Discovering effective predictive signals, or “alphas,” from financial data with high dimensionality and extremely low signal-to-noise ratio remains a difficult open problem. Despite progress in deep learning, genetic programming, and, more recently, large language model (LLM)–based factor generation, existing approaches still explore only a narrow region of the vast alpha search space. Neural models tend to produce opaque and fragile patterns, while symbolic or formula-based methods often yield redundant or economically ungrounded expressions that generalize poorly. Although different in form, these paradigms share a key limitation: none can conduct broad, structured, and human-like exploration that balances logical consistency with creative leaps.To address this gap, we introduce the Cognitive Alpha Mining Framework (CogAlpha), which combines code-level alpha representation with LLM-driven reasoning and evolutionary search. Treating LLMs as adaptive cognitive agents, our framework iteratively refines, mutates, and recombines alpha candidates through multi-stage prompts and financial feedback. This synergistic design enables deeper thinking, richer structural diversity, and economically interpretable alpha discovery, while greatly expanding the effective search space.Experiments on 5 stock datasets from 3 stock markets demonstrate that CogAlpha consistently discovers alphas with superior predictive accuracy, robustness, and generalization over existing methods. Our results highlight the promise of aligning evolutionary optimization with LLM-based reasoning for automated and explainable alpha discovery.

Existing user simulators based on prompting to role-play or SFT are generally confined to imitating users’ textual utterances, without adequately considering the multi-faceted cognitive processes that underlie human decision-making during interactions. To facilitate better alignment with real human thinking patterns, we construct the LMSYS-UserThinking dataset, in which we augment 51k human–LLM conversations by reconstructing the user’s inner reasoning both during and at the end of each dialogue. Furthermore, to enhance controllability and situational coherence, we introduce scenario settings that describe the global context and user goals throughout multi-turn conversations. Using this dataset, we train user simulators called ThinkingUS on different base models. We evaluate our approach from both offline and online user simulation perspectives, ultimately demonstrating its effectiveness.