When Text Becomes Tradable: Financial-domain Language Models and the Asymmetric Absorption of News in Agricultural Futures Markets
“The strongest text-based long-short portfolio, Araci's FinBERT on full news stories, attains an annualised Sharpe ratio near 2.5, and the tradable edge is sharply localised.”
AssetCommoditiesfutures
StrategyNews sentimentmomentum
TechniqueLarge language modeltransformer
FrequencyDaily
Also stated: 2009–2023, Sharpe ratio, Alpha, t-statistic, Long-short, Text and news, costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
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