MarketSim: Simulating Stock Markets with Large-Scale Generative Agents

Jinghua Piao, Zhentao Liu, Cheng Huang, Jiarui Huang, Songwei Li, Ranran Wang, Yong Li
Proceedings of the 43rd International Conference on Machine Learning, PMLR 306:98730-98777, 2026.

Abstract

Stock markets are one of the most complex systems in the modern world, where prices emerge from billions of decentralized interactions among heterogeneous participants in an ever-evolving information landscape. While high-fidelity simulation is important for understanding market dynamics, existing approaches face a persistent trade-off between structural and behavioral fidelity. To this end, we propose MarketSim, a large-scale stock market simulation framework with generative agents. MarketSim introduces a hierarchical multi-agent architecture that decouples strategic reasoning from high-frequency execution, enabling LLM agents to operate in a nanosecond-resolution, NASDAQ-like continuous double auction market. Building on this, we simulate over 15,000 heterogeneous market participants whose interactions shape and are shaped by an evolving market environment grounded in more than 12k real-world news articles, policy documents, and earnings reports. To evaluate our proposed MarketSim, we develop a comprehensive benchmark that includes stocks from 8 GICS sectors and 3 representative real-world scenarios, along with 5 stylized facts for market complexity and 5 price-related statistical metrics. Extensive experiments demonstrate that MarketSim not only captures key complexity properties of real-world markets, but also outperforms state-of-the-art baselines in tracking high-frequency price dynamics with an average MAPE of 3.48%, providing a scalable testbed for market analysis.

Cite this Paper

BibTeX
@InProceedings{pmlr-v306-piao26b, title = {{M}arket{S}im: Simulating Stock Markets with Large-Scale Generative Agents}, author = {Piao, Jinghua and Liu, Zhentao and Huang, Cheng and Huang, Jiarui and Li, Songwei and Wang, Ranran and Li, Yong}, booktitle = {Proceedings of the 43rd International Conference on Machine Learning}, pages = {98730--98777}, year = {2026}, editor = {Zhang, Tong and Dudik, Miroslav and Jaggi, Martin and Agarwal, Alekh and Li, Sharon and Schuurmans, Dale and Zhu, Jerry and Berkenkamp, Felix and Dong, Hanze and Bietti, Alberto}, volume = {306}, series = {Proceedings of Machine Learning Research}, month = {06--11 Jul}, publisher = {PMLR}, pdf = {https://raw.githubusercontent.com/mlresearch/v306/main/assets/piao26b/piao26b.pdf}, url = {https://proceedings.mlr.press/v306/piao26b.html}, abstract = {Stock markets are one of the most complex systems in the modern world, where prices emerge from billions of decentralized interactions among heterogeneous participants in an ever-evolving information landscape. While high-fidelity simulation is important for understanding market dynamics, existing approaches face a persistent trade-off between structural and behavioral fidelity. To this end, we propose MarketSim, a large-scale stock market simulation framework with generative agents. MarketSim introduces a hierarchical multi-agent architecture that decouples strategic reasoning from high-frequency execution, enabling LLM agents to operate in a nanosecond-resolution, NASDAQ-like continuous double auction market. Building on this, we simulate over 15,000 heterogeneous market participants whose interactions shape and are shaped by an evolving market environment grounded in more than 12k real-world news articles, policy documents, and earnings reports. To evaluate our proposed MarketSim, we develop a comprehensive benchmark that includes stocks from 8 GICS sectors and 3 representative real-world scenarios, along with 5 stylized facts for market complexity and 5 price-related statistical metrics. Extensive experiments demonstrate that MarketSim not only captures key complexity properties of real-world markets, but also outperforms state-of-the-art baselines in tracking high-frequency price dynamics with an average MAPE of 3.48%, providing a scalable testbed for market analysis.} }
Endnote
%0 Conference Paper %T MarketSim: Simulating Stock Markets with Large-Scale Generative Agents %A Jinghua Piao %A Zhentao Liu %A Cheng Huang %A Jiarui Huang %A Songwei Li %A Ranran Wang %A Yong Li %B Proceedings of the 43rd International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2026 %E Tong Zhang %E Miroslav Dudik %E Martin Jaggi %E Alekh Agarwal %E Sharon Li %E Dale Schuurmans %E Jerry Zhu %E Felix Berkenkamp %E Hanze Dong %E Alberto Bietti %F pmlr-v306-piao26b %I PMLR %P 98730--98777 %U https://proceedings.mlr.press/v306/piao26b.html %V 306 %X Stock markets are one of the most complex systems in the modern world, where prices emerge from billions of decentralized interactions among heterogeneous participants in an ever-evolving information landscape. While high-fidelity simulation is important for understanding market dynamics, existing approaches face a persistent trade-off between structural and behavioral fidelity. To this end, we propose MarketSim, a large-scale stock market simulation framework with generative agents. MarketSim introduces a hierarchical multi-agent architecture that decouples strategic reasoning from high-frequency execution, enabling LLM agents to operate in a nanosecond-resolution, NASDAQ-like continuous double auction market. Building on this, we simulate over 15,000 heterogeneous market participants whose interactions shape and are shaped by an evolving market environment grounded in more than 12k real-world news articles, policy documents, and earnings reports. To evaluate our proposed MarketSim, we develop a comprehensive benchmark that includes stocks from 8 GICS sectors and 3 representative real-world scenarios, along with 5 stylized facts for market complexity and 5 price-related statistical metrics. Extensive experiments demonstrate that MarketSim not only captures key complexity properties of real-world markets, but also outperforms state-of-the-art baselines in tracking high-frequency price dynamics with an average MAPE of 3.48%, providing a scalable testbed for market analysis.
APA
Piao, J., Liu, Z., Huang, C., Huang, J., Li, S., Wang, R. & Li, Y.. (2026). MarketSim: Simulating Stock Markets with Large-Scale Generative Agents. Proceedings of the 43rd International Conference on Machine Learning, in Proceedings of Machine Learning Research 306:98730-98777 Available from https://proceedings.mlr.press/v306/piao26b.html.

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