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Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?
[ChatGPT peut-il calculer des scores de sentiment dignes de confiance à partir de Bloomberg Market Wraps ?]

Author

Listed:
  • Baptiste Lefort

    (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay, A.I. For Alpha)

  • Eric Benhamou

    (A.I. For Alpha, Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres)

  • Jean-Jacques Ohana

    (A.I. For Alpha)

  • David Saltiel

    (A.I. For Alpha)

  • Beatrice Guez

    (A.I. For Alpha)

  • D Challet

    (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay)

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.

Suggested Citation

  • Baptiste Lefort & Eric Benhamou & Jean-Jacques Ohana & David Saltiel & Beatrice Guez & D Challet, 2024. "Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps? [ChatGPT peut-il calculer des scores de sentiment dignes de confiance à partir de Bloomberg Market Wraps ?]," Working Papers hal-04739906, HAL.
    • Handle: RePEc:hal:wpaper:hal-04739906
    Note: View the original document on HAL open archive server: https://hal.science/hal-04739906v1
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