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讲座题目：Unleashing GPT’s Potential in the World of Option Factor Generation

时间：2025年12月12日（周五）下午14:30-16:00

地点：博学楼501

主讲人：刘彦初

中山大学岭南学院金融学教授

主讲人简介：

刘彦初教授，现任中山大学岭南学院副院长、博士生导师，并担任中山大学资本市场研究院院长，其研究领域为资产定价与数字金融。研究成果发表于《管理科学学报》、《Operations Research》、《INFORMS Journal on Computing》、《Journal of Banking and Finance》、《Journal of Economic Dynamics and Control》、《Journal of Futures Markets》、《Journal of Applied Probability》、《Quantitative Finance》等国内外相关主流期刊。主持国家自然科学基金、中国期货业协会、广州期货交易所、中国金融期货交易所、郑州商品期货交易所、证监会广东监管局委托课题等多项科研项目。荣获国家级教学成果二等奖。多篇咨政建议获得中央和广东省委有关部门采纳。

讲座内容简介：

This paper investigates the capabilities of Large Language Models (LLMs) in generating novel and effective alpha factors for option markets. Using a structured prompt-engineering approach, we task GPT-5 with creating factors for two distinct markets: the mature U.S. market and the emerging Chinese market. Our empirical analysis reveals that the LLM-generated factors exhibit strong and robust performance, delivering statistically significant returns in both all-sample and extensive out-of-sample tests. Beyond their statistical power, we demonstrate that these factors are economically meaningful. They display low self-correlation, indicating genuine innovation, and are grounded in sound economic rationale derived from market microstructure and behavioral finance principles, showcasing a key advantage over traditional "black-box" models.

作者 | 卢尚霖

一审 | 王怡 二审 | 卢尚霖 三审 | 王茂斌

排版推送 | 何佳苗