Generative Adversarial Networks Applied to Synthetic Financial Scenarios
C. Geissler, N. Morizet, M. Rizzato and J. Wallart. Advestis x Fujitsu Systems Europe. Preprint, July 2022.
Abstract: 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, capitalization and volume. Their coverage has now considerably expanded to include, for example, macroeconomic data, supply and demand of commodities, balance sheet data and more recently extra-financial data such as ESG scores. This broadening of the factors retained as influential constitutes a serious challenge for statistical modeling. Indeed, the instability of the correlations between these factors makes it practically impossible to identify the joint laws needed to construct scenarios. Fortunately, spectacular advances in Deep Learning field in recent years have given rise to GANs. GANs are a type of generative machine learning models that produce new data samples with the same characteristics as a training data distribution in an unsupervised way, avoiding data assumptions and human induced biases. In this work, we are exploring the use of GANs for synthetic financial scenarios generation.