Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Guez, Beatrice"'
Autor:
Lefort, Baptiste, Benhamou, Eric, Ohana, Jean-Jacques, Guez, Beatrice, Saltiel, David, Jacquot, Thomas
This paper explores the application of the Condorcet Jury theorem to the domain of sentiment analysis, specifically examining the performance of various large language models (LLMs) compared to simpler natural language processing (NLP) models. The th
Externí odkaz:
http://arxiv.org/abs/2409.00094
In this paper, we demonstrate that non-generative, small-sized models such as FinBERT and FinDRoBERTa, when fine-tuned, can outperform GPT-3.5 and GPT-4 models in zero-shot learning settings in sentiment analysis for financial news. These fine-tuned
Externí odkaz:
http://arxiv.org/abs/2409.11408
Autor:
Lefort, Baptiste, Benhamou, Eric, Ohana, Jean-Jacques, Saltiel, David, Guez, Beatrice, Jacquot, Thomas
This paper introduces a new risk-on risk-off strategy for the stock market, which combines a financial stress indicator with a sentiment analysis done by ChatGPT reading and interpreting Bloomberg daily market summaries. Forecasts of market stress de
Externí odkaz:
http://arxiv.org/abs/2404.00012
Autor:
Lefort, Baptiste, Benhamou, Eric, Ohana, Jean-Jacques, Saltiel, David, Guez, Beatrice, Challet, Damien
We used a dataset of daily Bloomberg Financial Market Summaries from 2010 to 2023, reposted on large financial media, to determine how global news headlines may affect stock market movements using ChatGPT and a two-stage prompt approach. We document
Externí odkaz:
http://arxiv.org/abs/2401.05447
Omega ratio, defined as the probability-weighted ratio of gains over losses at a given level of expected return, has been advocated as a better performance indicator compared to Sharpe and Sortino ratio as it depends on the full return distribution a
Externí odkaz:
http://arxiv.org/abs/1911.10254
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation. However, the e
Externí odkaz:
http://arxiv.org/abs/1905.08042
This paper revisits the Bayesian CMA-ES and provides updates for normal Wishart. It emphasizes the difference between a normal and normal inverse Wishart prior. After some computation, we prove that the only difference relies surprisingly in the expe
Externí odkaz:
http://arxiv.org/abs/1904.01466
In this paper, we present three remarkable properties of the normal distribution: first that if two independent variables's sum is normally distributed, then each random variable follows a normal distribution (which is referred to as the Levy Cramer
Externí odkaz:
http://arxiv.org/abs/1810.01768
Autor:
Benhamou, Eric, Guez, Beatrice
Publikováno v:
Journal of Statistical and Econometric Methods, vol.7, no.4, 2018, 19-37
We present a new methodology of computing incremental contribution for performance ratios for portfolio like Sharpe, Treynor, Calmar or Sterling ratios. Using Euler's homogeneous function theorem, we are able to decompose these performance ratios as
Externí odkaz:
http://arxiv.org/abs/1807.09864
Financial markets allocation is a difficult task as the method needs to dramatically change its behavior when facing very rare black swan events like crises that shift market regime. In order to address this challenge, we present a gradient boosting
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::fba26c12fafeca7eeda158da55f9ebce
https://hal.archives-ouvertes.fr/hal-03320297
https://hal.archives-ouvertes.fr/hal-03320297