Simulating Financial Market via Large Language Model based Agents

• URL: http://arxiv.org/abs/2406.19966v1
• Date: Fri, 28 Jun 2024 14:54:12 GMT
• Title: Simulating Financial Market via Large Language Model based Agents
• Authors: Shen Gao, Yuntao Wen, Minghang Zhu, Jianing Wei, Yuhan Cheng, Qunzi Zhang, Shuo Shang,
• Abstract summary: Most economic theories assume that financial market participants are fully rational individuals and use mathematical models to simulate human behavior in financial markets. We propose textbfAgent-based textbfSimulated textbfFinancial textbfMarket (ASFM), which first constructs a simulated stock market with a real order matching system.
• Score: 22.36549613587476
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Most economic theories typically assume that financial market participants are fully rational individuals and use mathematical models to simulate human behavior in financial markets. However, human behavior is often not entirely rational and is challenging to predict accurately with mathematical models. In this paper, we propose \textbf{A}gent-based \textbf{S}imulated \textbf{F}inancial \textbf{M}arket (ASFM), which first constructs a simulated stock market with a real order matching system. Then, we propose a large language model based agent as the stock trader, which contains the profile, observation, and tool-learning based action module. The trading agent can comprehensively understand current market dynamics and financial policy information, and make decisions that align with their trading strategy. In the experiments, we first verify that the reactions of our ASFM are consistent with the real stock market in two controllable scenarios. In addition, we also conduct experiments in two popular economics research directions, and we find that conclusions drawn in our \model align with the preliminary findings in economics research. Based on these observations, we believe our proposed ASFM provides a new paradigm for economic research.

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