Event-Aware Sentiment Factors from LLM-Augmented Financial Tweets: A Transparent Framework for Interpretable Quant Trading

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.

Improving Information Cascade Modeling by Social Topology and Dual Role User Dependency

In the last decade, information diffusion (also known as information cascade) on social networks has been massively investigated due to its application values in many fields. In recent years, many sequential models including those models based on recurrent neural networks have been broadly employed to predict information cascade. However, the user dependencies in a cascade sequence captured by sequential models are generally unidirectional and inconsistent with diffusion trees. For example, the true trigger of a successor may be a non-immediate predecessor rather than the immediate predecessor in the sequence. To capture user dependencies more sufficiently which are crucial to precise cascade modeling, we propose a non-sequential information cascade model named as TAN-DRUD (Topology-aware Attention Networks with Dual Role User Dependency). TAN-DRUD obtains satisfactory performance on information cascade modeling through capturing the dual role user dependencies of information sender and receiver, which is inspired by the classic communication theory. Furthermore, TANDRUD incorporates social topology into two-level attention networks for enhanced information diffusion prediction. Our extensive experiments on three cascade datasets demonstrate that our model is not only superior to the state-of-the-art cascade models, but also capable of exploiting topology information and inferring diffusion trees.