Xinli Yu


2023

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Harnessing LLMs for Temporal Data - A Study on Explainable Financial Time Series Forecasting
Xinli Yu | Zheng Chen | Yanbin Lu
Proceedings of the 2023 Conference on Empirical Methods in Natural Language Processing: Industry Track

Applying machine learning to financial time series has been an active area of industrial research enabling innovation in market insights, risk management, strategic decision-making, and policy formation. This paper explores the novel use of Large Language Models (LLMs) for explainable financial time series forecasting, addressing challenges in cross-sequence reasoning, multi-modal data integration, and result interpretation that are inherent in traditional approaches. Focusing on NASDAQ-100 stocks, we utilize public historical stock data, company metadata, and economic/financial news. Our experiments employ GPT-4 for zero-shot/few-shot inference and Open LLaMA for instruction-based fine-tuning. The study demonstrates LLMs’ ability to generate well-reasoned decisions by leveraging cross-sequence information and extracting insights from text and price time series. We show that our LLM-based approach outperforms classic ARMA-GARCH and gradient-boosting tree models. Furthermore, fine-tuned public LLMs, such as Open-LLaMA, can generate reasonable and explainable forecasts, although they underperform compared to GPT-4.
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