Large Investment Model

TL;DR

The paper introduces the Large Investment Model (LIM), a scalable, end-to-end learning framework that captures global financial patterns to improve investment strategies efficiently across multiple markets.

Contribution

LIM is a novel universal modeling approach that autonomously learns comprehensive signals from diverse financial data, enhancing performance and efficiency in quantitative investment research.

Findings

Demonstrated improved cross-instrument prediction accuracy

Showcased scalability across multiple financial markets

Validated effectiveness through numerical experiments

Abstract

Traditional quantitative investment research is encountering diminishing returns alongside rising labor and time costs. To overcome these challenges, we introduce the Large Investment Model (LIM), a novel research paradigm designed to enhance both performance and efficiency at scale. LIM employs end-to-end learning and universal modeling to create an upstream foundation model capable of autonomously learning comprehensive signal patterns from diverse financial data spanning multiple exchanges, instruments, and frequencies. These "global patterns" are subsequently transferred to downstream strategy modeling, optimizing performance for specific tasks. We detail the system architecture design of LIM, address the technical challenges inherent in this approach, and outline potential directions for future research. The advantages of LIM are demonstrated through a series of numerical experiments on cross-instrument prediction for commodity futures trading, leveraging insights from stock markets.