One of the most important tasks in quantitative investment research is mining new alphas (effective trading signals or factors). Traditional alpha mining methods, either hand-crafted factor synthesis or algorithmic factor mining (e.g., search with genetic programming), have inherent limitations, especially in implementing the ideas of quant researchers. In this work, we propose a new alpha mining paradigm by introducing human-AI interaction, and a novel prompt engineering algorithmic framework to implement this paradigm by leveraging the power of large language models. Moreover, we develop Alpha-GPT, a new interactive alpha mining system framework that provides a heuristic way to “understand” the ideas of quant researchers and outputs creative, insightful, and effective alphas. We demonstrate the effectiveness and advantage of Alpha-GPT via a number of alpha mining experiments. In particular, we evaluated Alpha-GPT’s performance in the WorldQuant International Quant Championship, where it demonstrated results comparable to those of top-performing human participants, ranking among top-10 over 41000 teams worldwide. These findings suggest Alpha-GPT’s significant potential in generating highly effective alphas that may surpass human capabilities in quantitative investment strategies.