Alpha Discovery via Grammar-Guided Learning and Search
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Abstract (arXiv)
Automatically discovering formulaic alpha factors is a central problem in quantitative finance. Existing methods often ignore syntactic and semantic constraints, relying on exhaustive search over unstructured and unbounded spaces. We present AlphaCFG, a grammar-based framework for defining and discovering alpha factors that are syntactically valid, financially interpretable, and computationally efficient. AlphaCFG uses an alpha-oriented context-free grammar to define a tree-structured, size-controlled search space, and formulates alpha discovery as a tree-structured linguistic Markov decision process, which is then solved using a grammar-aware Monte Carlo Tree Search guided by syntax-sensitive value and policy networks. Experiments on Chinese and U.S. stock market datasets show that AlphaCFG outperforms state-of-the-art baselines in both search efficiency and trading profitability. Beyond trading strategies, AlphaCFG serves as a general framework for symbolic factor discovery and refinement across quantitative finance, including asset pricing and portfolio construction.
Key facts. Cited by 3 papers in the map (data through 14 Oct 2026). Builds on 6 of its 24 references that are in the map. First posted on arXiv 29 Jan 2026.
Builds on
6 of 24 references.
References · 6
- 2015Improved Semantic Representations From Tree-Structured Long Short-Term Memory Networkscited by 306
- 2017A Dual-Stage Attention-Based Recurrent Neural Network for Time Series Predictioncited by 245
- 2022Interpretable Scientific Discovery with Symbolic Regression: A Reviewcited by 105
- 2020Qlib: An AI-oriented Quantitative Investment Platformcited by 81
- 2023Generating Synergistic Formulaic Alpha Collections via Reinforcement Learningcited by 39
- 2018Unsupervised Grammar Induction with Depth-bounded PCFGcited by 8
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Citing papers per year: 2026: 3.
3 papers.
- 2026From Feedback Loops to Policy Updates: Reinforcement Fine-Tuning for LLM-Based Alpha Factor Discoverycited by 6
- 2026EVOQUANT: Self-Evolving Verifier-Guided Strategy Optimization for Robust Quantitative Tradingcited by 0
- 2026FactorBench: A Portfolio-Aware Benchmark for Automated Factor Miningcited by 0
- 2026FactorBench: A Portfolio-Aware Benchmark for Automated Factor Mining3 Oct 2026
- 2026EVOQUANT: Self-Evolving Verifier-Guided Strategy Optimization for Robust Quantitative Trading14 Jul 2026
- 2026From Feedback Loops to Policy Updates: Reinforcement Fine-Tuning for LLM-Based Alpha Factor Discovery14 May 2026