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arXiv 2602.01022econ.GNcs.AIq-fin.EC
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用大语言模型校准行为参数

Calibrating Behavioral Parameters with Large Language Models

Management Sciences Lab(管理科学实验室);Yee Collins Research Group(Yee Collins研究组)

Brandon Yee, Pairie Koh

AI总结:

本文利用大语言模型校准行为参数,发现其存在系统性理性偏差,并通过校准方法提升参数稳定性与理论一致性,验证了校准参数在资产定价模型中的有效性。

摘要:

行为参数如损失厌恶、从众和外推在资产定价模型中至关重要,但难以可靠测量。本文开发了一种框架,将大语言模型(LLMs)作为校准行为参数的测量工具。使用四个模型和24,000个智能体-场景对,发现基线LLM行为存在系统性理性偏差,包括减弱的损失厌恶、弱从众和接近零的处置效应,相对于人类基准。基于轮廓的校准导致多个参数出现大幅、稳定且理论一致的转变,校准后的损失厌恶、从众、外推和锚定效应达到或超过基准水平。为评估外部有效性,将校准参数嵌入智能体资产定价模型中,其中校准后的外推生成与实证证据一致的短期动量和长期反转模式。本文结果确立了八个典型行为偏差的测量范围、校准函数和显式边界。

英文摘要:

Behavioral parameters such as loss aversion, herding, and extrapolation are central to asset pricing models but remain difficult to measure reliably. We develop a framework that treats large language models (LLMs) as calibrated measurement instruments for behavioral parameters. Using four models and 24{,}000 agent--scenario pairs, we document systematic rationality bias in baseline LLM behavior, including attenuated loss aversion, weak herding, and near-zero disposition effects relative to human benchmarks. Profile-based calibration induces large, stable, and theoretically coherent shifts in several parameters, with calibrated loss aversion, herding, extrapolation, and anchoring reaching or exceeding benchmark magnitudes. To assess external validity, we embed calibrated parameters in an agent-based asset pricing model, where calibrated extrapolation generates short-horizon momentum and long-horizon reversal patterns consistent with empirical evidence. Our results establish measurement ranges, calibration functions, and explicit boundaries for eight canonical behavioral biases.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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