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Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction

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Listed:
  • Dehao Dai
  • Ding Ma
  • Dou Liu
  • Kerui Geng
  • Yiqing Wang

Abstract

Forecasting crude oil prices remains challenging because market-relevant information is embedded in large volumes of unstructured news and is not fully captured by traditional polarity-based sentiment measures. This paper examines whether multi-dimensional sentiment signals extracted by large language models improve the prediction of weekly WTI crude oil futures returns. Using energy-sector news articles from 2020 to 2025, we construct five sentiment dimensions covering relevance, polarity, intensity, uncertainty, and forwardness based on GPT-4o, Llama 3.2-3b, and two benchmark models, FinBERT and AlphaVantage. We aggregate article-level signals to the weekly level and evaluate their predictive performance in a classification framework. The best results are achieved by combining GPT-4o and FinBERT, suggesting that LLM-based and conventional financial sentiment models provide complementary predictive information. SHAP analysis further shows that intensity- and uncertainty-related features are among the most important predictors, indicating that the predictive value of news sentiment extends beyond simple polarity. Overall, the results suggest that multi-dimensional LLM-based sentiment measures can improve commodity return forecasting and support energy-market risk monitoring.

Suggested Citation

  • Dehao Dai & Ding Ma & Dou Liu & Kerui Geng & Yiqing Wang, 2026. "Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction," Papers 2603.11408, arXiv.org, revised Mar 2026.
  • Handle: RePEc:arx:papers:2603.11408
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