{"ID":2884190,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2508.07408","arxiv_id":"2508.07408","title":"Event-Aware Sentiment Factors from LLM-Augmented Financial Tweets: A Transparent Framework for Interpretable Quant Trading","abstract":"In this study, we wish to showcase the unique utility of large language models (LLMs) in financial semantic annotation and alpha signal discovery. Leveraging a corpus of company-related tweets, we use an LLM to automatically assign multi-label event categories to high-sentiment-intensity tweets. We align these labeled sentiment signals with forward returns over 1-to-7-day horizons to evaluate their statistical efficacy and market tradability. Our experiments reveal that certain event labels consistently yield negative alpha, with Sharpe ratios as low as -0.38 and information coefficients exceeding 0.05, all statistically significant at the 95\\% confidence level. This study establishes the feasibility of transforming unstructured social media text into structured, multi-label event variables. A key contribution of this work is its commitment to transparency and reproducibility; all code and methodologies are made publicly available. Our results provide compelling evidence that social media sentiment is a valuable, albeit noisy, signal in financial forecasting and underscore the potential of open-source frameworks to democratize algorithmic trading research.","short_abstract":"In this study, we wish to showcase the unique utility of large language models (LLMs) in financial semantic annotation and alpha signal discovery. Leveraging a corpus of company-related tweets, we use an LLM to automatically assign multi-label event categories to high-sentiment-intensity tweets. We align these labeled...","url_abs":"https://arxiv.org/abs/2508.07408","url_pdf":"https://arxiv.org/pdf/2508.07408v1","authors":"[\"Yueyi Wang\",\"Qiyao Wei\"]","published":"2025-08-10T16:09:14Z","proceeding":"q-fin.ST","tasks":"[\"q-fin.ST\",\"cs.CL\",\"cs.LG\"]","methods":"[\"Large Language Model\",\"Language Model\"]","has_code":false}