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AlphaBench: Benchmarking Large Language Models in Formulaic Alpha Factor Mining

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

Abstract

Formulaic alpha factor mining (FAFM) is a central problem in quantitative investment, where interpretable formulas are designed to extract predictive signals from historical financial series. With the emergence of large language models (LLMs), recent studies have begun to explore their roles in FAFM, yet their capabilities across different tasks and configurations remain unclear. In this work, we introduce AlphaBench, the first systematic benchmark for evaluating LLMs in FAFM. AlphaBench covers three core tasks, including factor generation, factor evaluation, and factor searching, which are all popular tasks integrated in the workflow of quantitative researchers. Beyond task-level evaluation, we further analyze how different LLM settings, including model type, prompting paradigm, and reasoning strategy, influence performance. Our experiments on a range of open-source and closed-source models reveal that LLMs hold strong potential in automating factor mining, while also facing persistent challenges in robustness, search efficiency, and practical usability. The project is available at: https://alphabench.cc/.
Original languageEnglish
Title of host publication14th International Conference on Learning Representations (ICLR 2026)
Number of pages60
Publication statusOnline published - 26 Jan 2026
Event14th International Conference on Learning Representations (ICLR 2026) - Riocentro Convention and Event Center, Rio de Janeiro, Brazil
Duration: 23 Apr 2026 → 27 Apr 2026
https://iclr.cc/Conferences/2026

Conference

Conference14th International Conference on Learning Representations (ICLR 2026)
Abbreviated titleICLR 2026
PlaceBrazil
CityRio de Janeiro
Period23/04/26 → 27/04/26
Internet address

Bibliographical note

Research Unit(s) information for this publication is provided by the author(s) concerned.

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