Chain-of-Alpha: Unleashing the Power of Large Language Models for Alpha Mining in Quantitative Trading
Cao (2025) studies news sentiment and text signals using a large language model. The abstract mentions alpha and excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Our method features a dual-chain architecture, consisting of a Factor Generation Chain and a Factor Optimization Chain, which iteratively generate, evaluate, and refine candidate alpha factors using only market data, while leveraging backtest feedback and prior optimization knowledge.”
StrategyNews sentiment
TechniqueLarge language modelsymbolic search
GeographyChina
ClaimAlphaexcess return
Also stated: Fundamentals, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
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