Not All News Is Equal: Topic- and Event-Conditional Sentiment from Finetuned LLMs for Aluminum Price Forecasting
Authors: Alvaro Paredes Amorin, Andre Python, Christoph Weisser
Organizations: International Business School, Zhejiang University · Center for Data Science, Zhejiang University · Centre for Human Genetics, Nuffield Department of Medicine, Oxford University · School of Medicine, Zhejiang University · Bielefeld School of Business, Hochschule Bielefeld (HSBI) - University of Applied Sciences and Arts
By capturing the prevailing sentiment and market mood, textual data has become increasingly vital for forecasting commodity prices, particularly in metal markets. However, the effectiveness of lightweight, finetuned large language models (LLMs) in extracting predictive signals for aluminum prices, and the specific market conditions under which these signals are most informative, remains under-explored. This study generates monthly sentiment scores from English and Chinese news headlines (Reuters, Dow Jones Newswires, and China News Service) and integrates them with traditional tabular data, including base metal indices, exchange rates, inflation rates, and energy prices. We evaluate the predictive performance and economic utility of these models through long-short simulations on the Shanghai Metal Exchange from 2007 to 2024. Our results demonstrate that during periods of high volatility, Long Short-Term Memory (LSTM) models incorporating sentiment data from a finetuned Qwen3 model (Sharpe ratio 1.04) significantly outperform baseline models using tabular data alone (Sharpe ratio 0.23). Subsequent analysis elucidates the nuanced roles of news sources, topics, and event types in aluminum price forecasting.
Figures & tables
Figure 1: Workflow. Data 1 : financial data from WIND terminal includes tabular data extracted from March 2007 to April 2024 (4,152 rows). Data 2 : textual data that includes headlines from two news sources in English (Reuters (N=4,963), Dow Jones Newswires (N=11,581), and a news source in Chinese (China News Service (N=8,970)) collected from March 2007 to April 2024. The data processing and sentiment analysis (green) includes data scaling, normalization, and the treatment of missing values for the tabular data, and the use of language models to generate new sentiment variables from Data 2 . The sentiment is classified in “positive”, “negative” or “neutral”. Monthly sentiment scores are combined with other numerical data (yellow box) to train and test time series models in order to predict monthly aluminum prices.
Figure 2: Evaluation of portfolio’s performance by strategy and volatility scenarios. For each strategy (tabular-only, tabular+sentiment, sentiment only (qwen), sentiment only (reuters)) the portfolio’s performance is represented by the Sharpe ratio (y-axis) across three volatility scenarios (panels), with: A high volatility scenario (n=28 months), B medium volatility (n=106 months), and C low volatility (n=66 months). Error bars represent ±1 standard error. The highlighted bars (orange) indicate the best performing strategy within each scenario.
Figure 3: Evaluation of topic and event type in predictive aluminum prices. A Comparison of Sharpe ratio across the top five most covered topics (Price Movement, Company News, Production Output, Inventory Stocks, Supply Disruption) and the best topic combination, all calculated using Reuters headlines with the finetuned Qwen sentiment. The benchmark (gray) represents all headlines aggregated. Here n shows the number of months in which each topic is present. B Comparison of forward-looking versus past event news types. C Comparison of the top-performing topic (Price Movement) by event type. Error bars represent ±1 standard error. The green bar indicates the best-performing topic combination, while the orange bars indicate the best performing individual topic or event type.
Figure 4: Predictive performance by topic coverage. A Percentage of headlines allocated to each topic by source. B Global Sharpe ratio by topic, with gold rings highlighting the top three performers. Topics are sorted by global Sharpe ratio (descending).
Topic
Reuters
DowJones
ChinaService
Improvement vs Reuters
(Benchmark)
Sharpe
Sharpe
DowJones (%)
ChinaService (%)
Price Movement
0.714
0.525
0.674
-26.6
-5.6
Environmental
0.601
0.347
0.395
-42.3
-34.3
Other
0.612
0.123
0.167
-79.9
-72.8
Market Analysis
0.221
0.348
0.020
+57.5
-91.1
Production Output
0.042
0.125
0.283
+198.5
+577.4
Table 1: Sharpe ratio comparison across all individual topics, sorted by global performance. Improvements are computed relative to Reuters as the benchmark.
Appendix figures & tables16 assets
Supplementary material from the paper’s appendix.
Appendix
Figure 5: Cluster plot of the Reuters and Dow Jones Newswires aluminum datasets before (left) and after (right) filtering using LLaMA3. The y and x axis are the 2 dimensions obtained by reducing the embeddings dimensions. The plots on the left show less number of outliers outside the main groups clusters.
Figure 6: Combination of models, sentiment sources and time windows
Figure 7: Average R2 score by number of layers and by hidden size. The solid line in black is the average of the five time series models. The faded lines are each respective model R2 , blue for BiLSTM, green for TFT, purple for GRU, orange for ConvLSTM and red for LSTM.
Figure 8: Predicted aluminum price and true aluminum price from November 2007 to April 2024.
Figure 9: Sentiment source averaged R 2 score per time window and model on the left, bands show the 95% confidence intervals of those mean R² values. Time window averaged R 2 score per sentiment source and model on the right, whiskers show the 95% confidence intervals of those mean R² values.
Configuration
Time Window
Category
Name
1M
3M
6M
12M
Avg
A. Model Performance
Models
BiLSTM
0.549
0.573
0.562
0.534
0.554
ConvLSTM
0.585
0.569
0.559
0.543
0.564
GRU
0.550
0.545
0.562
0.545
0.551
LSTM
0.564
0.563
0.549
0.548
0.556
Appendix
Table 2: Directional Hit Rate Performance by Model and Sentiment Source Across Time Windows. Hit rates represent the percentage of correct directional predictions. Values closer to 1.000 indicate bet- ter performance. The 3-month window shows the highest average hit rate across both models and sources. Values in bold highlight the time window (panels A and B) with the best average hit rate, and the model (panel A) and sentiment source (B) with the best average hit rate.
Configuration
Time Window
Category
Name
1M
3M
6M
12M
Avg
Best
A. Model Performance
Models
BiLSTM
0.346
0.523
0.097
-0.076
0.222
2.32
ConvLSTM
-0.292
0.062
-0.096
0.147
-0.045
1.02
GRU
0.125
-0.308
1.087
-0.334
0.142
2.66
LSTM
1.687
-0.178
0.105
-0.269
0.336
2.92
Appendix
Table 3: Total return performance by model and sentiment source across time windows. A. Sentiment-source averaged returns for each mode. B. Model-averaged returns for each sentiment source. Values represent total returns (multiplicative factors, where a value of X indicates an X × 100% return). The “Avg” column shows time-window averaged performance, and “Best” reports the highest return achieved.
Figure 10: Model averaged returns by time window (A). These are the total returns of all setups averaged for each model and time window. Source averaged returns (B) by time window. These are the total returns of all setups averaged for each sentiment source and time window.
Figure 11: Comparison of the best Sentiment vs No-Sentiment Models returns vs True Aluminum price. Y axis is the Portfolio Value, with the starting point being 100 (100% of the intial value).
Figure 12: Monthly return of best sentiment and no-sentiment models monthly returns. The red bars show month where the two configurations made a different decision.
News Headline
Date
Sentiment
Coronavirus will negatively affect aluminum market in China
28-Feb-20
Negative
Coronavirus double shock for aluminium sector
24-Feb-20
Negative
LME aluminium can test support at $1,688
24-Feb-20
Negative
Japan aluminium stocks down 2.8%
18-Feb-20
Negative
LME aluminium testing support at $1,709
10-Feb-20
Negative
LME aluminium seeking support at $1,709
03-Feb-20
Negative
Appendix
Table 4: Sentiment analysis of market news (February 2020).
News Headline
Date
Sentiment
Norway’s Hydro to cut Slovakia aluminium output further due to power prices
30-Dec-21
Negative
Copper slips in range-bound trade, aluminium shines on supply worries
30-Dec-21
Negative
Power price surge pushes aluminium to 2-month high
23-Dec-21
Positive
China Nov aluminium output at 3.10 mln tonnes – stats bureau
15-Dec-21
Neutral
Scarce supplies to propel aluminium to top LME leaderboard
15-Dec-21
Positive
Marubeni sees Japanese aluminium premiums at 140–250/T in 2022
07-Dec-21
Neutral
Appendix
Table 5: Sentiment analysis of market news (December 2021).
News Headline
Date
Sentiment
London aluminium poised for worst month in over a decade on growth risks
29-Apr-22
Negative
China Shenhuo to raise aluminium output in Yunnan as power curbs ease
26-Apr-22
Positive
Global aluminium output falls 1.55% in March year on year, IAI says
20-Apr-22
Negative
Shanghai aluminium hits 3-month low on strong dollar, demand woes
12-Apr-22
Negative
Shanghai aluminium sinks to 3-month low as demand woes linger
12-Apr-22
Negative
China demand angst hits aluminium prices
11-Apr-22
Negative
Appendix
Table 6: Sentiment analysis of market news (April 2022).
Figure 13: Panel A: Volatility Regimes Over Time. Red area represents the high-volatility regime, yellow represents medium-volatility and green low-volatility. Panel B: Portfolio Values Over Time for the different strategies. Blue line represents the price-based strategy, red line price-based strategy combined with sentiment, green line sentiment only strategy with sentiment predicted by finetuned Qwen, yellow line sentiment only strategy with sentiment predicted by FinBERT and black line buy & hold strategy.
Model
Source
Horizon
Hidden Size
Layers
R 2
RMSE
MAE
bilstm
reuters
1 months
256
5
0.89
126.79
91.59
bilstm
reuters
3 months
256
3
0.88
132.66
92.02
bilstm
reuters
6 months
64
3
0.89
126.92
88.74
bilstm
reuters
12 months
64
3
0.89
128.64
95.47
bilstm
dowjones
1 months
256
5
0.88
130.12
93.37
bilstm
dowjones
3 months
128
4
0.88
129.93
92.71
Appendix
Table 7: Best results ( R2 , RMSE and MAE) for the best hyperparameter combination for each model, sentiment source and time window.
Model
Source
Horizon
R 2
RMSE
MAE
HitRate
p_value
TotRet
lstm
chinaservice
1_months
0.90
121.83
87.18
0.56
0.0665
1.16
lstm
chinaservice
3_months
0.87
138.20
100.94
0.56
0.0651
-0.60
lstm
chinaservice
6_months
0.87
134.75
99.10
0.55
0.1760
-0.08
lstm
chinaservice
12_months
0.88
134.19
98.15
0.55
0.1283
-0.21
lstm
reuters
1_months
0.89
125.12
87.98
0.55
0.1594
2.92
lstm
reuters
3_months
0.87
135.41
94.14
0.60
0.0041
0.45
Appendix
Table 8: Trading simulation results for the best hyperparameter combination for each model, sentiment source and time window. The p-value here measures the statistical significance of the model’s directional accuracy relative to random chance (50%). The TotRet metric shows the total return of the trading strategy over the backtest period.
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