NLP & Large Language Models

We study the interaction between returns and order flow imbalances in the S&P 500 E-mini futures market using a structural VAR model identified through heteroskedasticity. The model is estimated at one-second frequency for each 15-minute interval, capturing both intraday variation and endogeneity du

The success of large-scale pre-training paradigm, exemplified by Large Language Models (LLMs), has inspired the development of Time Series Foundation Models (TSFMs). However, their application to financial candlestick (K-line) data remains limited, often underperforming non-pre-trained architectures

Large Language Models (LLMs) excel at understanding context and qualitative nuances but struggle with the rigorous and transparent reasoning required in high-stakes quantitative domains such as financial trading. We propose a model-first hybrid architecture for the options “wheel” strategy that comb

Crypto enthusiasts claim that buying and holding crypto assets yields high returns, often citing Bitcoin’s past performance to promote other tokens and fuel fear of missing out. However, understanding the real risk-return trade-off and what factors affect future crypto returns is crucial as crypto b

Conditional Value-at-Risk (CoVaR) quantifies systemic financial risk by measuring the loss quantile of one asset, conditional on another asset experiencing distress. We develop a Transformer-based methodology that integrates financial news articles directly with market data to improve CoVaR estimate

Option pricing in real markets faces fundamental challenges. The Black–Scholes–Merton (BSM) model assumes constant volatility and uses a linear generator $g(t,x,y,z)=-ry$, while lacking explicit behavioral factors, resulting in systematic departures from observed dynamics. This paper extends the B

This research develops a sentiment-driven quantitative trading system that leverages a large language model, FinGPT, for sentiment analysis, and explores a novel method for signal integration using a reinforcement learning algorithm, Twin Delayed Deep Deterministic Policy Gradient (TD3). We compare

We develop a rigorous walk-forward validation framework for algorithmic trading designed to mitigate overfitting and lookahead bias. Our methodology combines interpretable hypothesis-driven signal generation with reinforcement learning and strict out-of-sample testing. The framework enforces strict

Classical asset price forecasting methods primarily rely on numerical data, such as price time series, trading volumes, limit order book data, and technical analysis indicators. However, the news flow plays a significant role in price formation, making the development of multimodal approaches that c

We address finance-native collateral optimization under ISDA Credit Support Annexes (CSAs), where integer lots, Schedule A haircuts, RA/MTA gating, and issuer/currency/class caps create rugged, legally bounded search spaces. We introduce a certifiable hybrid pipeline purpose-built for this domain: (

Candidate-scoring decision models return a probability distribution over a presented set of answers. Public documentation of one such system, Jev, and of an open counterpart, JevAny, describes three training ingredients that determine what these probabilities estimate: soft targets from larger model

Forecasters often score the same units per date against one standardized realized outcome. We show that every standardized forecast splits exactly into a component aligned with this common target and a component uncorrelated with it. Three consequences follow: forecast-error correlation largely mirr

Financial institutions and regulators require systems that integrate heterogeneous data to assess risks from stock fluctuations to systemic vulnerabilities. Existing approaches often treat these tasks in isolation, failing to capture cross-scale dependencies. We propose Uni-FinLLM, a unified multimo

Although synthetic data is widely promoted as a remedy, its prevailing production paradigm – one optimizing for statistical smoothness – systematically removes the long-tail, cognitively grounded irregularities that characterize human text. Prolonged training on such statistically optimal but cognit

We propose a novel conditional diffusion model for portfolio optimization that learns the cross-sectional distribution of next-day stock returns conditioned on asset-specific factors. The model builds on the Diffusion Transformer with token-wise conditioning, linking each asset’s return to its own f

We propose an approach to construct text-based time-series indices in an optimal way–typically, indices that maximize the contemporaneous relation or the predictive performance with respect to a target variable, such as inflation. We illustrate our methodology with a corpus of news articles from the

Since the 2021 GameStop short squeeze, r/WallStreetBets (WSB) has been associated with episodes of extreme volatility, and its text is increasingly used to forecast volatility. A model using only large language model (LLM) embeddings of WSB posts attains an out-of-sample $R^2$ of 0.13 for log realiz

Formulaic alpha mining seeks to discover executable expressions that capture predictive market signals in a vast, noisy search space. Recent LLM-based approaches use prompting, iterative search, or seed-factor evolution, leaving direct factor construction through policy learning less explored. To ad

Factor mining seeks to discover signals from financial data that predict future asset returns and guide portfolio construction. Automated factor mining now spans genetic programming, reinforcement learning, generative models, and large language model agents. Yet it remains unclear whether advances a

Large language models are moving from producing trading signals to writing the code that executes them. The failure mode of the second role is silent: generated code runs, a backtest plots, yet the risk logic that the trader described is not the logic being executed. Existing code benchmarks test fu

In the face of increasing financial uncertainty and market complexity, this study presents a novel risk-aware financial forecasting framework that integrates advanced machine learning techniques with intuitionistic fuzzy multi-criteria decision-making (MCDM). Tailored to the BIST 100 index and valid

The stock market is extremely difficult to predict in the short term due to high market volatility, changes caused by news, and the non-linear nature of the financial time series. This research proposes a novel framework for improving minute-level prediction accuracy using semantic sentiment scores

This paper proposes a reinforcement learning framework that employs Proximal Policy Optimization (PPO) to dynamically optimize the weights of multiple large language model (LLM)-generated formulaic alphas for stock trading strategies. Formulaic alphas are mathematically defined trading signals deriv

This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis across a range of economic, policy, and news-based uncertainty

Accurate forecasting in financial markets requires integrating diverse data sources, from historical prices to macroeconomic indicators and financial news. However, existing models often fail to align these modalities effectively, limiting their practical use. In this paper, we introduce a transform

Financial bond yield forecasting is challenging due to data scarcity, nonlinear macroeconomic dependencies, and evolving market conditions. In this paper, we propose a novel framework that leverages Causal Generative Adversarial Networks (CausalGANs) and Soft Actor-Critic (SAC) reinforcement learnin

Large language models (LLMs) fine-tuned on multimodal financial data have demonstrated impressive reasoning capabilities in various financial tasks. However, they often struggle with multi-step, goal-oriented scenarios in interactive financial markets, such as trading, where complex agentic approach

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 marke

Machine learning techniques applied to the problem of financial market forecasting struggle with dynamic regime switching, or underlying correlation and covariance shifts in true (hidden) market variables. Drawing inspiration from the success of reinforcement learning in robotics, particularly in ag

Forecast evaluation in finance has relied on aggregate accuracy metrics and predictive-accuracy tests built on point-forecast errors. These instruments evaluate forecast outputs but cannot evaluate the process of forecast generation, which is increasingly relevant as forecasting systems become agent

In this paper, I present the first comprehensive, around-the-clock analysis of systematic jump risk by combining high-frequency market data with contemporaneous news narratives identified as the underlying causes of market jumps. These narratives are retrieved and classified using a state-of-the-art

This paper evaluates the causal impact of Generative Artificial Intelligence (GenAI) adoption on productivity and systemic risk in the U.S. banking sector. Using a novel dataset linking SEC 10-Q filings to Federal Reserve regulatory data for 809 financial institutions over 2018–2025, we employ two

This study investigates whether cryptocurrency whitepaper narratives align with empirically observed market factor structure. We construct a pipeline combining zero-shot NLP classification of 38 whitepapers across 10 semantic categories with CP tensor decomposition of hourly market data (49 assets,

Accurate forecasting of commodity price spikes is vital for countries with limited economic buffers, where sudden increases can strain national budgets, disrupt import-reliant sectors, and undermine food and energy security. This paper introduces a hybrid forecasting framework that combines historic

Firms follow changing economic opportunities, but rivalry changes their response. We develop ESCAPE, a rational-share game of distribution-valued positioning with heterogeneous capability costs, establish a unique equilibrium, and derive an exact reallocation restriction separating opportunity and c

We propose the Causal Sphere Hypergraph Transformer (CSHT), a novel architecture for interpretable financial time-series forecasting that unifies \emph{“Granger-causal hypergraph structure”}, \emph{“Riemannian geometry”}, and \emph{“causally masked Transformer attention”}. CSHT models the directiona

Algorithmic trading relies on extracting meaningful signals from diverse financial data sources, including candlestick charts, order statistics on put and canceled orders, traded volume data, limit order books, and news flow. While deep learning has demonstrated remarkable success in processing unst

Forecasting stock market prices remains a complex challenge for traders, analysts, and engineers due to the multitude of factors that influence price movements. Recent advancements in artificial intelligence (AI) and natural language processing (NLP) have significantly enhanced stock price predictio

The accurate prediction of stock movements is crucial for investment strategies. Stock prices are subject to the influence of various forms of information, including financial indicators, sentiment analysis, news documents, and relational structures. Predominant analytical approaches, however, tend

We propose MoE-F - a formalized mechanism for combining $N$ pre-trained Large Language Models (LLMs) for online time-series prediction by adaptively forecasting the best weighting of LLM predictions at every time step. Our mechanism leverages the conditional information in each expert’s running perf

Developing a generative model of realistic order flow in financial markets is a challenging open problem, with numerous applications for market participants. Addressing this, we propose the first end-to-end autoregressive generative model that generates tokenized limit order book (LOB) messages. The

Signal decay and regime shifts pose recurring challenges for data-driven investment strategies in non-stationary markets. Conventional time-series and machine learning approaches, which rely primarily on historical correlations, often struggle to generalize when the economic environment changes. Whi

Financial time series forecasting is central to trading, portfolio optimization, and risk management, yet it remains challenging due to noisy, non-stationary, and heterogeneous data. Recent advances in time series foundation models (TSFMs), inspired by large language models, offer a new paradigm for

Corporate financial disclosures often unfold over time, with announcements, prepared remarks, and discussion spanning multiple high-frequency return intervals. Financial NLP benchmarks can therefore suffer from a within-event timing mismatch when the prediction target begins before the textual or au

As option markets grow and AI advances, agentic systems for option trading are gaining increasing attention. Language-model-based agents can reason over contextual information such as news, but option trading presents a particularly challenging decision problem: a single stock can have thousands of

We study the dynamic pricing problem faced by a broker seeking to learn prices for a large number of credit market securities, such as corporate bonds, government bonds, loans, and other credit-related securities. A major challenge in pricing these securities stems from their infrequent trading and

Problem. “Thinking” LLMs (TLLMs) expose explicit or hidden reasoning traces and are widely believed to generalize better on complex tasks than direct LLMs. Whether this promise carries to noisy, heavy-tailed and regime-switching financial data remains unclear. Approach. Using Indian equities (NIFTY

This paper investigates whether artificial intelligence can enhance stock clustering compared to traditional methods. We consider this in the context of the semi-strong Efficient Markets Hypothesis (EMH), which posits that prices fully reflect all public information and, accordingly, that clusters b

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 vari

An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribution of news text - through an entropy measure, calculated using a recurrent neural network applied to a large news corp

Identifying companies with similar profiles is a core task in finance with a wide range of applications in portfolio construction, asset pricing and risk attribution. When a rigorous definition of similarity is lacking, financial analysts usually resort to ’traditional’ industry classifications such

Recently, LLMs (Large Language Models) have been adapted for time series prediction with significant success in pattern recognition. However, the common belief is that these models are not suitable for predicting financial market returns, which are known to be almost random. We aim to challenge this

I examine the value of information from sell-side analysts by analyzing a large corpus of their written reports. Using embeddings from state-of-the-art large language models, I show that qualitative information in analyst reports explains above 10% of contemporaneous stock returns out-of-sample, a v

This study examines whether transformer-based financial news sentiment improves equity volatility forecasts beyond conventional market-based predictors. Using data for eleven US stocks, we compare volatility persistence models with specifications incorporating the VIX, AAII investor sentiment, and n

Financial LLM agents are often evaluated by comparing their end-to-end returns with those of a baseline and testing the paired difference against zero. This measures whether deploying the agent changes realized performance, but it does not isolate event-selection skill. An agent that frequently chan

Deep Research (DR) agents have demonstrated strong capabilities in complex, research-oriented tasks through autonomous planning, iterative retrieval, multi-step reasoning, and structured reporting. However, adapting DR agents to finance introduces unique challenges: financial analysis demands the jo

Large language models can extract richer signals from financial news than fixed sentiment lexicons, and recent work has explored feeding such signals into portfolio construction. We study an uncertainty-aware construction that feeds model-predicted risk – decomposed into aleatoric and epistemic com

Large language models (LLMs) and multi-agent systems (MAS) have shown promise in financial decision-making, yet existing evaluations focus on equity trading and primarily assess directional prediction, overlooking the structural complexity of derivative markets. Option trading introduces fundamental

This research introduces a novel quantitative methodology tailored for quantitative finance applications, enabling banks, stockbrokers, and investors to predict economic regimes and market signals in emerging markets, specifically Sri Lankan stock indices (S&P SL20 and ASPI) by integrating Environme

Financial time series forecasting is both highly significant and challenging. Previous approaches typically standardized time series data before feeding it into forecasting models, but this encoding process inherently leads to a loss of important information. Moreover, past time series models genera

This work presents a generative pre-trained transformer (GPT) designed for modeling financial time series. The GPT functions as an order generation engine within a discrete event simulator, enabling realistic replication of limit order book dynamics. Our model leverages recent advancements in large

The Statistical Classification of Economic Activities in the European Community (NACE) is the standard classification system for the categorization of economic and industrial activities within the European Union. This paper proposes a novel approach to transform the NACE classification into low-dime

Stock price prediction has always been a difficult task for forecasters. Using cutting-edge deep learning techniques, stock price prediction based on investor sentiment extracted from online forums has become feasible. We propose a novel hybrid deep learning framework for predicting stock prices. Th

Our research aims to find the best model that uses companies projections and sector performances and how the given company fares accordingly to correctly predict equity share prices for both short and long term goals.

Portfolio optimization is constrained by linear assumptions and insufficient integration of multi-modal information in traditional models. This paper proposes a cross-modal BERT-driven Actor-Critic framework SBCA for multi-asset portfolio optimization to address the deficiencies of existing deep rei

The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the “too-similar-to-fail” hypothesis, arguing that risk spillovers were driven by perceived similariti

Text and time series data offer complementary views of financial markets: news articles provide narrative context about company events, while stock prices reflect how markets react to those events. However, despite their complementary nature, effectively integrating these interleaved modalities for

Predicting future prices of a stock is an arduous task to perform. However, incorporating additional elements can significantly improve our predictions, rather than relying solely on a stock’s historical price data to forecast its future price. Studies have demonstrated that investor sentiment, whic

The Nelson-Siegel framework is employed to model the term structure of commodity futures prices. Exploiting the information embedded in the level, slope and curvature parameters, we develop novel investment strategies that assume short-term continuation of recent parallel, slope or butterfly movemen

Predicting the Stock movement attracts much attention from both industry and academia. Despite such significant efforts, the results remain unsatisfactory due to the inherently complicated nature of the stock market driven by factors including supply and demand, the state of the economy, the politic

Financial news is essential for accurate market prediction, but evolving narratives across macroeconomic regimes introduce semantic and causal drift that weaken model reliability. We present an evaluation framework to quantify robustness in financial NLP under regime shifts. The framework defines fo

This paper demonstrates that hedge funds tend to design their activist campaigns to align with the preferences and ideologies of institutions holding large stakes in the target company. I estimate these preferences by analyzing the institutions’ previous proxy voting behavior. The results reveal tha

Accurate industry classification is critical for many areas of portfolio management, yet the traditional single-industry framework of the Global Industry Classification Standard (GICS) struggles to comprehensively represent risk for highly diversified multi-sector conglomerates like Amazon. Previous

With the rapid development of artificial intelligence, long short term memory (LSTM), one kind of recurrent neural network (RNN), has been widely applied in time series prediction. Like RNN, Transformer is designed to handle the sequential data. As Transformer achieved great success in Natural Langu

Financial market prediction is a challenging application of machine learning, where even small improvements in directional accuracy can yield substantial value. Most models struggle to exceed 55–57% accuracy due to high noise, non-stationarity, and market efficiency. We introduce a hybrid ensemble f

We study how sentiment shocks propagate through equity returns and investor clientele using four independent proxies with sign-aligned kappa-rho parameters. A structural calibration links a one standard deviation innovation in sentiment to a pricing impact of 1.06 basis points with persistence param

LLM agents are promising tools for empirical discovery, but their flexibility can also turn discovery into uncontrolled search. We study how to use agents under a reproducible protocol through cryptocurrency factor discovery. Our framework casts the task as sequential hypothesis search: an agent rea

Financial news plays a critical role in the information diffusion process in financial markets and is a known driver of stock prices. However, the information in each news article is not necessarily self-contained, often requiring a broader understanding of the historical news coverage for accurate

We create a firm-level ChatGPT investment score, based on conference calls, that measures managers’ anticipated changes in capital expenditures. We validate the score with interpretable textual content and its strong correlation with CFO survey responses. The investment score predicts future capital

We propose a distributional framework for benchmarking socio-technical risks of foundation models with quantified statistical significance. Our approach hinges on a new statistical relative testing based on first and second order stochastic dominance of real random variables. We show that the second

We document the capability of large language models (LLMs) like ChatGPT to predict stock market reactions from news headlines without direct financial training. Using post-knowledge-cutoff headlines, GPT-4 captures initial market responses, achieving approximately 90% portfolio-day hit rates for the

In healthcare equities, much of what moves a single name arrives as text: filings, trial and regulatory records, news and analyst commentary. We evaluate how screened non-market features and language-model representations improve market-based equity rankings for US healthcare firms over 2020-2025. A

Formulaic alpha factor mining searches for symbolic expressions that transform market data into predictive signals. Recent LLM-based evolutionary factor mining methods use large language models as semantic variation operators. Under the conventional LLM-EA paradigm, stochastic variation and fitness-

A defined-benefit pension is only as safe as its sponsor, yet sponsor distress is under-instrumented relative to plan-side modelling. We present a transparent, reproducible early-warning pipeline built entirely on public data. A Sponsor Vulnerability Index (SVI), a gradient-boosted classifier over p

Financial AI systems suffer from a critical blind spot: while Retrieval-Augmented Generation (RAG) excels at finding relevant documents, language models still generate calculation errors and regulatory violations during reasoning, even with perfect retrieval. This paper introduces VERAFI (Verified A

The aim of this paper is to dig deeper into understanding the exchange rates and uncertainty dependence. Using the novel Baker et al. (2020)’s daily Twitter Uncertainty Index and BRICS exchange rates, we investigate their extreme tail dependence within an original time-varying copula framework. Our

We propose a novel model, the Hyped Log-Periodic Power Law Model (HLPPL), to the problem of quantifying and detecting financial bubbles, an ever-fascinating one for academics and practitioners alike. Bubble labels are generated using a Log-Periodic Power Law (LPPL) model, sentiment scores, and a hyp

In recent years, China’s bond market has seen a surge in defaults amid regulatory reforms and macroeconomic volatility. Traditional machine learning models struggle to capture financial data’s irregularity and temporal dependencies, while most deep learning models lack interpretability-critical for

Central banks around the world play a crucial role in maintaining economic stability. Deciphering policy implications in their communications is essential, especially as misinterpretations can disproportionately impact vulnerable populations. To address this, we introduce the World Central Banks (WC

Stochastic Discount Factor (SDF) models provide a unified framework for asset pricing and risk assessment, yet traditional formulations struggle to incorporate unstructured textual information. We introduce NewsNet-SDF, a novel deep learning framework that seamlessly integrates pretrained language m

This paper addresses the critical disconnect between prediction and decision quality in portfolio optimization by integrating Large Language Models (LLMs) with decision-focused learning. We demonstrate both theoretically and empirically that minimizing the prediction error alone leads to suboptimal

Deep generative models are becoming increasingly used as tools for financial analysis. However, it is unclear how these models will influence financial markets, especially when they infer financial value in a semi-autonomous way. In this work, we explore the interplay between deep generative models

Multi-agent LLM systems fail in production at rates between 41% and 87%, mostly due to coordination defects rather than base-model capability. Existing responses split between cataloguing failure modes empirically and shipping declarative orchestration frameworks as engineering tools; neither delive

For LLM trading agents to be genuinely trustworthy, they must demonstrate understanding of market dynamics rather than exploitation of memorized ticker associations. Building responsible multi-agent systems demands rigorous signal validation: proving that predictions reflect legitimate patterns, not

Stock market prediction presents considerable challenges for investors, financial institutions, and policymakers operating in complex market environments characterized by noise, non-stationarity, and behavioral dynamics. Traditional forecasting methods, including fundamental analysis and technical i

We examine how textual features in earnings press releases predict stock returns on earnings announcement days. Using over 138,000 press releases from 2005 to 2023, we compare traditional bag-of-words and BERT-based embeddings. We find that press release content (soft information) is as informative

Corporate credit rating serves as a crucial intermediary service in the market economy, playing a key role in maintaining economic order. Existing credit rating models rely on financial metrics and deep learning. However, they often overlook insights from non-financial data, such as corporate annual

Short-term sentiment forecasting in financial markets (e.g., stocks, indices) is challenging due to volatility, non-linearity, and noise in OHLC (Open, High, Low, Close) data. This paper introduces a novel CMG (Chaos-Markov-Gaussian) framework that integrates chaos theory, Markov property, and Gauss

Predicting earnings surprises from financial documents, such as earnings conference calls, regulatory filings, and financial news, has become increasingly important in financial economics. However, these financial documents present significant analytical challenges, typically containing over 5,000 w

The Black-Litterman model addresses the sensitivity issues of tra- ditional mean-variance optimization by incorporating investor views, but systematically generating these views remains a key challenge. This study proposes and validates a systematic frame- work that translates return forecasts and p