CrossAlpha is a new open benchmark covering 3600 firms across US, Japan, Taiwan, South Korea and Hong Kong that distills reports into 10-category descriptions, constructs residual cross-market similarity graphs, and tests them on 11 years of aligned return data.
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CrossAlpha: An Annual-Report Benchmark for Cross-Market Factor Researc (with LLM Agents)
CrossAlpha is a new open benchmark covering 3600 firms across US, Japan, Taiwan, South Korea and Hong Kong that distills reports into 10-category descriptions, constructs residual cross-market similarity graphs, and tests them on 11 years of aligned return data.