Event Details

Please join us for a discussion with Professor Bradford Levy, a Ross MBA alum and current Assistant Professor at Chicago Booth.  Professor Levy will be discussing his research on large language models and how they can be applied in financial markets.  Drinks and appetizers will be served.

Amidst the wealth of content in the digital era, identifying information that is genuinely relevant is the most challenging task. This study builds a state-of-the-art large language model to uncover new, or surprising information in textual data. Specifically, we estimate an LLM that leverages data from the financial markets domain to model investors’ prior beliefs over narrative content and, thus, identify new information that a company communicates. Our models, which are tailored to each firm, allow us to determine when a sentence or a paragraph in a corporate filing contains a surprise. We also generate a summary measure of the amount of information released in each document, and we show that this measure explains a large portion of market response to disclosed information and predicts firms’ future profitability. In sum, our study highlights the importance of identifying new and salient information in today’s complex, data-driven landscape.