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BondBERT: What we learn when assigning sentiment in the bond market

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Listed:
  • Toby Barter
  • Zheng Gao
  • Eva Christodoulaki
  • Jing Chen
  • John Cartlidge

Abstract

Bond markets respond differently to macroeconomic news compared to equity markets, yet most sentiment models are trained primarily on general financial or equity news data. However, bond prices often move in the opposite direction to economic optimism, making general or equity-based sentiment tools potentially misleading. We introduce BondBERT, a transformer-based language model fine-tuned on bond-specific news. BondBERT can act as the perception and reasoning component of a financial decision-support agent, providing sentiment signals that integrate with forecasting models. We propose a generalisable framework for adapting transformers to low-volatility, domain-inverse sentiment tasks by compiling and cleaning 30,000 UK bond market articles (2018-2025). BondBERT's sentiment predictions are compared against FinBERT, FinGPT, and Instruct-FinGPT using event-based correlation, up/down accuracy analyses, and LSTM forecasting across ten UK sovereign bonds. We find that BondBERT consistently produces positive correlations with bond returns, and achieves higher alignment and forecasting accuracy than the three baseline models. These results demonstrate that domain-specific sentiment adaptation better captures fixed income dynamics, bridging a gap between NLP advances and bond market analytics.

Suggested Citation

  • Toby Barter & Zheng Gao & Eva Christodoulaki & Jing Chen & John Cartlidge, 2025. "BondBERT: What we learn when assigning sentiment in the bond market," Papers 2511.01869, arXiv.org, revised Dec 2025.
  • Handle: RePEc:arx:papers:2511.01869
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