The Research Question: Can AI Actually Improve Momentum Strategies?
Momentum investing has been a cornerstone of quantitative finance for decades. Researchers Nikolas Anic, Andrea Barbon, Ralf Seiz, and Carlo Zarattini hypothesized that the ability of large language models (LLMs) to interpret and synthesize textual information in real time can be used to identify news that is likely to trigger price momentums. Their study, “ChatGPT in Systematic Investing, Enhancing Risk-Adjusted Returns with...
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