Do LLM Personas Dream of Bull Markets? Comparing Human and AI Investment Strategies Through the Lens of the Five-Factor Model
A 2024 paper by Borman and co-authors on news sentiment and text signals in equities, using a large language model: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“In this simulated environment, our results show these personas produced meaningful behavioural differences in all assessed categories, with these behaviours generally being consistent with expectations derived from human research.”
AssetEquities
StrategyNews sentiment
TechniqueLarge language modellinear factor model
InputsText and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
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