Yukun Chen
Publications
FactorEngine: A Program-level Knowledge-Infused Factor Mining Framework for Quantitative Investment
We study alpha factor mining, the automated discovery of predictive signals from noisy, non-stationary market data-under a practical requirement that mined factors be directly executable and auditable, and that the discovery process remain computationally tractable at scale. Existing symbolic approaches are limited by bounded expressiveness, while neural forecasters often trade interpretability for performance and remain vulnerable to regime shifts and overfitting. We introduce FactorEngine (FE), a program-level factor discovery framework that casts factors as Turing-complete code and improves both effectiveness and efficiency via three separations: (i) logic revision vs. parameter optimization, (ii) LLM-guided directional search vs. Bayesian hyperparameter search, and (iii) LLM usage vs. local computation. FE further incorporates a knowledge-infused bootstrapping module that transforms unstructured financial reports into executable factor programs through a closed-loop multi-agent extraction-verification-code-generation pipeline, and an experience knowledge base that supports trajectory-aware refinement (including learning from failures). Across extensive backtests on real-world OHLCV data, FE produces factors with substantially stronger predictive stability and portfolio impact-for example, higher IC/ICIR (and Rank IC/ICIR) and improved AR/Sharpe, than baseline methods, achieving state-of-the-art predictive and portfolio performance.
Towards Cross-lingual Values Assessment: A Consensus-Pluralism Perspective
While large language models (LLMs) have become pivotal to content safety, current evaluation paradigms primarily focus on detecting explicit harms (e.g., violence or hate speech), neglecting the subtler value dimensions conveyed in digital content. To bridge this gap, we introduce X-Value, a novel Cross-lingual Values Assessment Benchmark designed to evaluate LLMs' ability to assess deep-level values of content from a global perspective. X-Value consists of more than 5,000 QA pairs across 18 languages, systematically organized into 7 core domains grounded in Schwartz's Theory of Basic Human Values and categorized into easy and hard levels for discriminative evaluation. We further propose a unique two-stage annotation framework that first identifies whether an issue falls under global consensus (e.g., human rights) or pluralism (e.g., religion), and subsequently conducts a multi-party evaluation of the latent values embedded within the content. Systematic evaluations on X-Value reveal that current SOTA LLMs exhibit deficiencies in cross-lingual values assessment ($Acc < 77\%$), with significant performance disparities across different languages ($ΔAcc > 20\%$). This work highlights the urgent need to improve the nuanced, values-aware content assessment capability of LLMs. Our X-Value is available at: https://huggingface.co/datasets/Whitolf/X-Value.