AutoAlpha: an Efficient Hierarchical Evolutionary Algorithm for Mining Alpha Factors in Quantitative Investment
Factor investing in equities, studied by Zhang and co-authors in 2020 with symbolic search. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The success of a multi-factor model is largely determined by the effectiveness of the alpha factors used in the model.”
AssetEquities
StrategyFactor investing
TechniqueSymbolic searchlinear factor model
GeographyChina
Also stated: Alpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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