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.
V aswani et al., ”Attention is all you need,” in Advances in Neural Information Processing Systems , 2017, pp
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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.