Related papers: Synthetic Financial Data Generation for Enhanced F…

Synthetic financial data provides a practical solution to the privacy, accessibility, and reproducibility challenges that often constrain empirical research in quantitative finance. This paper investigates the use of deep generative models,…

Synthetic data generation has emerged as a promising approach to address the challenges of using sensitive financial data in machine learning applications. By leveraging generative models, such as Generative Adversarial Networks (GANs) and…

Generative models for financial time series often create data that look realistic and even reproduce stylized facts such as fat tails or volatility clustering. However, these apparent successes break down under trading backtests: models…

Data plays a fundamental role in consolidating markets, services, and products in the digital financial ecosystem. However, the use of real data, especially in the financial context, can lead to privacy risks and access restrictions,…

In recent years, financial institutions and firms have increasingly adopted synthetic data to address data scarcity and to generate counterfactual market scenarios. However, reproducing all the statistical properties of financial time…

The finance industry is producing an increasing amount of datasets that investment professionals can consider to be influential on the price of financial assets. These datasets were initially mainly limited to exchange data, namely price,…

The banking sector faces challenges in using deep learning due to data sensitivity and regulatory constraints, but generative AI may offer a solution. Thus, this study identifies effective algorithms for generating synthetic financial…

Financial simulators play an important role in enhancing forecasting accuracy, managing risks, and fostering strategic financial decision-making. Despite the development of financial market simulation methodologies, existing frameworks…

The generation of high-quality synthetic data presents significant challenges in machine learning research, particularly regarding statistical fidelity and uncertainty quantification. Existing generative models produce compelling synthetic…

One of the limiting factors in training data-driven, rare-event prediction algorithms is the scarcity of the events of interest resulting in an extreme imbalance in the data. There have been many methods introduced in the literature for…

In the financial services industry, forecasting the risk factor distribution conditional on the history and the current market environment is the key to market risk modeling in general and value at risk (VaR) model in particular. As one of…

Generative Adversarial Networks (GANs) became very popular for generation of realistically looking images. In this paper, we propose to use GANs to synthesize artificial financial data for research and benchmarking purposes. We test this…

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…

Generating synthetic data for financial time series poses challenges, especially considering their non-stationary nature. Traditional statistical time series models normally assume weak stationarity. However, this assumption can constrain…

Various spatiotemporal and network GARCH models have recently been proposed to capture volatility interactions, such as the transmission of market risk across financial networks. These approaches rely heavily on the specification of the…

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…

Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric…

Data is the fuel of data science and machine learning techniques for smart grid applications, similar to many other fields. However, the availability of data can be an issue due to privacy concerns, data size, data quality, and so on. To…

This study provides an in-depth analysis of the model architecture and key technologies of generative artificial intelligence, combined with specific application cases, and uses conditional generative adversarial networks ( cGAN ) and time…

We introduce the DP-auto-GAN framework for synthetic data generation, which combines the low dimensional representation of autoencoders with the flexibility of Generative Adversarial Networks (GANs). This framework can be used to take in…