5 papers · 1 filter
Adaptive Alpha Weighting with PPO: Enhancing Prompt-Based LLM-Generated Alphas in Quant Trading
Qizhao Chen, Hiroaki Kawashima
This paper introduces a reinforcement learning framework that employs Proximal Policy Optimization (PPO) to dynamically optimize the weights of multiple large language model (LLM)-…
Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies
Qizhao Chen
Cryptocurrency markets are highly volatile and influenced by both price trends and market sentiment, making effective portfolio management challenging. This paper proposes a dynami…
Sentiment-Aware Stock Price Prediction with Transformer and LLM-Generated Formulaic Alpha
Qizhao Chen, Hiroaki Kawashima
Traditionally, traders and quantitative analysts address alpha decay by manually crafting formulaic alphas, mathematical expressions that identify patterns or signals in financial…
A Framework for Measuring How News Topics Drive Stock Movement
Qizhao Chen
In modern financial markets, news plays a critical role in shaping investor sentiment and influencing stock price movements. However, most existing studies aggregate daily news sen…
Comparing Different Transformer Model Structures for Stock Prediction
Qizhao Chen
This paper compares different Transformer model architectures for stock index prediction. While many studies have shown that Transformers perform well in stock price forecasting, f…