A Data-Driven Market Simulator for Small Data Environments

@article{Bhler2020ADM,
  title={A Data-Driven Market Simulator for Small Data Environments},
  author={Hans B{\"u}hler and Blanka Horvath and Terry Lyons and Imanol Perez Arribas and Ben Wood},
  journal={ERN: Neural Networks \& Related Topics (Topic)},
  year={2020}
}
Neural network based data-driven market simulation unveils a new and flexible way of modelling financial time series without imposing assumptions on the underlying stochastic dynamics. Though in this sense generative market simulation is model-free, the concrete modelling choices are nevertheless decisive for the features of the simulated paths. We give a brief overview of currently used generative modelling approaches and performance evaluation metrics for financial time series, and address… Expand
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