广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券资深金工分析师 陈原文 SAC: S0260517080003 chenyuanwen@gf.com.cn 广发证券资深金工分析师 王小康 SAC: S0260525020002 wangxiaokang@gf.com.cn 广发金工安宁宁陈原文团队 摘要 公式化因子挖掘与AlphaForge框架介绍 ： 各类神经网络模型作为一种编码方案，能较好预测未来一段时间股票截面收益率的差异。而构造更多的公式化 特征作为模型输入也是比较重要的环节，从理论上具有丰富模型输入，代替一部分编码器职能的效果。传统的框架包括遗传规划、OpenFE等，均无法实 现具有方向性的优化迭代，而AlphaGen虽然通过将因子表现作为奖励不断优化生成动作，但依然存在超参数敏感、容易过拟合的情况。AlphaForge通过创 新性的框架设计，一定程度上解决了上述问题。 基于AlphaForge的因子挖掘 ： 该框架首先通过设计若干算子、回看天数和基础特征得到潜在的因子库。因子会依次经过生成器和预测器完成训 练，其中预测器的主 ...

价格波动性与市场复杂性呈现螺旋式上升。俄乌冲突导致的天然气价格单日波动超30%，LME镍期货逼 空事件等极端案例，既考验企业的风险承受能力，也为套利交易创造空间。头部贸易商通过建立"波动 率指数矩阵"，将价格异动转化为交易机会，2023年在能源品类实现22%的超额收益。这种市场特性倒 逼企业构建多层次分析体系，某金属贸易商融合卫星遥感数据、港口吞吐量和期货持仓量等300余个指 标，将市场预判准确率提升至75%。 行业竞争要素发生根本转变。传统资源禀赋优势正被数据资产和人才储备所替代，全球大宗交易机构对 量化分析师的需求三年增长170%，顶尖交易团队中机器学习专家占比超过40%。这种转变在农产品领 域尤为显著，ABCD四大粮商通过建立"数字农业生态"，整合土壤传感、气象预测和期货对冲系统，将 种植决策响应时间从季度级缩短至小时级。 二、大宗商品采购管理体系的精益化、数智化重构 传统采购模式正在经历"三级跃迁"。从保证供应的1.0阶段，演进至风险管控和精益采购的2.0阶段，最 终迈向数智化决策赋能的价值创造3.0形态。某生猪养殖企业的转型实践具有示范意义：通过搭建"采购 决策驾驶舱"，整合供需平衡表、成本模型和物 ...

Core Insights - The article discusses the increase of abdominal fat with age, highlighting its health risks such as diabetes and heart disease [1][2] - A recent study from the "City of Hope" National Medical Center reveals that aging fat cell progenitors (APCs) become more active, leading to increased fat cell production [1] - The study identifies a specific signaling pathway, leukemia inhibitory factor receptor (LIFR), that drives the transformation of APCs into more powerful "super craftsmen" known as age-specific preadipocytes (CP-As) [2] Group 1 - Aging leads to the transformation of fat cell progenitors (APCs) that become more active and produce more fat cells, contributing to abdominal obesity [1] - The emergence of age-specific preadipocytes (CP-As) during middle age explains the increase in waist circumference even without significant weight gain [2] - The LIFR signaling pathway is crucial for the proliferation of CP-As, which results in the accumulation of abdominal fat [2] Group 2 - The findings provide insights into the mechanisms behind age-related obesity and suggest potential therapeutic approaches to combat this issue [2]

Group 1: Market Dynamics and Trading Logic - In 2025, gold is positioned as a traditional safe-haven asset, with its price fluctuations intricately linked to the US dollar index, inflation expectations, and international geopolitical situations [1] - Velos Markets utilizes technology and strategic tools to help investors identify opportunities amidst uncertainty, particularly during shifts in Federal Reserve monetary policy [1] Group 2: Core Advantages of Velos Markets - Velos Markets offers over 200 financial products, including gold spot trading, forex, and index CFDs, creating a diversified "hedging pool" [2] - The platform supports T+0 trading and flexible leverage adjustments, catering to various risk appetites, with short-term traders able to leverage up to 5 times [2] Group 3: Risk Control System - The platform employs a three-tier risk control architecture, including real-time monitoring of abnormal fluctuations, customizable stop-loss tools, and direct connections to global liquidity providers to avoid "slippage" [5] Group 4: Strategy Optimization - Velos Markets provides tools for cross-market arbitrage, allowing investors to capitalize on price discrepancies between New York and London gold markets [6] - The platform's "event calendar" and volatility index (GVZ) analysis tools assist users in predicting price movements during geopolitical tensions or major economic data releases [7] Group 5: Investment Guidance - For novice investors, Velos Markets suggests a combination of "smart dollar-cost averaging" and grid trading strategies to manage risk [9] - Advanced users can utilize the platform's API to develop personalized trading models, achieving a significant annualized Sharpe ratio of 2.3 through multi-factor analysis [10] Group 6: Global Gold Allocation Logic - Velos Markets integrates macroeconomic data from 15 major economies, allowing investors to assess long-term price support levels based on central bank gold purchasing trends [11] Group 7: Operational Model - The operational core of Velos Markets is a "dual-driven" model, connecting with top liquidity providers to ensure order execution speeds below 50 milliseconds [13] - The platform fosters a "strategy workshop" community for users to share validated strategy templates, enhancing trading efficiency and lowering strategy development barriers [13]

ETF 轮动因子跟踪 我们对前期使用 GBDT+NN 机器学习因子构建的 ETF 轮动策略进行跟踪测试，发现因子在样本外表现出色：上周 IC 值 达 20.91%，多头超额收益率为 0.61%。策略的年化超额收益率为 11.91%，信息比率为 0.68 ，超额最大回撤为 17.31%， 上周超额收益率 0.88%，本月以来超额收益率 1.44%，今年以来超额收益率 0.15%，近期表现优异。 高频因子跟踪 我们对前期挖掘的高频选股因子进行跟踪测试，发现因子在样本外整体表现出色。就上周表现来看，价格区间因子多 头超额收益率 1.01%，价量背离因子 0.04%，遗憾规避因子 0.26%，斜率凸性因子 0.24%。本月以来，价格区间因子多 头超额收益率为 0.90%，价量背离因子 1.65%，遗憾规避因子-0.17%，斜率凸性因子 0.07%。今年以来高频因子表现整 体都比较优秀，价格区间因子多头超额收益率 5.84%，价量背离因子 10.13%，斜率凸性因子-3.41%。遗憾规避因子表 现欠佳，多头超额收益率-0.30%。 其中价格区间因子衡量股票在日内不同价格区间成交的活跃程度，能体现出投资者对于股票未来走势 ...

2025年4月28日 周度报告 期指短周期因子边际下降 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com. cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 p 截至4月18日当周，期指反弹，IH2505上涨0.04%， IF2505上涨0.88%，IC2505上涨1.45%，IM2505上涨 2.06%。随着关税政策对于基本面的影响有待进一步观察， 近期缺少提振催化因素。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标6分， 流动性指标2分，估值指标9分，市场情绪指标6分。期债方 面，通胀指标6分，流动性指标7分，市场情绪指标8分。期 限结构方面，上周期指主力维持贴水，主力IF2506基差现 值47.49，历史分位数3.24%。 p 金融衍生品量化CTA策略上周净值没有变化。长周期方面， 3月工业企业利润累计和同比增速为正，仍在向上修复的趋 势内。短周期方面，汇率的影响权重由周初高位逐渐减小， 市场风险偏好修复暂缓趋向观望。持仓量方面，尽管I ...

Core Insights - The research reveals the cellular mechanisms behind age-related abdominal fat accumulation, identifying adipose progenitor cells (APCs) as key players in this process [1][2] - The study indicates that aging enhances the differentiation potential of APCs, leading to increased fat cell production in middle-aged individuals [1][2] Group 1: Research Findings - Aging causes adipose progenitor cells to transform into a new type of stem cell known as preadipocytes, which continuously produce new fat cells [2] - A signaling pathway involving leukemia inhibitory factor receptor is crucial for the proliferation and differentiation of these preadipocytes [2] - The research challenges traditional views on fat cell formation, suggesting that innovative strategies to eliminate or block the formation of new fat cells could help prevent age-related abdominal fat accumulation [2] Group 2: Experimental Evidence - The study involved transplanting adipose progenitor cells from young and old mice into young mice, demonstrating that old APCs can independently generate new fat cells regardless of the host's age [1] - Gene activity analysis showed that APCs are dormant in young mice but become highly active in middle-aged mice, leading to significant fat cell generation [1] - Single-cell RNA sequencing of human samples confirmed the presence of similar preadipocytes in middle-aged human tissues, indicating a significant increase in their numbers and fat cell production capability [2]

另外海外方面，克利夫兰联邦储备银行行长 Beth Hammack,在 4 月 24 日发言时表明如果有明确经济走弱方面的证据， 美联储最早可能在 6 月采取降息的行动。受此消息的推动，海外市场定价降息预期的程度提升，10 年期美债利率有所 回落。若短期贸易冲突舆情不继续加剧，我们预期海外资金风险偏好会有所回升。所以对于未来一周，在国内外政策 端和情绪面的支持下，我们战术性仓位推荐切换至人工智能和电子等板块。 本周央行通过 7 天逆回购投放了 8820 亿元，到期 8080 亿元，整体通过公开市场操作净投放 740 亿元。短端 1 周 SHIBOR 和 DR007，分别报 1.638%和 1.6587%，较上周分别下降 1.6 BP 和 5.29 BP。1 个月 SHIBOR 和 3 个月 SHIBOR 分别报 1.747%和 1.75%，较上周分别下降 1.6 BP 和 1.1 BP。 结合经济面和流动性来看，对于未来一周，我们建议核心仓位维持在大盘价值，而战术性仓位推荐切换至人工智能和 电子等板块。从中期来看，根据我们构建的宏观择时策略给出的信号，4 月份权益推荐仓位为 25%。拆分来看，模型 对 4 月份 ...

证券研究报告：金融工程报告 发布时间：2025-04-28 研究所 分析师:肖承志 SAC 登记编号:S1340524090001 Email:xiaochengzhi@cnpsec.com 研究助理:李子凯 SAC 登记编号:S1340124100014 Email:lizikai@cnpsec.com 近期研究报告 《OpenAI 发布 GPT-4.1，智谱发布 GLM- 4-32B-0414 系 列 — — AI 动态汇总 20250421》 - 2025.04.23 《国家队交易特征显著，短期指数仍交 易补缺预期，TMT 类题材仍需等待—— 行业轮动周报 20250427》- 2025.04.21 《小市值强势，动量风格占优——中邮 因子周报 20250420》 – 2025.04.21 《基本面与量价共振，如遇回调即是买 点——微盘股指数周报 20250420》 – 2025.04.21 《Meta LIama 4 开源，OpenAI 启动先 锋计划——AI 动态汇总 20250414》 - 2025.04.15 《融资盘被动爆仓导致大幅净流出， GRU 模型仍未配置成长——行业轮动周 报 2025 ...

Group 1 - The overall market in Q1 exhibited a range-bound pattern, with a brief pullback at the beginning of the year, followed by a structural rally led by AI and robotics after the Spring Festival, supported by policy initiatives from the previous quarter [1] - The trade war may cause short-term disruptions to exports, but in the long term, tariffs will not hinder the global competitiveness of Chinese manufacturing, and the current allocation value of A-shares remains high, with incremental capital expected to continue increasing its allocation to Chinese equity assets [1] - The domestic photovoltaic installed capacity increased by 39.47 GW in January-February, a year-on-year growth of 7.49%, while the cumulative installed capacity of power batteries reached 73.6 GWh, with a year-on-year growth of 46.5% [2] Group 2 - The uncertainty of overseas market policies impacted the market at both the beginning and end of the quarter, with a rebound in the tech sector as the technology gap between domestic and overseas markets narrowed significantly [3] - The upcoming second quarter will face significant uncertainty due to the impact of overseas tariff policies on global trade and supply chains, with a focus on corporate profitability during the earnings season [4] - Companies with healthy free cash flow are expected to have higher dividend potential and better safety in cash turnover under severe shocks, reflecting their operational resilience and pricing power [4]