Factor Factory

Summary (Eng)

Financial factors have previously been discovered by the deductive method through research carried out by human researchers, and Factor Factory is a methodology that enables to automatically find the factors by the inductive method. Factor Factory uses Kirin, Qraft's proprietary financial data API, to access processed S&P Compustat data and to find suitable factor formula using advanced search algorithm. The found factor formula is evaluated its robustness and alpha by using various verification methods, including the rank IC. Until now, human researchers and the likes have been looking for the factors of the financial market. This method had the advantage of being easy to explain the calculated factor, but the process of finding the factor was difficult, and the study period took quite a long time. The purpose of Factor Factory is to make the process of factor discovery a task that computers can solve without human intervention by thoroughly quantifying the process, and to combine it with deep learning technology so the computers can find the factor efficiently.