Calibration-Induced Degeneracy in LLM Financial Forecasting: An Audit-Trailed Case Study on Next-Day Market Risk
Costly LLM features matter only if calibration lets them affect the forecast. We document a failure of this link in a next-day risk study of two broad-market funds. Full-history scoring preceded the 2022 calibration. Calibration then set all four LLM weights to zero. The 856 later scores therefore could not affect the...