Trades lasting from daily to weekly, often based on technical or short-term fundamental signals.
An explainable multi-agent system using fine-tuned GPT-4o models for crypto portfolio management. Specialized agents analyze news, factors, and charts, collaborate on decisions, and execute trades—outperforming benchmarks in returns, accuracy, and interpretability.
This paper introduces a multi-step prompt strategy called Classify-and-Rethink (CAR) to help ChatGPT overcome behavioral biases—especially the framing effect—in financial decision-making. Applied to gold news, CAR improves score rationality and generates higher Sharpe ratios.
This paper shows that large language models (LLMs) can predict stock returns in China using public news. The best models—especially an ensemble of multiple LLMs and Baichuan—produce daily trading signals that generate up to 91% annualized alpha, proving highly effective in emerging markets.
This paper shows ChatGPT can act as a robo-advisor, generating stock picks from news that yield up to 3% monthly alpha, especially on political and policy-related events. Its performance beats traditional textual analysis in both U.S. and Chinese markets.
GPT-4 can create alpha. By simply prompting it with price and volume definitions, it generates factors that deliver Sharpe ratios up to 4.49 and annual returns up to 66%—without using any financial data.
ChatGPT can classify crypto tweets into bullish or bearish and predict Bitcoin returns better than BERT or VADER. Its sentiment signals show strong predictive power for daily returns.
This paper shows that ChatGPT-3.5 can predict aggregate U.S. stock returns using WSJ headlines. DeepSeek and smaller LLMs (like BERT) do not match this predictive performance.
This paper introduces a ChatGPT-based Commodity News Ratio Index (CNRI) to forecast excess returns on commodity futures. Using over 2.5 million articles across 18 commodities and 80 years, the CNRI significantly outperforms traditional predictors both in- and out-of-sample.
When the euro gets stronger, European investors tend to sell government bonds from emerging countries if those bonds are in the local currencies of those countries. They do this because a stronger euro means those investments are now worth less to them, even if countries themselves aren’t riskier.
This paper shows that the **entire equity premium since 1994** is earned in just four specific weeks of the FOMC cycle: weeks 0, 2, 4, and 6. Stock returns spike after informal Fed communications and Board of Governors meetings—revealing a hidden pattern driven by central bank behavior.
It’s not volatility, but the anticipation of risk that drives returns. This paper shows how timing macro events reveals the hidden premium of uncertainty.
Option volume can be an early signal for takeover events