AlphaSAGE: Structure-Aware Alpha Mining via GFlowNets for Robust Exploration
Binqi Chen, Hongjun Ding, Ning Shen, Taian Guo, Jinsheng Huang, Luchen Liu, Ming Zhang
摘要
The automated mining of predictive signals, or alphas, is a central challenge in quantitative finance. While Reinforcement Learning (RL) has emerged as a promising paradigm for generating formulaic alphas, existing frameworks are fundamentally hampered by a triad of interconnected issues. First, they suffer from reward sparsity, where meaningful feedback is only available upon the completion of a full formula, leading to inefficient and unstable exploration. Second, they rely on semantically inadequate sequential representations of mathematical expressions, failing to capture the structure that determine an alpha's behavior. Third, the standard RL objective of maximizing expected returns inherently drives policies towards a single optimal mode, directly contradicting the practical need for a diverse portfolio of non-correlated alphas. To overcome these challenges, we introduce AlphaSAGE (Structure-Aware Alpha Mining via Generative Flow Networks for Robust Exploration), a novel framework is built upon three cornerstone innovations: (1) a structure-aware encoder based on Relational Graph Convolutional Network (RGCN); (2) a new framework with Generative Flow Networks (GFlowNets); and (3) a dense, multi-faceted reward structure. Empirical results demonstrate that AlphaSAGE outperforms existing baselines in mining a more diverse, novel, and highly predictive portfolio of alphas, thereby proposing a new paradigm for automated alpha mining. Our code is available at https://anonymous.4open.science/r/AlphaSAGE-3BA9.
问问这篇 Paper
智能体会读完全文。
Lune 把这篇 Paper 索引到了每一个公式,引用它的顶会 Paper 也一样。你提问,回答直接引用原文。
它引用的顶会 Paper12
- Open Graph Benchmark: Datasets for Machine Learning on GraphsWeihua Hu, Matthias Fey, Marinka Zitnik, Yuxiao Dong 等NeurIPS 2020 · 被引用 3,935 次
- Flow Network based Generative Models for Non-Iterative Diverse Candidate GenerationEmmanuel Bengio, Moksh Jain, Maksym Korablyov, Doina Precup 等NeurIPS 2021 · 被引用 565 次
- Distance Encoding: Design Provably More Powerful Neural Networks for Graph Representation LearningPan Li, Yanbang Wang, Hongwei Wang, Jure LeskovecNeurIPS 2020 · 被引用 391 次
- Trajectory balance: Improved credit assignment in GFlowNetsNikolay Malkin, Moksh Jain, Emmanuel Bengio, Chen Sun 等NeurIPS 2022 · 被引用 316 次
- Biological Sequence Design with GFlowNetsMoksh Jain, Emmanuel Bengio, Alex Hernández-García, Jarrid Rector-Brooks 等ICML 2022 · 被引用 224 次
相关 Paper
- AlphaForge: A Framework to Mine and Dynamically Combine Formulaic Alpha FactorsHao Shi, Weili Song, Xinting Zhang, Jiahe Shi 等AAAI 2025 · 被引用 23 次
- AlphaEval: A Comprehensive and Efficient Evaluation Framework for Formula Alpha MiningHongjun Ding, Binqi Chen, Jinsheng Huang, Taian Guo 等KDD 2026 · 被引用 11 次
- AlphaMaster: Dual-Chain Feedback for Scalable and Diverse Alpha Factor DiscoveryHaozengran Wang, Shuo Yin, Rong Fu, Mengting Zhang 等KDD 2026 · 被引用 2 次
- AlphaEvolve: A Learning Framework to Discover Novel Alphas in Quantitative InvestmentCan Cui, Wei Wang, Meihui Zhang, Gang Chen 等SIGMOD 2021 · 被引用 25 次
- Cognitive Alpha Mining via LLM-Driven Code-Based EvolutionFengyuan Liu, Yi Huang, Sichun Luo, Yuqi Wang 等ACL 2026 · 被引用 3 次
