Reliability and Identifiability in Persona-Trained Monte Carlo: Variance Decomposition, Stability Bounds, and the Identifiability of Heterogeneous News Reaction

arXiv:2607.04627v1 Announce Type: new Abstract: Persona-Trained Monte Carlo (PTMC) estimates distributions of market-outcome functionals by repeatedly simulating limit-order-book interaction among K neural policy bots whose behavioral personas are drawn from a learned heterogeneity distribution P. This paper develops the statistical theory that makes the word "reliable" precise for such estimators. We decompose estimator variance into a persona-draw component sigma_P^2 and a within-run component sigma_w^2, give unbiased ANOVA estimators of both, and derive the variance-optimal allocation of a fixed compute budget between outer persona draws and inner replications. A coupling-based stability bound quantifies how misestimation of P and error in the trained policy propagate into the estimand, yielding a three-term total-error budget whose terms are separately estimable; a uniform-in-horizon version holds under a Doeblin condition on the market chain. The main contribution is an identification theory for heterogeneous news reaction: under a fixed response nonlinearity, the aggregate impact curve A(z)=E_Q[g(eta z)] detects heterogeneous news sensitivity through a strict Jensen gap and identifies the distribution Q locally via odd moments and Hausdorff determinacy, with sharp failure when the response family is unknown. We provide sqrt{n}-consistent estimators and a boundary-corrected test of homogeneous news reaction. Two separation theorems delimit when PTMC is provably preferable to homogeneous-population simulators and reduced-form forecasters, formalizing an irreducible Jensen bias floor and the Lucas critique as a minimax limit on intervention extrapolation. All proofs are given in full; guarantees are classified as unconditional (Monte Carlo convergence), conditional worst-case (the error budget), or open (the large-K mean-field limit).

Source: arXiv cs.LG | 2026-07-07