirer/
homecat.htm.
6
WordNet-Affect dictionary: http://wndomains.fbk.eu/wnaffect.html.
7
Loughran and McDonald Sentiment Word Lists: https://sraf.nd.edu/textual-
analysis/resources/.
8
https://lucene.apache.org/.
58 S. Consoli et al.

index data in a way that supports fast searches, allowing data retrieval and
aggregate information functionalities via simple REST APIs to discover trends
and patterns in the stored data.

4 Feature Selection
We use the available World Bank Topical Ontology to understand the primary
focus (theme) of each article and select the relevant news whose main themes are
related to events concerning bond market investors. Hence, we select only articles
such that the topics extracted by GDELT fall into one of the following WB
themes of interest: Macroeconomic Vulnerability and Debt, and Macroeconomic
and Structural Policies. To make sure that the main focus of the article is one of
the selected WB topics, we retain only news that contain in their text at least
three keywords belonging to these themes. The aim is to select news that focus on
topics relevant to the bond market, while excluding news that only briefly report
macroeconomic, debt and structural policies issues. We consider only articles
that are at least 100 words long. From the large amount of information selected,
we construct features counting the total number of words belonging to all WB
themes and GCAMs detected each day. We also create the variables “Number of
mentions“ denoting the word count of each location mentioned in the selected
news. We further filter the data by using domain knowledge to retain a subset of
GCAM dictionaries that qualitatively may have potentials to our analysis. Then
we retain only the variables having a standard deviation calculated over the full
sample greater than 5 words and allowing a 10% of missing values on the total
number of days. Finally we perform a correlation analysis across the selected
variables, normalized by number of daily articles. If the correlation between any
two features is above 80% we give preference to the variable with less missing
values, while if the number of missing values is identical and the two variables
belong to the same category (i.e. both are themes or GCAMs), we randomly
pick one of them. Finally, if the number of missing values is identical but the
two variables belong to the same category, we consider the following order of
priority: GCAM, WB themes, GDELT themes, locations.

5 Preliminary Results
Here we show some preliminary results on the application of the described
methodology for the use case of Italy. The main objective of this empirical
exercise is to assess the predictive power of GDELT selected features for the
forecasting of the Italian sovereign bond market.
We have extracted data from Bloomberg on the term-structure of government
bond yields for Italy over the period 2 March 2015 to 31 August 2019. We
have calculated the sovereign spread for Italy against Germany as the difference
between the Italian 10 year maturity bond yield minus the German counterpart.
We have also extracted the standard level, slope and curvature factors of the
term-structure using the Nelson and Siegel [23] procedure and included these
 Information Extraction from the GDELT Database 59

classical factors into the model. Being the government bond yields a highly
persistent and non-stationary process, we have considered its log-differences and
obtained a stationary series of daily changes representing our prediction target,
illustrated in Fig. 1. This kind of forecasting exercise is an extremely challenging
task, as the target series behaves similarly to a random walk process. Missing
data, related to weekends and holidays, have been dropped from the target time
series, giving a final number of 468 data points.

Fig. 1. Log-differences of the sovereign spread for Italy against Germany as the differ-
ence between the Italian 10 year maturity bond yield minus the German counterpart.

For our Italian case study, we have also extracted the news information from
GKG in GDELT from a set of around 20 newspapers for Italy, published over
the considered period of the analysis. After this selection procedure we obtained
a total of 18,986 articles, with a total of 2,978 GCAM, 1,996 Themes and 155
locations. Applying the feature selection procedure described above, we have
extracted 31 dimensions of the General Inquirer Harvard IV psychosocial Dic-
tionary, 61 dimensions of Roget’s Thesaurus, 7 dimensions of the Martindale
Regressive Imagery and 3 dimensions of the Affective Norms for English Words
(ANEW) dictionary. After the features engineering procedure, we have been left
with a total of 45 variables, of which 9 are themes, 34 are GCAM, 2 locations.
The selected topics contained WB themes such as Inflation, Government, Central
Banks, Taxation and Policy, which are indeed important thematics discussed in
60 S. Consoli et al.

the news when considering interest rates issues. Moreover, selected GCAM fea-
tures included optimism, pessimism or arousal, which explore the emotional state
of the market. Figure 2 shows the top correlated covariates with respect to the
target.

Fig. 2. Log-differences of the sovereign spread for Italy against Germany as the differ-
ence between the Italian 10 year maturity bond yield minus the German counterpart.

Several studies in the literature have shown that during stressed periods, com-
plex non-linear relationships among explanatory variables affect the behaviour
of the output target which simple linear models are not able to capture. For this
reason, in this empirical exercise we have used a deep Long Short-Term Mem-
ory Network (LSTM) [15] to best accounting for non-linearities and assessing
the predictive power of the selected GDELT variables. The LSTM was imple-
mented relying on the DeepAR model available in Gluon Time Series (Glu-
onTS) [2]9 , an open-source library for probabilistic time series modelling that
focuses on deep learning-based approaches and interfacing Apache MXNet10 .
DeepAR is an LSTM model working into a probabilistic setting, that is, pre-
dictions are not restricted to point forecasts only, but probabilistic forecastings
are produced according to a user-defined predictive distribution (in our case a
student t-distribution was experimentally selected). For our experiment we have
set experimentally to use 2 RNN layers, each having 40 LSTM cells, and used a
learning rate equal to 0.001. The number of training epochs was set to 500, with
training loss being the negative log-likelihood function.
9
Available at: https://gluon-ts.mxnet.io/#gluonts-probabilistic-time-series-modeling.
10
Available at: https://mxnet.apache.org/.
 Information Extraction from the GDELT Database 61

We have used a robust scaling for the training variables by adopting statistics
robust to the presence of outliers. That is, we have removed the median to
each time series, and the data were scaled according to the interquartile range.
Furthermore we have adopted a rolling window estimation technique where the
first estimation sample started at the beginning of March and ended in May
2017. For each window, one step-ahead forecasts have been calculated. The whole
experiment required to run few hours in parallel on 40 cores at 2.10 GHz each
into an Intel(R) Xeon(R) E7 64-bit server having overall 1 TB of shared RAM.

Fig. 3. Median forecasts (green) and observations for the target series (blue) for the
entire forecasting period. (Color figure online)

Figure 3 shows the observations for the target time series (blue line) together
with the median forecast (dark green line) and the confidence interval in lighter
green. To better visualize the differences between observed and predicted time
series, we have reported the same plot on a smaller time range (50 days) in
Figure 4. A qualitative analysis of the figure suggests that the forecasting model
does a reasonable job at capturing the variability and volatility of the time series.
We have also computed a number of commonly used evaluation metrics
[21], such as the mean absolute scaled error (MASE), the symmetric mean
absolute percentage error (sMAPE), the root mean square error (RMSE), and
the (weighted) quantile losses (wQuantileLoss), that is the quantile negative
log-likelihood loss weighted with the density. The obtained in-sample and out-
of-sample results are shown in Table 1. As expected the results worsen passing
62 S. Consoli et al.

Fig. 4. Probabilistic forecasts (green) and observations for the target series (blue) for
the first 50 days in the testing period. The green continuous line shows the median of the
probabilistic predictions, while the lighter green areas represents an higher confidence
interval. (Color figure online)

Table 1. Forecasting results of the LSTM model in terms of MASE, sMAPE, RMSE,
and wQuantileLoss error metrics.

Metrics LSTM results

In-sample Out-of-sample
MASE 0.112 0.682
sMAPE 0.130 1.148
RMSE 0.493 0.885
wQuantileLoss[0.1] 0.050 0.869
wQuantileLoss[0.3] 0.115 0.899
wQuantileLoss[0.5] 0.151 0.914
wQuantileLoss[0.7] 0.121 0.923
wQuantileLoss[0.9] 0.047 0.907

from the in-sample to the out-of-sample setting, but the gap is absolutely accept-
able, confirming a good generalization capability of the trained LSTM model.
The model showed higher performance at high (0.9) and low (0.1) quantiles with
lower weighted quantile losses. Figure 5 illustrates the median absolute fore-
cast error (MAFE, in orange) against the real time series observations (in blue).
 Information Extraction from the GDELT Database 63

Fig. 5. Mean absolute forecast error (MAFE) (orange) against real observations (blue).
(Color figure online)

The performance of the model slightly worsen from the end of May to July 2018,
corresponding to a period of political turmoil in Italy. Indeed, on the 29th of May,
the Italian spread sharpely rose reaching 250 basis point. Investors where partic-
ularly worried about the possibility of anti-euro government and not confident on
the formation of a stable government. From June until November 2018, a series of
discussions about deficit spending engagements and possible conflicts with Euro-
pean fiscal rules continued to worry the markets. The spread strongly increased in
October and November with values around 300 basis point. We can see this also
from the performance of our model which worsen a bit in this stressed period, which
however the model looks to handle quite well anyway. Since 2019, the Italian polit-
ical situation started to improve and the spread smoothly declined, especially after
the agreement with Brussels on budget deficit in December 2018. However, some
events hit the Italian economy afterwards, such as the EU negative outlook and
the European parliament elections which contributed to a temporary increase on
interest rates. Our model performs quite well in this period in terms of absolute
error ratios showing a good robustness.
Figure 6 shows a scatter plot amongst the median out-of-sample forecasted
points and the real observations. To some degree the points in the scatter plot
roughly follow the diagonal, showing a fine correlation among the forecasted
points and the real observations, and suggesting good quality of the forecasting
results. This is also confirmed by the acceptable value of 0.23 computed for the
64 S. Consoli et al.

Fig. 6. Scatter plot amongst the median out-of-sample forecasted points and the real
observations.

R-squared metrics on the out-of-sample median forecasts for such a challeng-

ing prediction exercise. This value of the R-squared measure indicates that the
LSTM model explains a quite ample variability of the response data around its
median, suggesting a certain degree of closeness among the forecasted data and
the real observations.

6 Conclusion and Overlook

In this contribution we have presented our work-in-progress related to the devel-
opment of a methodology for building alternative economic and financial indi-
cators capturing investor’s emotions and topics popularity from GDELT, the
Global Data on Events, Location, and Tone database, a free open platform con-
taining real-time worlds broadcast, print, and web news. The currently on-going
project in which this work is developed is aimed at producing improved fore-
casting methods to analyse the sovereign bond markets of countries in the EU.
We have reported some preliminary results on the application of this method-
ology for predicting the Italian sovereign bond market. This use case reveals
initial good performance of the methodology, suggesting the validity of the app-
roach. Using the information extracted from the Italian news media contained in
GDELT combined with a deep Long Short-Term Memory Network opportunely
trained and validated with a rolling window approach, we have been able to
obtain quite good forecasting results.
 Information Extraction from the GDELT Database 65

This work represents one of the first to study the behaviour of government
yield spreads and financial portfolio decisions in the presence of classical yield
curve factors and information extracted from news. We believe that these new
measures are able to capture and predict changes in interest rates dynamics
especially in period of turmoil. Overall, the paper shows how to use a large scale
database as GDELT to derive financial indicators in order to capture future
intentions of agents in sovereign bond markets.
Certainly more research is still needed to be exploited in the directions of the
presented work. First we will try to improve the performance of the implemented
DeepAR model by tweaking architecture and optimizing the hyperparameters of
the LSTM model. Furthermore, in current research we are experimenting other
different prediction models, ranging from traditional economic methods to other
novel machine learning approaches, including Gradient Boosting Machines and
neural forecasting methods. In a future extended version of the paper we will
compare and thoroughly analyze the performance of these methods to better
exploit the non-linear effects of the dependent variables. Interpretability of the
implemented machine learning models by using, e.g., computed Shapley values,
will be an important object of future investigation in order to finely assess the
contributions of the different covariates in the models predictions.

Acknowledgments. The authors would like to thank the colleagues of the Centre
for Advanced Studies at the Joint Research Centre of the European Commission for
helpful guidance and support during the development of this research work.

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