Can Artificial Market Simulation using LLM Agent replicate Real Market?

Abstract

This paper newly constructs and analyzes the artificial market simulation using a large language model (LLM) agent.First, we constructed an LLM-based agent as a wise trader agent who consider fundamentals and trends, and a noise trader as an agent who trades on other exogenous factors.We then tested whether we could reproduce the stylized facts by changing the prompts and number of the LLM agents.The results showed that the prompts of the LLM agent are very important, and suggests that it is possible to reproduce the stylized facts by giving appropriate prompts as long as we tested.We also confirmed the current limitation of this approach.