LabelFusion-TS: Fusing Large Language Models, Transformer Encoders, and Financial Time Series for Monetary-Policy Stance Classification
This work addresses the limitations of existing financial text classification methods, which often neglect market context and struggle to accurately discern hawkish, dovish, or neutral stances in Federal Reserve communications. To overcome this, the authors propose LabelFusion-TS, a novel system that, for the first time, incorporates financial market time series as an auxiliary modality. The approach fuses a fine-tuned RoBERTa model, prompt-driven large language models, and a time series Transformer, employing a two-stage training strategy to mitigate the scarcity of labeled data. Evaluated on a test set spanning 2015–2022, the model achieves a weighted F1 score of 70.2% using only 240 manually annotated samples—significantly outperforming zero-shot large language models (64.1%)—thereby demonstrating the efficacy of multimodal fusion and few-shot learning in this domain.