4 papers
Neural Network-based Automatic Factor Construction
Jie Fang, Jianwu Lin, Shutao Xia +3
Instead of conducting manual factor construction based on traditional and behavioural finance analysis, academic researchers and quantitative investment managers have leveraged Gen…
Prior knowledge distillation based on financial time series
Jie Fang, Jianwu Lin
One of the major characteristics of financial time series is that they contain a large amount of non-stationary noise, which is challenging for deep neural networks. People normall…
Alpha Discovery Neural Network based on Prior Knowledge
Jie Fang, Shutao Xia, Jianwu Lin +3
Genetic programming (GP) is the state-of-the-art in financial automated feature construction task. It employs reverse polish expression to represent features and then conducts the…
Automatic Financial Feature Construction
Jie Fang, Shutao Xia, Jianwu Lin +1
In automatic financial feature construction task, the state-of-the-art technic leverages reverse polish expression to represent the features, then use genetic programming (GP) to c…