CLE Seminar: Eugenio Vicario

Friday, 20 February 2026, 12 p.m.

Room G.001 – Bontadini

Eugenio VICARIO, IMT School for Advanced Studies Lucca

Generative Agents and Expectations: Do LLMs Align with Heterogeneous Agent Models?

(Co-authored with Filippo Gusella)

Abstract: Results in the Heterogeneous Agent Model (HAM) literature determine the proportion of fundamentalists and trend followers in the financial market. This proportion varies according to the periods analyzed. In this paper, we use a large language model (LLM) to construct a generative agent (GA) that determines the probability of adopting one of the two strategies based on current information. The probabilities of strategy adoption are compared with those in the HAM literature for the S&P 500 index between 1990 and 2020.  Our findings suggest that the resulting artificial intelligence (AI) expectations align with those reported in the HAM literature.  At the same time, extending the analysis to artificial market data helps us to filter the decision-making process of the AI agent. In the artificial market, results confirm the heterogeneity in expectations but reveal systematic asymmetry toward the fundamentalist behavior.