Autonomous Market Intelligence: Agentic AI Nowcasting Predicts Stock Returns
“Longing the 20 highest-ranked stocks generates a daily Fama-French five-factor plus momentum alpha of 18.4 basis points and an annualised Sharpe ratio of 2.43.”
AssetEquities
StrategyMachine learningmomentum
TechniqueLarge language modellinear factor model
GeographyUSEurope
Also stated: Daily, Sharpe ratio, Alpha, Excess return, Text and news, out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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