GPT's idea of stock factors
研究利用GPT-4模型自主生成高收益股票因子，发现其因子夏普比率最高达4.49，年化收益66.16%，且超额收益无法被五因子模型解释，生成速度快且能提供经济解释。
We amalgamate the capabilities of the GPT-4 computational model with the avant-garde methodology of autonomous factor generation, culminating in the synthesis of high-return factors within the equity investment milieu. Empirical outcomes elucidate that the factors conceptualized by ChatGPT attain a commendable Sharpe ratio peaking at 4.49, accompanied by an annualized return reaching 66.16%. Notably, the superlative excess returns garnered remain unaccounted for by the quintessential five-factor model. Through the implementation of an unembellished model averaging paradigm, the ensemble of 35 factors, conceived by ChatGPT, manifests an apex long-short annualized return of 88% and a Sharpe ratio registering at 2.46. In stark contrast to conventional data mining techniques, the temporal expenditure requisite for GPT's factor generation is minuscule. It relies on knowledge inference without the need for data input, and it can provide a thorough economic explanation for its factors.