Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?
CoRR(2024)
摘要
We used a dataset of daily Bloomberg Financial Market Summaries from 2010 to
2023, reposted on large financial media, to determine how global news headlines
may affect stock market movements using ChatGPT and a two-stage prompt
approach. We document a statistically significant positive correlation between
the sentiment score and future equity market returns over short to medium term,
which reverts to a negative correlation over longer horizons. Validation of
this correlation pattern across multiple equity markets indicates its
robustness across equity regions and resilience to non-linearity, evidenced by
comparison of Pearson and Spearman correlations. Finally, we provide an
estimate of the optimal horizon that strikes a balance between reactivity to
new information and correlation.
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