Xixiong Xu

Xiangyu Li, Yawen Zeng, Xiaofen Xing et al.

As automated trading gains traction in the financial market, algorithmic investment strategies are increasingly prominent. While Large Language Models (LLMs) and Agent-based models exhibit promising potential in real-time market analysis and trading decisions, they still experience a significant -20% loss when confronted with rapid declines or frequent fluctuations, impeding their practical application. Hence, there is an imperative to explore a more robust and resilient framework. This paper introduces an innovative multi-agent system, HedgeAgents, aimed at bolstering system robustness via ``hedging'' strategies. In this well-balanced system, an array of hedging agents has been tailored, where HedgeAgents consist of a central fund manager and multiple hedging experts specializing in various financial asset classes. These agents leverage LLMs' cognitive capabilities to make decisions and coordinate through three types of conferences. Benefiting from the powerful understanding of LLMs, our HedgeAgents attained a 70% annualized return and a 400% total return over a period of 3 years. Moreover, we have observed with delight that HedgeAgents can even formulate investment experience comparable to those of human experts (https://hedgeagents.github.io/).

Xiangyu Li, Yawen Zeng, Xiaofen Xing et al.

LLM-based financial agents have attracted widespread excitement for their ability to trade like human experts. However, most systems exhibit a "profit mirage": dazzling back-tested returns evaporate once the model's knowledge window ends, because of the inherent information leakage in LLMs. In this paper, we systematically quantify this leakage issue across four dimensions and release FinLake-Bench, a leakage-robust evaluation benchmark. Furthermore, to mitigate this issue, we introduce FactFin, a framework that applies counterfactual perturbations to compel LLM-based agents to learn causal drivers instead of memorized outcomes. FactFin integrates four core components: Strategy Code Generator, Retrieval-Augmented Generation, Monte Carlo Tree Search, and Counterfactual Simulator. Extensive experiments show that our method surpasses all baselines in out-of-sample generalization, delivering superior risk-adjusted performance.

Xiangyu Li, Yawen Zeng, Xiaofen Xing et al.

In this paper, our objective is to develop a multi-agent financial system that incorporates simulated trading, a technique extensively utilized by financial professionals. While current LLM-based agent models demonstrate competitive performance, they still exhibit significant deviations from real-world fund companies. A critical distinction lies in the agents' reliance on ``post-reflection'', particularly in response to adverse outcomes, but lack a distinctly human capability: long-term prediction of future trends. Therefore, we introduce QuantAgents, a multi-agent system integrating simulated trading, to comprehensively evaluate various investment strategies and market scenarios without assuming actual risks. Specifically, QuantAgents comprises four agents: a simulated trading analyst, a risk control analyst, a market news analyst, and a manager, who collaborate through several meetings. Moreover, our system incentivizes agents to receive feedback on two fronts: performance in real-world markets and predictive accuracy in simulated trading. Extensive experiments demonstrate that our framework excels across all metrics, yielding an overall return of nearly 300% over the three years (https://quantagents.github.io/).