{"title":"GPT情绪分析在股票收益预测中的预估偏差","authors":"Paul Glasserman, Caden Lin","doi":"arxiv-2309.17322","DOIUrl":null,"url":null,"abstract":"Large language models (LLMs), including ChatGPT, can extract profitable\ntrading signals from the sentiment in news text. However, backtesting such\nstrategies poses a challenge because LLMs are trained on many years of data,\nand backtesting produces biased results if the training and backtesting periods\noverlap. This bias can take two forms: a look-ahead bias, in which the LLM may\nhave specific knowledge of the stock returns that followed a news article, and\na distraction effect, in which general knowledge of the companies named\ninterferes with the measurement of a text's sentiment. We investigate these\nsources of bias through trading strategies driven by the sentiment of financial\nnews headlines. We compare trading performance based on the original headlines\nwith de-biased strategies in which we remove the relevant company's identifiers\nfrom the text. In-sample (within the LLM training window), we find,\nsurprisingly, that the anonymized headlines outperform, indicating that the\ndistraction effect has a greater impact than look-ahead bias. This tendency is\nparticularly strong for larger companies--companies about which we expect an\nLLM to have greater general knowledge. Out-of-sample, look-ahead bias is not a\nconcern but distraction remains possible. Our proposed anonymization procedure\nis therefore potentially useful in out-of-sample implementation, as well as for\nde-biased backtesting.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"6 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis\",\"authors\":\"Paul Glasserman, Caden Lin\",\"doi\":\"arxiv-2309.17322\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Large language models (LLMs), including ChatGPT, can extract profitable\\ntrading signals from the sentiment in news text. However, backtesting such\\nstrategies poses a challenge because LLMs are trained on many years of data,\\nand backtesting produces biased results if the training and backtesting periods\\noverlap. This bias can take two forms: a look-ahead bias, in which the LLM may\\nhave specific knowledge of the stock returns that followed a news article, and\\na distraction effect, in which general knowledge of the companies named\\ninterferes with the measurement of a text's sentiment. We investigate these\\nsources of bias through trading strategies driven by the sentiment of financial\\nnews headlines. We compare trading performance based on the original headlines\\nwith de-biased strategies in which we remove the relevant company's identifiers\\nfrom the text. In-sample (within the LLM training window), we find,\\nsurprisingly, that the anonymized headlines outperform, indicating that the\\ndistraction effect has a greater impact than look-ahead bias. This tendency is\\nparticularly strong for larger companies--companies about which we expect an\\nLLM to have greater general knowledge. Out-of-sample, look-ahead bias is not a\\nconcern but distraction remains possible. Our proposed anonymization procedure\\nis therefore potentially useful in out-of-sample implementation, as well as for\\nde-biased backtesting.\",\"PeriodicalId\":501372,\"journal\":{\"name\":\"arXiv - QuantFin - General Finance\",\"volume\":\"6 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-09-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - General Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2309.17322\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - General Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2309.17322","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis
Large language models (LLMs), including ChatGPT, can extract profitable
trading signals from the sentiment in news text. However, backtesting such
strategies poses a challenge because LLMs are trained on many years of data,
and backtesting produces biased results if the training and backtesting periods
overlap. This bias can take two forms: a look-ahead bias, in which the LLM may
have specific knowledge of the stock returns that followed a news article, and
a distraction effect, in which general knowledge of the companies named
interferes with the measurement of a text's sentiment. We investigate these
sources of bias through trading strategies driven by the sentiment of financial
news headlines. We compare trading performance based on the original headlines
with de-biased strategies in which we remove the relevant company's identifiers
from the text. In-sample (within the LLM training window), we find,
surprisingly, that the anonymized headlines outperform, indicating that the
distraction effect has a greater impact than look-ahead bias. This tendency is
particularly strong for larger companies--companies about which we expect an
LLM to have greater general knowledge. Out-of-sample, look-ahead bias is not a
concern but distraction remains possible. Our proposed anonymization procedure
is therefore potentially useful in out-of-sample implementation, as well as for
de-biased backtesting.