Alpha-GPT: Human-AI Interactive Alpha Mining for Quantitative Investment

Saizhuo Wang, Hang Yuan, Leon Zhou, Lionel M. Ni, Heung-Yeung Shum and Jian Guo

Papers from arXiv.org

Abstract: One of the most important tasks in quantitative investment research is mining new alphas (effective trading signals or factors). Traditional alpha mining methods, either hand-crafted factor synthesizing or algorithmic factor mining (e.g., search with genetic programming), have inherent limitations, especially in implementing the ideas of quants. In this work, we propose a new alpha mining paradigm by introducing human-AI interaction, and a novel prompt engineering algorithmic framework to implement this paradigm by leveraging the power of large language models. Moreover, we develop Alpha-GPT, a new interactive alpha mining system framework that provides a heuristic way to ``understand'' the ideas of quant researchers and outputs creative, insightful, and effective alphas. We demonstrate the effectiveness and advantage of Alpha-GPT via a number of alpha mining experiments.

Date: 2023-07
New Economics Papers: this item is included in nep-ain and nep-cmp
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