Feng Xu

Feng Xu, Yan Yin, Xinyu Zhang et al.

Alphas are pivotal in providing signals for quantitative trading. The industry highly values the discovery of formulaic alphas for their interpretability and ease of analysis, compared with the expressive yet overfitting-prone black-box alphas. In this work, we focus on discovering formulaic alphas. Prior studies on automatically generating a collection of formulaic alphas were mostly based on genetic programming (GP), which is known to suffer from the problems of being sensitive to the initial population, converting to local optima, and slow computation speed. Recent efforts employing deep reinforcement learning (DRL) for alpha discovery have not fully addressed key practical considerations such as alpha correlations and validity, which are crucial for their effectiveness. In this work, we propose a novel framework for alpha discovery using DRL by formulating the alpha discovery process as program construction. Our agent, $\text{Alpha}^2$, assembles an alpha program optimized for an evaluation metric. A search algorithm guided by DRL navigates through the search space based on value estimates for potential alpha outcomes. The evaluation metric encourages both the performance and the diversity of alphas for a better final trading strategy. Our formulation of searching alphas also brings the advantage of pre-calculation dimensional analysis, ensuring the logical soundness of alphas, and pruning the vast search space to a large extent. Empirical experiments on real-world stock markets demonstrates $\text{Alpha}^2$'s capability to identify a diverse set of logical and effective alphas, which significantly improves the performance of the final trading strategy. The code of our method is available at https://github.com/x35f/alpha2.

Huilin Xu, Tao Chen, Feng Xu

The ability to model the underlying dynamics of visual scenes and reason about the future is central to human intelligence. Many attempts have been made to empower intelligent systems with such physical understanding and prediction abilities. However, most existing methods focus on pixel-to-pixel prediction, which suffers from heavy computational costs while lacking a deep understanding of the physical dynamics behind videos. Recently, object-centric prediction methods have emerged and attracted increasing interest. Inspired by it, this paper proposes an unsupervised object-centric prediction model that makes future predictions by learning visual dynamics between objects. Our model consists of two modules, perceptual, and dynamic module. The perceptual module is utilized to decompose images into several objects and synthesize images with a set of object-centric representations. The dynamic module fuses contextual information, takes environment-object and object-object interaction into account, and predicts the future trajectory of objects. Extensive experiments are conducted to validate the effectiveness of the proposed method. Both quantitative and qualitative experimental results demonstrate that our model generates higher visual quality and more physically reliable predictions compared to the state-of-the-art methods.