To Trade or Not to Trade: An Agentic Approach to Estimating Market Risk Improves Trading Decisions
“We find that model-informed trading strategies outperform standard LLM-based agents, improving Sharpe ratios across multiple equities.”
AssetEquities
StrategyNews sentiment
TechniqueLarge language modelmathematical derivation
FrequencyDaily
Also stated: Sharpe ratio, Excess return, Profit, Text 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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