GoAnt: Quality-Diversity Multi-Agent Search for Alpha Factor Discovery in Market Microstructure Data

arXiv:2609.08719v1 Announce Type: new Abstract: Automated alpha factor discovery searches symbolic trading signals from price-volume panels and order-book data under a fixed evaluation budget. Existing single- and multi-agent program-search systems can overfit predictive proxies that fail after execution costs and repeatedly explore redundant factor families, limiting execution robustness and behavioral diversity. We introduce GoAnt, a quality-diversity multi-agent search framework that combines non-communicating Explorer, Exploiter and Connector workers with a shared adaptive Mental Map and a compact Queen dispatcher. The Mental Map organizes candidates by leakage-free execution profiles and retains one elite per niche, while the Queen reallocates the evaluation budget from explicit search-state summaries. We also define a map-independent effective-yield protocol that counts high-quality, mutually nonredundant factors directly from each method's evaluation records, giving archive-based and map-free systems the same ruler. On real A-share microstructure data spanning 2023--2026, GoAnt reaches quality-weighted yields of 41.8 and 47.6 in price-volume and order-book settings, improving the strongest baseline by 57% and 97% under matched budgets. Its locked populations retain 0.64 and 0.67 of in-sample quality out of sample, compared with 0.61 and 0.63 for a static map.

Abstract:Automated alpha factor discovery searches symbolic trading signals from price-volume panels and order-book data under a fixed evaluation budget. Existing single- and multi-agent program-search systems can overfit predictive proxies that fail after execution costs and repeatedly explore redundant factor families, limiting execution robustness and behavioral diversity. We introduce GoAnt, a quality-diversity multi-agent search framework that combines non-communicating Explorer, Exploiter and Connector workers with a shared adaptive Mental Map and a compact Queen dispatcher. The Mental Map organizes candidates by leakage-free execution profiles and retains one elite per niche, while the Queen reallocates the evaluation budget from explicit search-state summaries. We also define a map-independent effective-yield protocol that counts high-quality, mutually nonredundant factors directly from each method's evaluation records, giving archive-based and map-free systems the same ruler. On real A-share microstructure data spanning 2023--2026, GoAnt reaches quality-weighted yields of 41.8 and 47.6 in price-volume and order-book settings, improving the strongest baseline by 57% and 97% under matched budgets. Its locked populations retain 0.64 and 0.67 of in-sample quality out of sample, compared with 0.61 and 0.63 for a static map.

Artificial Intelligence (cs.AI)

arXiv:2609.08719 [cs.AI]

(or arXiv:2609.08719v1 [cs.AI] for this version)

https://doi.org/10.48550/arXiv.2609.08719 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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GoAnt: Quality-Diversity Multi-Agent Search for Alpha Factor Discovery in Market Microstructure Data

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