Eghbal Rahimikia

Felix Drinkall, Eghbal Rahimikia, Janet B. Pierrehumbert et al.

Large language models (LLMs) are often trained on extensive, temporally indiscriminate text corpora, reflecting the lack of datasets with temporal metadata. This approach is not aligned with the evolving nature of language. Conventional methods for creating temporally adapted language models often depend on further pre-training static models on time-specific data. This paper presents a new approach: a series of point-in-time LLMs called Time Machine GPT (TiMaGPT), specifically designed to be nonprognosticative. This ensures they remain uninformed about future factual information and linguistic changes. This strategy is beneficial for understanding language evolution and is of critical importance when applying models in dynamic contexts, such as time-series forecasting, where foresight of future information can prove problematic. We provide access to both the models and training datasets.

Eghbal Rahimikia, Hao Ni, Weiguan Wang

Financial time series forecasting is central to trading, portfolio optimization, and risk management, yet it remains challenging due to noisy, non-stationary, and heterogeneous data. Recent advances in time series foundation models (TSFMs), inspired by large language models, offer a new paradigm for learning generalizable temporal representations from large and diverse datasets. This paper presents the first comprehensive empirical study of TSFMs in global financial markets. Using a large-scale dataset of daily excess returns across diverse markets, we evaluate zero-shot inference, fine-tuning, and pre-training from scratch against strong benchmark models. We find that off-the-shelf pre-trained TSFMs perform poorly in zero-shot and fine-tuning settings, whereas models pre-trained from scratch on financial data achieve substantial forecasting and economic improvements, underscoring the value of domain-specific adaptation. Increasing the dataset size, incorporating synthetic data augmentation, and applying hyperparameter tuning further enhance performance.

Eghbal Rahimikia, Stefan Zohren, Ser-Huang Poon

We examine whether news can improve realised volatility forecasting using a modern yet operationally simple NLP framework. News text is transformed into embedding-based representations, and forecasts are evaluated both as a standalone, news-only model and as a complement to standard realised volatility benchmarks. In out-of-sample tests on a cross-section of stocks, news contains useful predictive information, with stronger effects for stock-related content and during high volatility days. Combining the news-based signal with a leading benchmark yields consistent improvements in statistical performance and economically meaningful gains, while explainability analysis highlights the news themes most relevant for volatility.