Stress index strategy enhanced with financial news sentiment analysis for the equity markets

no code implementations • 12 Mar 2024 • Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel, Beatrice Guez, Thomas Jacquot

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.

GPT-4 Sentiment Analysis

Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?

no code implementations • 9 Jan 2024 • Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel, Beatrice Guez, Damien Challet

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.