1、Luos QES Research Quantitative Research ESG Portfolio Strategy Multi-Dimensional Alpha September 24,2024 BLUEMATRIX WILL STAMP FOOTER.AI AGENTS IN EVENT ANALYSIS The Hunt for Investor Day Alpha with Options and LLMs Investor Day Events Alpha or Risk?Investor Day is a major corporate event where comp

2、anies present their financial,operational,and strategic visions to analysts,shareholders,and other stakeholders.Unlike regular earnings announcements,typically only large and well-known firms or the ones undergoing significant transitions(e.g.,M&A,divestiture,restructuring)host such events.Our propr

3、ietary database covers around 180 investor day events per year,with 20 years of history.The outsized price movement around investor day suggests significant potential alpha opportunities.However,the minimal average return around the event window tells us that we have to work hard to find more detail

4、s surrounding each investor day.Do Options Traders Know Better?Our previous research finds that there are dedicated options traders specializing in corporate events.Leveraging our options database and implied volatility algorithms,we extract the component of total risk induced by investor day events

5、.Our investor day uncertainty factor is highly accurate in predicting event day price movements,and effective in identifying underperforming companies.LLM-Based AI Agents Coming to Play!LLM-based agent system is at the forefront of the latest generative AI development.The QesGFT AI agent platform ha

6、s four core modules(LLM,PromptGen,Action,and Memory)and two key agents.The Web-Search Agent is tasked with automatically finding all relevant investor day information,while the Research Associate Agent structures the collected data,performs contextual sentiment analysis,provides investment commentar