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q-fin.ST2024
Stress index strategy enhanced with financial news sentiment analysis for the equity markets
Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana +3
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 interp…
q-fin.ST2024
Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?
Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana +3
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…