Stress index strategy enhanced with financial news sentiment analysis for the equity markets
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , , , , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2024
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866913292136480768 |
|---|---|
| author | Lefort, Baptiste Benhamou, Eric Ohana, Jean-Jacques Saltiel, David Guez, Beatrice Jacquot, Thomas |
| author_facet | Lefort, Baptiste Benhamou, Eric Ohana, Jean-Jacques Saltiel, David Guez, Beatrice Jacquot, Thomas |
| contents | This paper introduces a new risk-on risk-off strategy for the stock market, which combines a financial stress indicator with a sentiment analysis done by ChatGPT reading and interpreting Bloomberg daily market summaries. Forecasts of market stress derived from volatility and credit spreads are enhanced when combined with the financial news sentiment derived from GPT-4. As a result, the strategy shows improved performance, evidenced by higher Sharpe ratio and reduced maximum drawdowns. The improved performance is consistent across the NASDAQ, the S&P 500 and the six major equity markets, indicating that the method generalises across equities markets. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_00012 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stress index strategy enhanced with financial news sentiment analysis for the equity markets Lefort, Baptiste Benhamou, Eric Ohana, Jean-Jacques Saltiel, David Guez, Beatrice Jacquot, Thomas Statistical Finance Artificial Intelligence Computation and Language Risk Management This paper introduces a new risk-on risk-off strategy for the stock market, which combines a financial stress indicator with a sentiment analysis done by ChatGPT reading and interpreting Bloomberg daily market summaries. Forecasts of market stress derived from volatility and credit spreads are enhanced when combined with the financial news sentiment derived from GPT-4. As a result, the strategy shows improved performance, evidenced by higher Sharpe ratio and reduced maximum drawdowns. The improved performance is consistent across the NASDAQ, the S&P 500 and the six major equity markets, indicating that the method generalises across equities markets. |
| title | Stress index strategy enhanced with financial news sentiment analysis for the equity markets |
| topic | Statistical Finance Artificial Intelligence Computation and Language Risk Management |
| url | https://arxiv.org/abs/2404.00012 |