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

Financial sentiment analysis has become a standard component in news-driven stock prediction, yet it reduces rich, multi-dimensional news articles to a single polarity score. We hypothesize that financial news encodes multiple orthogonal information dimensions---event type, impact scope, temporal horizon, and semantic confidence---that sentiment alone cannot capture, and that these dimensions carry independent predictive value. To test this hypothesis, we propose a structured information extraction framework that leverages LLaMA-3.1-70B to extract six semantic dimensions from financial news. Through large-scale experiments on 41,618 news--stock pairs from the FNSPID dataset, we find that (i) FinBERT sentiment features exhibit strong predictive power under nonlinear models (F1=0.576) but substantially weaker performance under linear models (F1=0.230), revealing a highly nonlinear sentiment--return relationship; (ii) LLM-extracted structured features, while individually weaker, capture information orthogonal to sentiment, as evidenced by a 53.5% systematic disagreement rate between the two approaches; and (iii) combining both signal sources yields F1=0.600, significantly outperforming either alone ($p < 0.0001$), with consistent improvements across all seven event types. Ablation experiments confirm that non-sentiment structural dimensions (event type, impact subject, time horizon, confidence) independently contribute $Δ\text{F1} = +0.019$ beyond FinBERT alone. Feature importance analysis reveals balanced contributions from all six extracted dimensions (14--21%), demonstrating that compressing news into a single sentiment score incurs substantial information loss. Our results suggest that the sentiment--semantics decoupling in financial text is systematic and exploitable, opening a new direction for multi-dimensional financial NLP.

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.

Predicting real-world events from live market signals demands systems that fuse qualitative news with quantitative order-book dynamics under strict temporal discipline -- a challenge existing benchmarks fail to capture. We present PolyBench, a multimodal benchmark derived from Polymarket that records point-in-time cross-sections of 38,666 binary prediction markets spanning 4,997 events, synchronously coupling each snapshot with a Central Limit Order Book (CLOB) state and a real-time news stream. Using PolyBench, we evaluate seven state-of-the-art Large Language Models -- spanning open- and closed-source families -- generating 36,165 predictions under identical, timestamp-locked market states collected between February 6 and 12, 2026. Our multidimensional framework assesses directional accuracy, our proposed Confidence-Weighted Return (CWR), Annualized Percentage Yield (APY), and Sharpe ratio via realistic order-book execution simulation. The results reveal a pronounced performance divergence: only two of seven models achieve positive financial returns -- MiMo-V2-Flash at 17.6% CWR and Gemini-3-Flash at 6.2% CWR -- while the remaining five incur losses despite uniformly high stated confidence. These findings highlight the gap between surface-level language fluency and genuine probabilistic reasoning under live market uncertainty, and establish PolyBench as a contamination-proof, financially-grounded evaluation standard for future LLM research. Our dataset and code available at https://github.com/PolyBench/PolyBench.