While stock prediction task traditionally relies on volume-price and fundamental data to predict the return ratio or price movement trend, sentiment factors derived from social media platforms such as StockTwits offer a complementary and useful source of real-time market information. However, we find that most social media posts, along with the public sentiment they reflect, provide limited value for trading predictions due to their noisy nature. To tackle this, we propose a novel dynamic expert tracing algorithm that filters out non-informative posts and identifies both true and inverse experts whose consistent predictions can serve as valuable trading signals. Our approach achieves significant improvements over existing expert identification methods in stock trend prediction. However, when using binary expert predictions to predict the return ratio, similar to all other expert identification methods, our approach faces a common challenge of signal sparsity with expert signals cover only about 4% of all stock-day combinations in our dataset. To address this challenge, we propose a dual graph attention neural network that effectively propagates expert signals across related stocks, enabling accurate prediction of return ratios and significantly increasing signal coverage. Empirical results show that our propagated expert-based signals not only exhibit strong predictive power independently but also work synergistically with traditional financial features. These combined signals significantly outperform representative baseline models in all quant-related metrics including predictive accuracy, return metrics, and correlation metrics, resulting in more robust investment strategies. We hope this work inspires further research into leveraging social media data for enhancing quantitative investment strategies. The code can be seen inhttps://github.com/wanyunzh/DualGAT.

The field of artificial intelligence (AI) in quantitative investment has seen significant advancements, yet it lacks a standardized benchmark aligned with industry practices. This gap hinders research progress and limits the practical application of academic innovations. We present QuantBench, an industrial-grade benchmark platform designed to address this critical need. QuantBench offers three key strengths: (1) standardization that aligns with quantitative investment industry practices; (2) flexibility to integrate various AI algorithms; (3) full-pipeline coverage of the entire quantitative investment process. Our empirical studies using QuantBench reveal some critical research directions, including the need for continual learning to address distribution shifts, improved methods for modeling relational financial data, and more robust approaches to mitigate overfitting in low signal-to-noise environments. By providing a common ground for evaluation and fostering collaboration between researchers and practitioners, QuantBench aims to accelerate progress in AI for quantitative investment, similar to the impact of benchmark platforms in computer vision and natural language processing. The code is open-sourced on GitHub at https://github.com/SaizhuoWang/quantbench .

Although large language models (LLMs) have achieved significant success in various tasks, they often struggle with hallucination problems, especially in scenarios requiring deep and responsible reasoning. These issues could be partially addressed by introducing external knowledge graphs (KG) in LLM reasoning. In this paper, we propose a new LLM-KG integrating paradigm ``$\hbox{LLM}\otimes\hbox{KG}$'' which treats the LLM as an agent to interactively explore related entities and relations on KGs and perform reasoning based on the retrieved knowledge. We further implement this paradigm by introducing a new approach called Think-on-Graph (ToG), in which the LLM agent iteratively executes beam search on KG, discovers the most promising reasoning paths, and returns the most likely reasoning results. We use a number of well-designed experiments to examine and illustrate the following advantages of ToG: 1) compared with LLMs, ToG has better deep reasoning power; 2) ToG has the ability of knowledge traceability and knowledge correctability by leveraging LLMs reasoning and expert feedback; 3) ToG provides a flexible plug-and-play framework for different LLMs, KGs and prompting strategies without any additional training cost; 4) the performance of ToG with small LLM models could exceed large LLM such as GPT-4 in certain scenarios and this reduces the cost of LLM deployment and application. As a training-free method with lower computational cost and better generality, ToG achieves overall SOTA in 6 out of 9 datasets where most previous SOTAs rely on additional training.

Quantitative investment (abbreviated as “quant” in this paper) is an interdisciplinary field combining financial engineering, computer science, mathematics, statistics, etc. Quant has become one of the mainstream investment methodologies over the past decades, and has experienced three generations: quant 1.0, trading by mathematical modeling to discover mis-priced assets in markets; quant 2.0, shifting the quant research pipeline from small “strategy workshops” to large “alpha factories”; quant 3.0, applying deep learning techniques to discover complex nonlinear pricing rules. Despite its advantage in prediction, deep learning relies on extremely large data volume and labor-intensive tuning of “black-box” neural network models. To address these limitations, in this paper, we introduce quant 4.0 and provide an engineering perspective for next-generation quant. Quant 4.0 has three key differentiating components. First, automated artificial intelligence (AI) changes the quant pipeline from traditional hand-crafted modeling to state-of-the-art automated modeling and employs the philosophy of “algorithm produces algorithm, model builds model, and eventually AI creates AI.” Second, explainable AI develops new techniques to better understand and interpret investment decisions made by machine learning black boxes, and explains complicated and hidden risk exposures. Third, knowledge-driven AI supplements data-driven AI such as deep learning and incorporates prior knowledge into modeling to improve investment decisions, in particular for quantitative value investing. Putting all these together, we discuss how to build a system that practices the quant 4.0 concept. We also discuss the application of large language models in quantitative finance. Finally, we propose 10 challenging research problems for quant technology, and discuss potential solutions, research directions, and future trends.

While the celebrated graph neural networks (GNNs) yield effective representations for individual nodes of a graph, there has been relatively less success in extending to the task of graph similarity learning. Recent work on graph similarity learning has considered either global-level graph-graph interactions or low-level node-node interactions, however, ignoring the rich cross-level interactions (e.g., between each node of one graph and the other whole graph). In this article, we propose a multilevel graph matching network (MGMN) framework for computing the graph similarity between any pair of graph-structured objects in an end-to-end fashion. In particular, the proposed MGMN consists of a node-graph matching network (NGMN) for effectively learning cross-level interactions between each node of one graph and the other whole graph, and a siamese GNN to learn global-level interactions between two input graphs. Furthermore, to compensate for the lack of standard benchmark datasets, we have created and collected a set of datasets for both the graph-graph classification and graph-graph regression tasks with different sizes in order to evaluate the effectiveness and robustness of our models. Comprehensive experiments demonstrate that MGMN consistently outperforms state-of-the-art baseline models on both the graph-graph classification and graph-graph regression tasks. Compared with previous work, multilevel graph matching network (MGMN) also exhibits stronger robustness as the sizes of the two input graphs increase.

One intriguing property of adversarial attacks is their “transferability” – an adversarial example crafted with respect to one deep neural network (DNN) model is often found effective against other DNNs as well. Intensive research has been conducted on this phenomenon under simplistic controlled conditions. Yet, thus far there is still a lack of comprehensive understanding about transferability-based attacks (“transfer attacks”) in real-world environments.To bridge this critical gap, we conduct the first large-scale systematic empirical study of transfer attacks against major cloud-based MLaaS platforms, taking the components of a real transfer attack into account. The study leads to a number of interesting findings which are inconsistent to the existing ones, including: (i) Simple surrogates do not necessarily improve real transfer attacks. (ii) No dominant surrogate architecture is found in real transfer attacks. (iii) It is the gap between posterior (output of the softmax layer) rather than the gap between logit (so-called κ value) that increases transferability. Moreover, by comparing with prior works, we demonstrate that transfer attacks possess many previously unknown properties in real-world environments, such as (i) Model similarity is not a well-defined concept. (ii) L2norm of perturbation can generate high transferability without usage of gradient and is a more powerful source than L∞norm. We believe this work sheds light on the vulnerabilities of popular MLaaS platforms and points to a few promising research directions.1

Code retrieval is to find the code snippet from a large corpus of source code repositories that highly matches the query of natural language description. Recent work mainly uses natural language processing techniques to process both query texts (i.e., human natural language) and code snippets (i.e., machine programming language), however, neglecting the deep structured features of query texts and source codes, both of which contain rich semantic information. In this article, we propose an end-to-end deep graph matching and searching (DGMS) model based on graph neural networks for the task of semantic code retrieval. To this end, we first represent both natural language query texts and programming language code snippets with the unified graph-structured data, and then use the proposed graph matching and searching model to retrieve the best matching code snippet. In particular, DGMS not only captures more structural information for individual query texts or code snippets, but also learns the fine-grained similarity between them by cross-attention based semantic matching operations. We evaluate the proposed DGMS model on two public code retrieval datasets with two representative programming languages (i.e., Java and Python). Experiment results demonstrate that DGMS significantly outperforms state-of-the-art baseline models by a large margin on both datasets. Moreover, our extensive ablation studies systematically investigate and illustrate the impact of each part of DGMS.