We leverage the capacity of large language models such as Generative Pre-trained Transformer (GPT) in constructing factor models for Chinese futures markets. We successfully obtain 40 factors to design single-factor and multi-factor portfolios through long-short and long-only strategies, conducting backtests during the in-sample and out-of-sample period. Comprehensive empirical analysis reveals that GPT-generated factors deliver remarkable Sharpe ratios and annualized returns while maintaining acceptable maximum drawdowns. Notably, the GPT-based factor models also achieve significant alphas over the IPCA benchmark. Moreover, these factors demonstrate significant performance across extensive robustness tests, particularly excelling after the cutoff date of GPT's training data.
@article{arxiv.2509.23609,
title = {Large Language Models and Futures Price Factors in China},
author = {Yuhan Cheng and Heyang Zhou and Yanchu Liu},
journal= {arXiv preprint arXiv:2509.23609},
year = {2025}
}