1. Unveiling the Potential of Sentiment: Can Large Language Models Predict Chinese Stock Price Movements?
- Author
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Zhang, Haohan, Hua, Fengrui, Xu, Chengjin, Guo, Jian, Kong, Hao, and Zuo, Ruiting
- Subjects
FOS: Computer and information sciences ,FOS: Economics and business ,Computer Science - Computation and Language ,Artificial Intelligence (cs.AI) ,Statistical Finance (q-fin.ST) ,Computer Science - Artificial Intelligence ,Quantitative Finance - Statistical Finance ,Computation and Language (cs.CL) - Abstract
The rapid advancement of Large Language Models (LLMs) has led to extensive discourse regarding their potential to boost the return of quantitative stock trading strategies. This discourse primarily revolves around harnessing the remarkable comprehension capabilities of LLMs to extract sentiment factors which facilitate informed and high-frequency investment portfolio adjustments. To ensure successful implementations of these LLMs into the analysis of Chinese financial texts and the subsequent trading strategy development within the Chinese stock market, we provide a rigorous and encompassing benchmark as well as a standardized back-testing framework aiming at objectively assessing the efficacy of various types of LLMs in the specialized domain of sentiment factor extraction from Chinese news text data. To illustrate how our benchmark works, we reference three distinctive models: 1) the generative LLM (ChatGPT), 2) the Chinese language-specific pre-trained LLM (Erlangshen-RoBERTa), and 3) the financial domain-specific fine-tuned LLM classifier(Chinese FinBERT). We apply them directly to the task of sentiment factor extraction from large volumes of Chinese news summary texts. We then proceed to building quantitative trading strategies and running back-tests under realistic trading scenarios based on the derived sentiment factors and evaluate their performances with our benchmark. By constructing such a comparative analysis, we invoke the question of what constitutes the most important element for improving a LLM's performance on extracting sentiment factors. And by ensuring that the LLMs are evaluated on the same benchmark, following the same standardized experimental procedures that are designed with sufficient expertise in quantitative trading, we make the first stride toward answering such a question.
- Published
- 2023
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