Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?

• URL: http://arxiv.org/abs/2401.05447v1
• Date: Tue, 9 Jan 2024 10:34:19 GMT
• Title: Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?
• Authors: Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel, Beatrice Guez, Damien Challet
• Abstract summary: We study 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.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• 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.

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