arXiv · arXiv · 2024
Time series forecasting is a key tool in financial markets, helping to predict asset prices and guide investment decisions. In highly volatile markets, such as cryptocurrencies like Bitcoin (BTC) and Ethereum (ETH), forecasting becomes more difficult due to extreme price fluctuations driven by market sentiment, technological changes, and regulatory shifts. Traditionally, forecasting relied on statistical methods, but…
Mabsur Fatin Bin Hossain, Lubna Zahan Lamia, Md Mahmudur Rahman, Md Mosaddek Khan
arXiv · arXiv · 2024
Financial sentiment analysis (FSA) is crucial for evaluating market sentiment and making well-informed financial decisions. The advent of large language models (LLMs) such as BERT and its financial variant, FinBERT, has notably enhanced sentiment analysis capabilities. This paper investigates the application of LLMs and FinBERT for FSA, comparing their performance on news articles, financial reports and company annou…
Yanxin Shen, Pulin Kirin Zhang
arXiv · arXiv · 2022
Bitcoin, with its ever-growing popularity, has demonstrated extreme price volatility since its origin. This volatility, together with its decentralised nature, make Bitcoin highly subjective to speculative trading as compared to more traditional assets. In this paper, we propose a multimodal model for predicting extreme price fluctuations. This model takes as input a variety of correlated assets, technical indicators…
Yanzhao Zou, Dorien Herremans
arXiv · arXiv · 2013
Jan Tinbergen, the first recipient of the Nobel Memorial Prize in Economics in 1969, obtained his PhD in physics at the University of Leiden under the supervision of Paul Ehrenfest in 1929. Among many achievements as an economist after his training as a physicist, Tinbergen proposed the so-called Gravity Model of international trade. The model predicts that the intensity of trade between two countries is described by…
Tiziano Squartini, Diego Garlaschelli
arXiv · arXiv q-fin · 2020
We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural networks -- both feedforward and long short-term memory (LSTM) recurrent architectures -- deliver economically significant gains in terms of certainty equivalent returns and Sharpe ratios relative to linear predictive regressions. These gains ar…
Mykola Babiak, Jozef Barunik
arXiv · arXiv · 2024
We investigate the efficacy of large language models (LLMs) in sentiment analysis of U.S. financial news and their potential in predicting stock market returns. We analyze a dataset comprising 965,375 news articles that span from January 1, 2010, to June 30, 2023; we focus on the performance of various LLMs, including BERT, OPT, FINBERT, and the traditional Loughran-McDonald dictionary model, which has been a dominan…
Kemal Kirtac, Guido Germano