Score: 2

Alpha Discovery via Grammar-Guided Learning and Search

Published: January 29, 2026 | arXiv ID: 2601.22119v1

By: Han Yang , Dong Hao , Zhuohan Wang and more

Potential Business Impact:

Finds winning stock trades using smart computer rules.

Business Areas:
Text Analytics Data and Analytics, Software

Automatically discovering formulaic alpha factors is a central problem in quantitative finance. Existing methods often ignore syntactic and semantic constraints, relying on exhaustive search over unstructured and unbounded spaces. We present AlphaCFG, a grammar-based framework for defining and discovering alpha factors that are syntactically valid, financially interpretable, and computationally efficient. AlphaCFG uses an alpha-oriented context-free grammar to define a tree-structured, size-controlled search space, and formulates alpha discovery as a tree-structured linguistic Markov decision process, which is then solved using a grammar-aware Monte Carlo Tree Search guided by syntax-sensitive value and policy networks. Experiments on Chinese and U.S. stock market datasets show that AlphaCFG outperforms state-of-the-art baselines in both search efficiency and trading profitability. Beyond trading strategies, AlphaCFG serves as a general framework for symbolic factor discovery and refinement across quantitative finance, including asset pricing and portfolio construction.

Country of Origin
🇨🇳 🇬🇧 United Kingdom, China

Page Count
24 pages

Category
Quantitative Finance:
Computational Finance