LLM filtering of embedding-based stock networks raises long-short Sharpe ratio from 0.742 to 0.820 and cuts max drawdown from -10.47% to -7.85% in 2011-2019 S&P 500 backtests.
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Media sentiment indicators from Canadian news, when added to a New Keynesian model with endogenous central-bank response, improve out-of-sample forecasts and account for part of monetary-policy propagation to output and prices.
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Cross-Stock Predictability via LLM-Augmented Semantic Networks
LLM filtering of embedding-based stock networks raises long-short Sharpe ratio from 0.742 to 0.820 and cuts max drawdown from -10.47% to -7.85% in 2011-2019 S&P 500 backtests.
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Monetary Policy in the Media Spotlight: Sentiments, Signals, and Economic Impact
Media sentiment indicators from Canadian news, when added to a New Keynesian model with endogenous central-bank response, improve out-of-sample forecasts and account for part of monetary-policy propagation to output and prices.