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Alpha Discovery via Grammar-Guided Learning and Search

Author

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  • Han Yang
  • Dong Hao
  • Zhuohan Wang
  • Qi Shi
  • Xingtong Li

Abstract

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.

Suggested Citation

  • Han Yang & Dong Hao & Zhuohan Wang & Qi Shi & Xingtong Li, 2026. "Alpha Discovery via Grammar-Guided Learning and Search," Papers 2601.22119, arXiv.org.
  • Handle: RePEc:arx:papers:2601.22119
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    File URL: http://arxiv.org/pdf/2601.22119
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