Bong-Gyu Jang

Bong-Gyu Jang, Younwoo Jeong, Changeun Kim

We introduce the Consensus-Bottleneck Asset Pricing Model (CB-APM), a framework that reconciles the predictive power of deep learning with the structural transparency of traditional finance. By embedding aggregate analyst consensus as a structural "bottleneck", the model treats professional beliefs as a sufficient statistic for the market's high-dimensional information set. We document a striking "interpretability-accuracy amplification effect" for annual horizons, the structural constraint acts as an endogenous regularizer that significantly improves out-of-sample R2 over unconstrained benchmarks. Portfolios sorted on CB-APM forecasts exhibit a strong monotonic return gradient, delivering an annualized Sharpe ratio of 1.44 and robust performance across macroeconomic regimes. Furthermore, pricing diagnostics reveal that the learned consensus captures priced variation only partially spanned by canonical factor models, identifying structured risk heterogeneity that standard linear models systematically miss. Our results suggest that anchoring machine intelligence to human-expert belief formation is not merely a tool for transparency, but a catalyst for uncovering new dimensions of belief-driven risk premiums.

Suchan Lee, Jihoon Choi, Sohyeon Lee et al.

Recent advances have investigated the use of pretrained large language models (LLMs) for time-series forecasting by aligning numerical inputs with LLM embedding spaces. However, existing multimodal approaches often overlook the distinct statistical properties and temporal dependencies that are fundamental to time-series data. To bridge this gap, we propose MAP4TS, a novel Multi-Aspect Prompting Framework that explicitly incorporates classical time-series analysis into the prompt design. Our framework introduces four specialized prompt components: a Global Domain Prompt that conveys dataset-level context, a Local Domain Prompt that encodes recent trends and series-specific behaviors, and a pair of Statistical and Temporal Prompts that embed handcrafted insights derived from autocorrelation (ACF), partial autocorrelation (PACF), and Fourier analysis. Multi-Aspect Prompts are combined with raw time-series embeddings and passed through a cross-modality alignment module to produce unified representations, which are then processed by an LLM and projected for final forecasting. Extensive experiments across eight diverse datasets show that MAP4TS consistently outperforms state-of-the-art LLM-based methods. Our ablation studies further reveal that prompt-aware designs significantly enhance performance stability and that GPT-2 backbones, when paired with structured prompts, outperform larger models like LLaMA in long-term forecasting tasks.