Combining Financial Data and News Articles for Stock Price Movement Prediction Using Large Language Models

ArXiv ID: 2411.01368 “View on arXiv”

Authors: Unknown

Abstract

Predicting financial markets and stock price movements requires analyzing a company’s performance, historic price movements, industry-specific events alongside the influence of human factors such as social media and press coverage. We assume that financial reports (such as income statements, balance sheets, and cash flow statements), historical price data, and recent news articles can collectively represent aforementioned factors. We combine financial data in tabular format with textual news articles and employ pre-trained Large Language Models (LLMs) to predict market movements. Recent research in LLMs has demonstrated that they are able to perform both tabular and text classification tasks, making them our primary model to classify the multi-modal data. We utilize retrieval augmentation techniques to retrieve and attach relevant chunks of news articles to financial metrics related to a company and prompt the LLMs in zero, two, and four-shot settings. Our dataset contains news articles collected from different sources, historic stock price, and financial report data for 20 companies with the highest trading volume across different industries in the stock market. We utilized recently released language models for our LLM-based classifier, including GPT- 3 and 4, and LLaMA- 2 and 3 models. We introduce an LLM-based classifier capable of performing classification tasks using combination of tabular (structured) and textual (unstructured) data. By using this model, we predicted the movement of a given stock’s price in our dataset with a weighted F1-score of 58.5% and 59.1% and Matthews Correlation Coefficient of 0.175 for both 3-month and 6-month periods.

Keywords: Large Language Models (LLMs), Retrieval-Augmented Generation (RAG), Multi-modal Data, Financial Sentiment Analysis, Stock Price Prediction

Complexity vs Empirical Score

• Math Complexity: 3.0/10
• Empirical Rigor: 6.0/10
• Quadrant: Street Traders
• Why: The paper applies established LLM techniques (zero/few-shot prompting, retrieval augmentation) with minimal novel mathematical formalization, but demonstrates strong empirical implementation through detailed data collection, model selection (GPT-3/4, LLaMA), and reported metrics (F1-score, MCC).

  flowchart TD
    A["Research Goal<br>Predict stock price movement<br>using multi-modal data"] --> B{"Data Collection"}
    B --> C["Financial Data<br>Tabular: Income, Balance, Cash Flow"]
    B --> D["Market Data<br>Tabular: Historical Prices"]
    B --> E["News Articles<br>Textual: Sentiment & Events"]
    C & D & E --> F["Preprocessing & RAG<br>Retrieve relevant news chunks"]
    F --> G["LLM Classifier<br>GPT-3/4, LLaMA-2/3<br>Zero/Few-shot prompting"]
    G --> H["Outcome<br>Weighted F1: 58.5% - 59.1%<br>MCC: 0.175"]