Synergistic Formulaic Alpha Generation for Quantitative Trading based on Reinforcement Learning
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Abstract (arXiv)
Mining of formulaic alpha factors refers to the process of discovering and developing specific factors or indicators (referred to as alpha factors) for quantitative trading in stock market. To efficiently discover alpha factors in vast search space, reinforcement learning (RL) is commonly employed. This paper proposes a method to enhance existing alpha factor mining approaches by expanding a search space and utilizing pretrained formulaic alpha set as initial seed values to generate synergistic formulaic alpha. We employ information coefficient (IC) and rank information coefficient (Rank IC) as performance evaluation metrics for the model. Using CSI300 market data, we conducted real investment simulations and observed significant performance improvement compared to existing techniques.
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References · 6
- 2017Proximal Policy Optimization Algorithmscited by 14,441
- 2020Qlib: An AI-oriented Quantitative Investment Platformcited by 77
- 2023Generating Synergistic Formulaic Alpha Collections via Reinforcement Learningcited by 37
- 2021AlphaEvolve: A Learning Framework to Discover Novel Alphas in Quantitative Investmentcited by 31
- 2021Reinforcement Learning for Quantitative Tradingcited by 24
- 2022Quant 4.0: Engineering Quantitative Investment with Automated, Explainable and Knowledge-driven Artificial Intelligencecited by 5
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