A mask-first pipeline eliminates upstream contamination from price limits in A-share factor models, delivering +0.44 Sharpe improvement and 1.63 realised Sharpe on 2022-2024 proprietary data.
Liu et al., ”Alpha158: A benchmark for factor-based st ock selection,” arXiv preprint arXiv:2101.02555 , 2021
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PM 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Machine Learning Enhanced Multi-Factor Quantitative Trading: A Cross-Sectional Portfolio Optimization Approach with Bias Correction
A mask-first pipeline eliminates upstream contamination from price limits in A-share factor models, delivering +0.44 Sharpe improvement and 1.63 realised Sharpe on 2022-2024 proprietary data.