{"title":"ChatGPT and Commodity Return","authors":"Shen Gao, Shijie Wang, Yuanzhi Wang, Qunzi Zhang","doi":"10.1002/fut.22568","DOIUrl":null,"url":null,"abstract":"<div>\n \n <p>This paper investigates the ability of a ChatGPT-based indicator to forecast excess returns of the commodity futures index. Using ChatGPT to extract information from over 2.5 million articles from nine international newspapers, we demonstrate that our constructed commodity news ratio index significantly predicts future commodity returns, both in-sample and out-of-sample. Furthermore, it outperforms traditional textual analysis methods, including Bidirectional Encoder Representations from Transformers (BERT) and Bag-of-Words (BoW), while indicating economic significance within an asset allocation framework. The results highlight the critical role of ChatGPT in forecasting commodity market dynamics and provide valuable insights for both financial market participants and researchers.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"161-175"},"PeriodicalIF":1.8000,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22568","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This paper investigates the ability of a ChatGPT-based indicator to forecast excess returns of the commodity futures index. Using ChatGPT to extract information from over 2.5 million articles from nine international newspapers, we demonstrate that our constructed commodity news ratio index significantly predicts future commodity returns, both in-sample and out-of-sample. Furthermore, it outperforms traditional textual analysis methods, including Bidirectional Encoder Representations from Transformers (BERT) and Bag-of-Words (BoW), while indicating economic significance within an asset allocation framework. The results highlight the critical role of ChatGPT in forecasting commodity market dynamics and provide valuable insights for both financial market participants and researchers.
期刊介绍：
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
