Large Language Models and Futures Price Factors in China
“Comprehensive empirical analysis reveals that GPT-generated factors deliver remarkable Sharpe ratios and annualized returns while maintaining acceptable maximum drawdowns.”
AssetMulti-assetfutures
StrategyNews sentimentfactor investing
TechniqueLarge language modeltransformer
GeographyChina
Also stated: Sharpe ratio, Alpha, Profit, Drawdown, Long-short, Long-only, Text and news, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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