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

arXiv:2609.08719 · cs.AI · Submitted 2026-09-08 · Read on arXiv

cs.AI

Submitted: 2026-09-08

Updated: 2026-09-10

Comments: 14 pages, 1 figure, 8 tables, including supplementary appendices

License: http://creativecommons.org/licenses/by/4.0/

The gist: Automated alpha factor discovery searches symbolic trading signals from price-volume panels and order-book data under a fixed evaluation budget.

Terminology

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.

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