Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?

ChatGPT peut-il calculer des scores de sentiment dignes de confiance à partir de Bloomberg Market Wraps ?

Baptiste Lefort (), Eric Benhamou (), Jean-Jacques Ohana, David Saltiel (), Beatrice Guez and Damien Challet
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Baptiste Lefort: MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay, A.I. For Alpha
Eric Benhamou: A.I. For Alpha, Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres
Jean-Jacques Ohana: A.I. For Alpha
David Saltiel: A.I. For Alpha
Beatrice Guez: A.I. For Alpha

Working Papers from HAL

Abstract: 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.

Keywords: Investment; sentiment analysis; ChatGPT; stock exchange; financial news (search for similar items in EconPapers)
Date: 2024-10-16
Note: View the original document on HAL open archive server: https://hal.science/hal-04739906v1
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Working Paper: Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps? (2024)
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