Hierarchical AI Multi-Agent Fundamental Investing: Evidence from China's A-Share Market
“We evaluate the system on the constituents by the CSI 300 Index of China's A-share market and find that it consistently outperforms standard benchmarks and a state-of-the-art multi-agent trading system on risk-adjusted returns and drawdown control.”
AssetEquitiesindices, single stocks
StrategyMacro signalsportfolio optimization
TechniqueReinforcement learning
GeographyChina
Also stated: Excess return, Drawdown, Fundamentals, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
FamilyMacro signals and regime strategies49Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 953
AssetEquities25
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