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Found 4 papers, 0 papers with code
Stress index strategy enhanced with financial news sentiment analysis for the equity markets
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.
Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?
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.
Omega and Sharpe ratio
We compute Omega ratio for the normal distribution and show that under some distribution symmetry assumptions, the Omega ratio is oversold as it does not provide any additional information compared to Sharpe ratio.
BCMA-ES II: revisiting Bayesian CMA-ES
We prove that the expected covariance should be lower in the normal Wishart prior model because of the convexity of the inverse.
