Title: Dissecting AI Trading: Behavioral Finance and Market Bubbles
Speaker: Pengfei Sui, Associate Professor, The Chinese University of Hong Kong (Shenzhen)
Time: 10:00-11:30, May 15, 2026 (Friday)
Venue: Room 1008, Mingde Business Building (Zhongguancun Campus)
Language: English/Chinese
ABSTRACT:
We study how AI agents form expectations and trade in experimental asset markets. Using a simulated open-call auction populated by autonomous Large Language Model (LLM) agents, we document three main findings. First, AI agents exhibit classic behavioral patterns: a pronounced disposition effect and recency-weighted extrapolative beliefs. Second, these individual-level patterns aggregate into equilibrium dynamics that replicate classic experimental findings (Smith et al. (1988)), including the predictive power of excess demand for future prices and the positive relationship between disagreement and trading volume. Third, by analyzing the agents' reasoning text through a twenty-mechanism scoring framework, we show that targeted prompt interventions causally amplify or suppress specific behavioral mechanisms, significantly altering the magnitude of market bubbles.
SHORT BIOGRAPHY:
Dr. Sui Pengfei is currently an Associate Professor of Finance at the Chinese University of Hong Kong (Shenzhen) and a Distinguished Professor at the Shenzhen Institute of Data Economy. He received his Ph.D. in Social Sciences (Economics) from the California Institute of Technology in 2018. His research interests include behavioral finance, asset pricing, AI in finance, and Chinese capital markets.
His work has been published in top-tier finance journals, including three papers in the Journal of Financial Economics and one in the Review of Finance. He has received several best paper awards at notable conferences, such as the China Financial Research Conference and the International Young Finance Scholars’ Conference. Furthermore, his research has been presented at leading international conferences, including the NBER, AFA, FRA, ABFER, CICF, and CFRC.