Narratives from GPT-derived Networks of News, and a link to Financial Markets Dislocations

Abstract: Starting from a corpus of economic articles from The Wall Street Journal, we present a novel systematic way to analyse news content that evolves over time. We leverage on state-of-the-art natural language processing techniques (i.e. GPT3.5) to extract the most important entities of each article available, and aggregate co-occurrence of entities in a related graph at the weekly level. Network analysis techniques and fuzzy community detection are tested on the proposed set of graphs, and a framework is introduced that allows systematic but interpretable detection of topics and narratives. In parallel, we propose to consider the sentiment around main entities of an article as a more accurate proxy for the overall sentiment of such piece of text, and describe a case-study to motivate this choice. Finally, we design features that characterise the type and structure of news within each week, and map them to moments of financial markets dislocations. The latter are identified as dates with unusually high volatility across asset classes, and we find quantitative evidence that they relate to instances of high entropy in the high-dimensional space of interconnected news. This result further motivates the pursued efforts to provide a novel framework for the systematic analysis of narratives within news.