Chatgpt, Twitter Sentiment and Bitcoin Return

Abstract

Our research augments the expanding body of literature concerning the capabilityof prevalent Generative AI tools in supporting financial professionals. Weintroduce a framework to leverage ChatGPT for assessing market sentimentthrough the analysis of social media data. We use the framework to constructmarket sentiment indicators based on Twitter tweets and use those indicators toexplain Bitcoin return. Our analysis uncovers that sentiment indicators craftedwith ChatGPT3.5 significantly affect Bitcoin returns, even when accounting fora broad array of control variables and other pre-established sentiment indicators.These insights imply that ChatGPT3.5 could empower financial professionalsto discover sentiment information from Twitter tweets that were overlooked bypreviously introduced sentiment indicators concerning Bitcoin.

Keywords: ChatGPT, Generative AI, Twitter sentiment, Bitcoin