arXiv q-fin· Zhiyu Zheng·· 13 hr agoAI Score63
arXiv Paper: Diagnosing the Incremental Information of Reddit WSB Post Embeddings for Volatility Prediction
More Mentions, Less Information? Diagnosing Identity and Alignment in Reddit Embeddings for Volatility Forecasting
AI summary
This 9-page paper accepted by ICAIF '26 proposes a diagnostic protocol to examine the true source of incremental information from LLM embeddings of r/WallStreetBets posts for volatility prediction. The study covers panel data of 202,145 mentioned stock-days from 2015 to 2022, using a retrospective rolling out-of-sample test.
Source:arXiv q-fin · arxiv.org
Options and VolatilityMachine LearningLarge Language Model ApplicationsPaper Research#Papers / Research#Volatility#Machine Learning#Large Language Model Applications#US Stocks#arXiv