Related papers: A Hybrid Approach on Conditional GAN for Portfolio…

Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to…

Generative adversarial nets (GANs) have been widely studied during the recent development of deep learning and unsupervised learning. With an adversarial training mechanism, GAN manages to train a generative model to fit the underlying…

Due to confidentiality issues, it can be difficult to access or share interesting datasets for methodological development in actuarial science, or other fields where personal data are important. We show how to design three different types…

Simulating realistic time-domain observations of gravitational waves (GWs) and GW detector glitches can help in advancing GW data analysis. Simulated data can be used in downstream tasks by augmenting datasets for signal searches, balancing…

Modeling the probability distribution of rows in tabular data and generating realistic synthetic data is a non-trivial task. Tabular data usually contains a mix of discrete and continuous columns. Continuous columns may have multiple modes…

Generative Adversarial Networks (GANs) are a well-known technique that is trained on samples (e.g. pictures of fruits) and which after training is able to generate realistic new samples. Conditional GANs (CGANs) additionally provide label…

Generative Adversarial Networks (GANs) have gained significant attention in recent years, with impressive applications highlighted in computer vision in particular. Compared to such examples, however, there have been more limited…

In recent years, impressive progress has been made in the design of implicit probabilistic models via Generative Adversarial Networks (GAN) and its extension, the Conditional GAN (CGAN). Excellent solutions have been demonstrated mostly in…

This paper proposes a novel fault diagnosis approach based on generative adversarial networks (GAN) for imbalanced industrial time series where normal samples are much larger than failure cases. We combine a well-designed feature extractor…

Many engineering problems require the prediction of realization-to-realization variability or a refined description of modeled quantities. In that case, it is necessary to sample elements from unknown high-dimensional spaces with possibly…

Generative adversarial networks (GAN) present state-of-the-art results in the generation of samples following the distribution of the input dataset. However, GANs are difficult to train, and several aspects of the model should be previously…

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…

This paper introduces a novel generative adversarial network (GAN) for synthesizing large-scale tabular databases which contain various features such as continuous, discrete, and binary. Technically, our GAN belongs to the category of…

Forecasting stock prices remains challenging due to the volatile and non-linear nature of financial markets. Despite the promise of deep learning, issues such as mode collapse, unstable training, and difficulty in capturing temporal and…

Algorithmic trading relies on machine learning models to make trading decisions. Despite strong in-sample performance, these models often degrade when confronted with evolving real-world market regimes, which can shift dramatically due to…

We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such…

Ever since its debut, generative adversarial networks (GANs) have attracted tremendous amount of attention. Over the past years, different variations of GANs models have been developed and tailored to different applications in practice.…

In this paper we present a novel algorithm for automatic performance testing that uses an online variant of the Generative Adversarial Network (GAN) to optimize the test generation process. The objective of the proposed approach is to…

We present a mathematically well founded approach for the synthetic modeling of turbulent flows using generative adversarial networks (GAN). Based on the analysis of chaotic, deterministic systems in terms of ergodicity, we outline a…

Conditional GANs are widely used in translating an image from one category to another. Meaningful conditions to GANs provide greater flexibility and control over the nature of the target domain synthetic data. Existing conditional GANs…