Related papers: Simulating financial time series using attention

Generative Adversarial Networks (GANs) should produce synthetic data that fits the underlying distribution of the data being modeled. For real valued time-series data, this implies the need to simultaneously capture the static distribution…

The advent of Transformers marked a significant breakthrough in sequence modelling, providing a highly performant architecture capable of leveraging GPU parallelism. However, Transformers are computationally expensive at inference time,…

Generative adversarial networks (GANs) have been extremely effective in approximating complex distributions of high-dimensional, input data samples, and substantial progress has been made in understanding and improving GAN performance in…

This paper introduces MarketGAN, a factor-based generative framework for high-dimensional asset return generation under severe data scarcity. We embed an explicit asset-pricing factor structure as an economic inductive bias and generate…

Conditional generation of time-dependent data is a task that has much interest, whether for data augmentation, scenario simulation, completing missing data, or other purposes. Recent works proposed a Transformer-based Time series generative…

Generative Adversarial Networks (GAN) training process, in most cases, apply Uniform or Gaussian sampling methods in the latent space, which probably spends most of the computation on examples that can be properly handled and easy to…

Traffic forecasting is an integral part of intelligent transportation systems (ITS). Achieving a high prediction accuracy is a challenging task due to a high level of dynamics and complex spatial-temporal dependency of road networks. For…

While LSTMs show increasingly promising results for forecasting Financial Time Series (FTS), this paper seeks to assess if attention mechanisms can further improve performance. The hypothesis is that attention can help prevent long-term…

Modeling lies at the core of both the financial and the insurance industry for a wide variety of tasks. The rise and development of machine learning and deep learning models have created many opportunities to improve our modeling toolbox.…

Generating synthetic financial time series data that accurately reflects real-world market dynamics holds tremendous potential for various applications, including portfolio optimization, risk management, and large scale machine learning. We…

Generative Adversarial Networks (GANs) have recently attracted considerable attention in the AI community due to its ability to generate high-quality data of significant statistical resemblance to real data. Fundamentally, GAN is a game…

This study presents a comprehensive empirical investigation of the presence of long-range dependence (LRD) in the dynamics of major U.S. stock market indexes--S\&P 500, Dow Jones, and Nasdaq--at daily, weekly, and monthly frequencies. We…

We show that Generative Adversarial Networks (GANs) may be fruitfully exploited to learn stochastic dynamics, surrogating traditional models while capturing thermal fluctuations. Specifically, we showcase the application to a…

Simulated environments are increasingly used by trading firms and investment banks to evaluate trading strategies before approaching real markets. Backtesting, a widely used approach, consists of simulating experimental strategies while…

We propose a new network architecture, Gated Attention Networks (GaAN), for learning on graphs. Unlike the traditional multi-head attention mechanism, which equally consumes all attention heads, GaAN uses a convolutional sub-network to…

This paper captures irregularities in financial time series data, particularly stock prices, in the presence of COVID-19 shock. We conjectured that jumps and irregularities are embedded in stock data due to the pandemic shock, which brings…

Current Generative Adversarial Network (GAN)-based approaches for time series generation face challenges such as suboptimal convergence, information loss in embedding spaces, and instability. To overcome these challenges, we introduce an…

Generative Adversarial Networks (GANs) have shown impressive results in various image synthesis tasks. Vast studies have demonstrated that GANs are more powerful in feature and expression learning compared to other generative models and…

Many real-world tasks are plagued by limitations on data: in some instances very little data is available and in others, data is protected by privacy enforcing regulations (e.g. GDPR). We consider limitations posed specifically on…

Generative adversarial networks (GANs) represent a powerful tool for classical machine learning: a generator tries to create statistics for data that mimics those of a true data set, while a discriminator tries to discriminate between the…