2 papers
q-fin.ST2020
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…
q-fin.ST2019
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…