q-fin.STMar 12, 2026

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

Authors: Dehao Dai, Ding Ma, Dou Liu, Kerui Geng, Yiqing Wang

Organizations: University of California San Diego, La Jolla, California, United States · Georgia Institute of Technology, Atlanta, Georgia, United States · New York University, New York, New York, United States · Tulane University, New Orleans, Louisiana, United States · Southern Methodist University, Dallas, Texas, United States

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.

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