Sentiment-Augmented RNN Models for Mini-TAIEX Futures Prediction

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Authors: Yu-Heng Hsieh, Keng‐Pei Lin, Ching-Hsi Tseng, Xiaolong Liu, Shyan‐Ming Yuan
Cited by: 0
References: 33

Abstract

Accurate forecasting in low-liquidity futures markets is essential for effective trading. This study introduces a hybrid decision-support framework that combines Mini-TAIEX (MTX) futures data with sentiment signals extracted from 13 financial news sources and PTT forum discussions. Sentiment features are generated using three domain-adapted large language models—FinGPT-internLM, FinGPT-llama, and FinMA—trained on more than 360,000 finance-related texts. These features are integrated with technical indicators in four deep learning models: LSTM, GRU, Informer, and PatchTST. Experiments from June 2024 to June 2025 show that sentiment-augmented models consistently outperform baselines. Backtesting further demonstrates that the sentiment-enhanced PatchTST achieves a 526% cumulative return with a Sharpe ratio of 0.407, highlighting the value of incorporating sentiment into AI-driven futures trading systems.

Fields of Study & Subjects

Stock Market Forecasting Methods Financial Markets and Investment Strategies Sentiment Analysis and Opinion Mining

Publication details

Journal / source
Algorithms
Volume
19
Issue
1
Pages
69–69
Publication date
13 January 2026
Language
EN