Magnus Wiese, Robert Knobloch, Ralf Korn, Peter Kretschmer
备注：
Corrected typos. Added section 2 as an overview of existing literature. Added section 5.3 to clarify the modeling assumptions. Appendix B now contains more details on the neural network architectures used. Changed latex template
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. As an alternative, we introduce Quant GANs, a data-driven model which is inspired by the recent success of generative adversarial networks (GANs). Quant GANs consist of a generator and discriminator function, which utilize temporal convolutional networks (TCNs) and thereby achieve to capture long-range dependencies such as the presence of volatility clusters. The generator function is explicitly constructed such that the induced stochastic process allows a transition to its risk-neutral distribution. Our numerical results highlight that distributional properties for small and large lags are in an excellent agreement and dependence properties such as volatility clusters, leverage effects, and serial autocorrelations can be generated by the generator function of Quant GANs, demonstrably in high fidelity.
Columbia University（哥伦比亚大学）；Zurich University of Applied Sciences（苏黎世应用科学大学）
Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the complex statistical properties of the real financial data. We introduce two generative adversarial networks (GANs), which utilize the convolutional networks with attention and the transformers, for financial time series simulation. The GANs learn the statistical properties in a data-driven manner and the attention mechanism helps to replicate the long-range dependencies. The proposed GANs are tested on the S&P 500 in…
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 approach on three American Express datasets, and show that properly trained GANs can replicate these datasets with high fidelity. For our experiments, we define a novel type of GAN, and suggest methods for data preprocessing that allow good training and testing performance of GANs. We also discuss methods for evaluating the quality of generated data, and their…
Training generative adversarial networks (GANs) is known to be difficult, especially for financial time series. This paper first analyzes the well-posedness problem in GANs minimax games and the convexity issue in GANs objective functions. It then proposes a stochastic control framework for hyper-parameters tuning in GANs training. The weak form of dynamic programming principle and the uniqueness and the existence of the value function in the viscosity sense for the corresponding minimax game are established. In particular, explicit forms for the optimal adaptive learning rate and batch size a…
Fujitsu Laboratories of America（美国富士通实验室）；University of California, Irvine（加州大学欧文分校）
Financial decisions impact our lives, and thus everyone from the regulator to the consumer is interested in fair, sound, and explainable decisions. There is increasing competitive desire and regulatory incentive to deploy AI mindfully within financial services. An important mechanism towards that end is to explain AI decisions to various stakeholders. State-of-the-art explainable AI systems mostly serve AI engineers and offer little to no value to business decision makers, customers, and other stakeholders. Towards addressing this gap, in this work we consider the scenario of explaining loan d…
Harvard University（哈佛大学）；Massachusetts Institute of Technology（麻省理工学院）
We introduce the decision-aware time-series conditional generative adversarial network (DAT-CGAN) as a method for time-series generation. The framework adopts a multi-Wasserstein loss on structured decision-related quantities, capturing the heterogeneity of decision-related data and providing new effectiveness in supporting the decision processes of end users. We improve sample efficiency through an overlapped block-sampling method, and provide a theoretical characterization of the generalization properties of DAT-CGAN. The framework is demonstrated on financial time series for a multi-time-st…
Prediction of Stocks Index Price using Quantum GANs
Qkrishi Quantum Pvt. Ltd.（Qkrishi量子私有有限公司）；Electrical and Computer Engineering, NC State University（电气与计算机工程系，北卡罗来纳州立大学）；Physics Department, University of Massachusetts（物理系，马萨诸塞大学）
We construct realistic equity option market simulators based on generative adversarial networks (GANs). We consider recurrent and temporal convolutional architectures, and assess the impact of state compression. Option market simulators are highly relevant because they allow us to extend the limited real-world data sets available for the training and evaluation of option trading strategies. We show that network-based generators outperform classical methods on a range of benchmark metrics, and adversarial training achieves the best performance. Our work demonstrates for the first time that GANs…
University College London（伦敦大学学院）；University of Edinburgh（爱丁堡大学）；University of Kaiserslautern（凯泽斯劳滕大学）
Synthetic data is an emerging technology that can significantly accelerate the development and deployment of AI machine learning pipelines. In this work, we develop high-fidelity time-series generators, the SigWGAN, by combining continuous-time stochastic models with the newly proposed signature $W_1$ metric. The former are the Logsig-RNN models based on the stochastic differential equations, whereas the latter originates from the universal and principled mathematical features to characterize the measure induced by time series. SigWGAN allows turning computationally challenging GAN min-max pro…
Centrum Wiskunde en Informatica (CWI)（荷兰国家数学与计算机科学研究中心）；Utrecht University（乌得勒支大学）；Delft University of Technology（代尔夫特理工大学）；Rabobank（荷兰合作银行）
Generative adversarial networks (GANs) have shown promising results when applied on partial differential equations and financial time series generation. We investigate if GANs can also be used to approximate one-dimensional Ito stochastic differential equations (SDEs). We propose a scheme that approximates the path-wise conditional distribution of SDEs for large time steps. Standard GANs are only able to approximate processes in distribution, yielding a weak approximation to the SDE. A conditional GAN architecture is proposed that enables strong approximation. We inform the discriminator of th…
Perspecta Labs（Perspecta实验室）；Carnegie Mellon University（卡内基梅隆大学）；Army Research Lab（陆军研究实验室）；Raytheon Technologies（雷神技术公司）
Generative adversarial networks (GANs) are often billed as "universal distribution learners", but precisely what distributions they can represent and learn is still an open question. Heavy-tailed distributions are prevalent in many different domains such as financial risk-assessment, physics, and epidemiology. We observe that existing GAN architectures do a poor job of matching the asymptotic behavior of heavy-tailed distributions, a problem that we show stems from their construction. Additionally, when faced with the infinite moments and large distances between outlier points that are charact…
Insight Centre for Data Analytics（洞察数据分析中心）；Dublin City University（都柏林城市大学）
In the recent years Generative Adversarial Networks (GANs) have demonstrated significant progress in generating authentic looking data. In this work we introduce our simple method to exploit the advancements in well established image-based GANs to synthesise single channel time series data. We implement Wasserstein GANs (WGANs) with gradient penalty due to their stability in training to synthesise three different types of data; sinusoidal data, photoplethysmograph (PPG) data and electrocardiograph (ECG) data. The length of the returned time series data is limited only by the image resolution, …
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 Variational Autoencoders (VAEs), it is possible to create artificial datasets that preserve the statistical properties of real financial records while mitigating privacy risks and regulatory constraints. Despite the rapid growth of this field, a comprehensive synthesis of the current research landscape has been lacking. This systematic review consolidates an…
Janelia Research Campus, HHMI（霍华德·休斯医学研究所珍妮莉亚研究园区）；AIFounded Inc.（人工智能基金会公司）；University of Guelph（圭尔夫大学）；Vector Institute（向量研究所）
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 terms of both theory and application. However, we currently lack quantitative methods for model assessment. Because of this, while many GAN variants are being proposed, we have relatively little understanding of their relative abilities. In this paper, we evaluate the performance of various types of GANs using divergence and distance functions typically used o…
Generative adversarial networks (GANs) are a class of deep generative models which aim to learn a target distribution in an unsupervised fashion. While they were successfully applied to many problems, training a GAN is a notoriously challenging task and requires a significant number of hyperparameter tuning, neural architecture engineering, and a non-trivial amount of "tricks". The success in many practical applications coupled with the lack of a measure to quantify the failure modes of GANs resulted in a plethora of proposed losses, regularization and normalization schemes, as well as neural …
University of Science and Technology of China（中国科学技术大学）
Generative adversarial nets (GANs) have been successfully applied in many fields like image generation, inpainting, super-resolution and drug discovery, etc., by now, the inner process of GANs is far from been understood. To get deeper insight of the intrinsic mechanism of GANs, in this paper, a method for interpreting the latent space of GANs by analyzing the correlation between latent variables and the corresponding semantic contents in generated images is proposed. Unlike previous methods that focus on dissecting models via feature visualization, the emphasis of this work is put on the vari…
Department of Computer Science and Technology, Tsinghua University（清华大学计算机科学与技术系）；Department of Electrical and Computer Engineering, University of California, Santa Barbara（加利福尼亚大学圣巴巴拉分校电气与计算机工程系）
The intensive computation and memory requirements of generative adversarial neural networks (GANs) hinder its real-world deployment on edge devices such as smartphones. Despite the success in model reduction of CNNs, neural network quantization methods have not yet been studied on GANs, which are mainly faced with the issues of both the effectiveness of quantization algorithms and the instability of training GAN models. In this paper, we start with an extensive study on applying existing successful methods to quantize GANs. Our observation reveals that none of them generates samples with reaso…
International Institute of Information Technology, Hyderabad（海得拉巴国际信息技术研究所）
Generative Adversarial Networks (GANs) are by far the most successful generative models. Learning the transformation which maps a low dimensional input noise to the data distribution forms the foundation for GANs. Although they have been applied in various domains, they are prone to certain challenges like mode collapse and unstable training. To overcome the challenges, researchers have proposed novel loss functions, architectures, and optimization methods. In our work here, unlike the previous approaches, we focus on the input noise and its role in the generation. We aim to quantitatively and…
Higher School of Economics（高等经济学院）；Skolkovo Institute of Science and Technology（斯科尔科沃科学技术学院）；Samsung AI Center Moscow（三星莫斯科人工智能中心）；Yandex；Samsung-HSE Laboratory（三星-高等经济学院实验室）
Generative adversarial networks (GANs) have an enormous potential impact on digital content creation, e.g., photo-realistic digital avatars, semantic content editing, and quality enhancement of speech and images. However, the performance of modern GANs comes together with massive amounts of computations performed during the inference and high energy consumption. That complicates, or even makes impossible, their deployment on edge devices. The problem can be reduced with quantization -- a neural network compression technique that facilitates hardware-friendly inference by replacing floating-poi…
Massachusetts Institute of Technology（麻省理工学院）；IBM Research（IBM研究院）；The Chinese University of Hong Kong（香港中文大学）
Generative Adversarial Networks (GANs) have achieved impressive results for many real-world applications. As an active research topic, many GAN variants have emerged with improvements in sample quality and training stability. However, visualization and understanding of GANs is largely missing. How does a GAN represent our visual world internally? What causes the artifacts in GAN results? How do architectural choices affect GAN learning? Answering such questions could enable us to develop new insights and better models. In this work, we present an analytic framework to visualize and understand …
University of California, Irvine（加利福尼亚大学欧文分校）；Google Research（谷歌研究院）
Recent work has increased the performance of Generative Adversarial Networks (GANs) by enforcing a consistency cost on the discriminator. We improve on this technique in several ways. We first show that consistency regularization can introduce artifacts into the GAN samples and explain how to fix this issue. We then propose several modifications to the consistency regularization procedure designed to improve its performance. We carry out extensive experiments quantifying the benefit of our improvements. For unconditional image synthesis on CIFAR-10 and CelebA, our modifications yield the best …
Unprecedented data collection and sharing have exacerbated privacy concerns and led to increasing interest in privacy-preserving tools that remove sensitive attributes from images while maintaining useful information for other tasks. Currently, state-of-the-art approaches use privacy-preserving generative adversarial networks (PP-GANs) for this purpose, for instance, to enable reliable facial expression recognition without leaking users' identity. However, PP-GANs do not offer formal proofs of privacy and instead rely on experimentally measuring information leakage using classification accurac…
We examined the use of modern Generative Adversarial Nets to generate novel images of oil paintings using the Painter By Numbers dataset. We implemented Spectral Normalization GAN (SN-GAN) and Spectral Normalization GAN with Gradient Penalty, and compared their outputs to a Deep Convolutional GAN. Visually, and quantitatively according to the Sliced Wasserstein Distance metric, we determined that the SN-GAN produced paintings that were most comparable to our training dataset. We then performed a series of experiments to add supervised conditioning to SN-GAN, the culmination of which is what we…
Samsung AI Center in Moscow（三星莫斯科人工智能中心）；Skolkovo Institute of Science and Technology（斯科尔科沃科学技术研究院）；National Research University Higher School of Economics（国立研究型大学高等经济学院）；Federal Research Center "Informatics and Management" of the Russian Academy of Sciences（俄罗斯科学院联邦研究中心“信息学与管理学”）
We propose a novel autoencoding model called Pairwise Augmented GANs. We train a generator and an encoder jointly and in an adversarial manner. The generator network learns to sample realistic objects. In turn, the encoder network at the same time is trained to map the true data distribution to the prior in latent space. To ensure good reconstructions, we introduce an augmented adversarial reconstruction loss. Here we train a discriminator to distinguish two types of pairs: an object with its augmentation and the one with its reconstruction. We show that such adversarial loss compares objects …
University of Southern California（南加州大学）；Stanford University（斯坦福大学）
In this work, we train conditional Wasserstein generative adversarial networks to effectively sample from the posterior of physics-based Bayesian inference problems. The generator is constructed using a U-Net architecture, with the latent information injected using conditional instance normalization. The former facilitates a multiscale inverse map, while the latter enables the decoupling of the latent space dimension from the dimension of the measurement, and introduces stochasticity at all scales of the U-Net. We solve PDE-based inverse problems to demonstrate the performance of our approach …
The ability to generate high-fidelity synthetic data is crucial when available (real) data is limited or where privacy and data protection standards allow only for limited use of the given data, e.g., in medical and financial data-sets. Current state-of-the-art methods for synthetic data generation are based on generative models, such as Generative Adversarial Networks (GANs). Even though GANs have achieved remarkable results in synthetic data generation, they are often challenging to interpret.Furthermore, GAN-based methods can suffer when used with mixed real and categorical variables.Moreov…
University of Oxford（牛津大学）；The Alan Turing Institute（艾伦·图灵研究所）
Exciting new work on the generalization bounds for neural networks (NN) given by Neyshabur et al. , Bartlett et al. closely depend on two parameter-depenedent quantities: the Lipschitz constant upper-bound and the stable rank (a softer version of the rank operator). This leads to an interesting question of whether controlling these quantities might improve the generalization behaviour of NNs. To this end, we propose stable rank normalization (SRN), a novel, optimal, and computationally efficient weight-normalization scheme which minimizes the stable rank of a linear operator. Surprisingly we f…
Generating multivariate time series is a promising approach for sharing sensitive data in many medical, financial, and IoT applications. A common type of multivariate time series originates from a single source such as the biometric measurements from a medical patient. This leads to complex dynamical patterns between individual time series that are hard to learn by typical generation models such as GANs. There is valuable information in those patterns that machine learning models can use to better classify, predict or perform other downstream tasks. We propose a novel framework that takes time…
The analysis of the compression effects in generative adversarial networks (GANs) after training, i.e. without any fine-tuning, remains an unstudied, albeit important, topic with the increasing trend of their computation and memory requirements. While existing works discuss the difficulty of compressing GANs during training, requiring novel methods designed with the instability of GANs training in mind, we show that existing compression methods (namely clipping and quantization) may be directly applied to compress GANs post-training, without any additional changes. High compression levels may …
Do GANs replicate training images? Previous studies have shown that GANs do not seem to replicate training data without significant change in the training procedure. This leads to a series of research on the exact condition needed for GANs to overfit to the training data. Although a number of factors has been theoretically or empirically identified, the effect of dataset size and complexity on GANs replication is still unknown. With empirical evidence from BigGAN and StyleGAN2, on datasets CelebA, Flower and LSUN-bedroom, we show that dataset size and its complexity play an important role in G…
A basic, and still largely unanswered, question in the context of Generative Adversarial Networks (GANs) is whether they are truly able to capture all the fundamental characteristics of the distributions they are trained on. In particular, evaluating the diversity of GAN distributions is challenging and existing methods provide only a partial understanding of this issue. In this paper, we develop quantitative and scalable tools for assessing the diversity of GAN distributions. Specifically, we take a classification-based perspective and view loss of diversity as a form of covariate shift intro…
International School of Information Science & Engineering, DUT（大连理工大学国际信息与软件学院）
In past years, the minimax type single-level optimization formulation and its variations have been widely utilized to address Generative Adversarial Networks (GANs). Unfortunately, it has been proved that these alternating learning strategies cannot exactly reveal the intrinsic relationship between the generator and discriminator, thus easily result in a series of issues, including mode collapse, vanishing gradients and oscillations in the training phase, etc. In this work, by investigating the fundamental mechanism of GANs from the perspective of hierarchical optimization, we propose Best-Res…
In recent years, unsupervised/weakly-supervised conditional generative adversarial networks (GANs) have achieved many successes on the task of modeling and generating data. However, one of their weaknesses lies in their poor ability to separate, or disentangle, the different factors that characterize the representation encoded in their latent space. To address this issue, we propose a novel structure for unsupervised conditional GANs powered by a novel Information Compensation Connection (IC-Connection). The proposed IC-Connection enables GANs to compensate for information loss incurred during…
Communicating and sharing intelligence among agents is an important facet of achieving Artificial General Intelligence. As a first step towards this challenge, we introduce a novel framework for image generation: Message Passing Multi-Agent Generative Adversarial Networks (MPM GANs). While GANs have recently been shown to be very effective for image generation and other tasks, these networks have been limited to mostly single generator-discriminator networks. We show that we can obtain multi-agent GANs that communicate through message passing to achieve better image generation. The objectives …
Recent advances in conditional image generation tasks, such as image-to-image translation and image inpainting, are largely accounted to the success of conditional GAN models, which are often optimized by the joint use of the GAN loss with the reconstruction loss. However, we reveal that this training recipe shared by almost all existing methods causes one critical side effect: lack of diversity in output samples. In order to accomplish both training stability and multimodal output generation, we propose novel training schemes with a new set of losses named moment reconstruction losses that si…
ETH Zurich（苏黎世联邦理工学院）；Tri-Institutional Training Program in Computational Biology and Medicine, Weill Cornell Medical（威尔康奈尔医学院计算生物学与医学三机构联合培养项目）
Generative Adversarial Networks (GANs) have shown remarkable success as a framework for training models to produce realistic-looking data. In this work, we propose a Recurrent GAN (RGAN) and Recurrent Conditional GAN (RCGAN) to produce realistic real-valued multi-dimensional time series, with an emphasis on their application to medical data. RGANs make use of recurrent neural networks in the generator and the discriminator. In the case of RCGANs, both of these RNNs are conditioned on auxiliary information. We demonstrate our models in a set of toy datasets, where we show visually and quantitat…
Hefei National Laboratory for Physical Sciences at the Microscale（合肥微尺度物质科学国家研究中心）；University of Science and Technology of China（中国科学技术大学）；CAS Center for Excellence in Quantum Information and Quantum Physics（中国科学院量子信息与量子物理卓越创新中心）；Shanghai Research Center for Quantum Sciences（上海量子科学研究中心）；Henan Key Laboratory of Quantum Information and Cryptography（河南省量子信息与密码学重点实验室）；University of Sydney（悉尼大学）
Quantum machine learning is expected to be one of the first practical applications of near-term quantum devices. Pioneer theoretical works suggest that quantum generative adversarial networks (GANs) may exhibit a potential exponential advantage over classical GANs, thus attracting widespread attention. However, it remains elusive whether quantum GANs implemented on near-term quantum devices can actually solve real-world learning tasks. Here, we devise a flexible quantum GAN scheme to narrow this knowledge gap, which could accomplish image generation with arbitrarily high-dimensional features, …
Southern University of Science and Technology（南方科技大学）
Search-based procedural content generation methods have recently been introduced for the autonomous creation of bullet hell games. Search-based methods, however, can hardly model patterns of danmakus -- the bullet hell shooting entity -- explicitly and the resulting levels often look non-realistic. In this paper, we present a novel bullet hell game platform named Keiki, which allows the representation of danmakus as a parametric sequence which, in turn, can model the sequential behaviours of danmakus. We employ three types of generative adversarial networks (GANs) and test Keiki across three m…
TCS Research（塔塔咨询服务研究部）；Flytxt Mobile Solutions（Flytxt 移动解决方案公司）；Indian Institute of Space Science and Technology（印度空间科学技术研究所）
Several methods for discovering interpretable directions in the latent space of pre-trained GANs have been proposed. Latent semantics discovered by unsupervised methods are relatively less disentangled than supervised methods since they do not use pre-trained attribute classifiers. We propose Scale Ranking Estimator (SRE), which is trained using self-supervision. SRE enhances the disentanglement in directions obtained by existing unsupervised disentanglement techniques. These directions are updated to preserve the ordering of variation within each direction in latent space. Qualitative and qua…
Shenzhen Institutes of Advanced Technology, Chinese Academy of Sciences（中国科学院深圳先进技术研究院）；University of Chinese Academy of Sciences（中国科学院大学）；Renmin University of China（中国人民大学）；Shenzhen University（深圳大学）
Magnetic resonance imaging plays an important role in computer-aided diagnosis and brain exploration. However, limited by hardware, scanning time and cost, it's challenging to acquire high-resolution (HR) magnetic resonance (MR) image clinically. In this paper, fine perceptive generative adversarial networks (FP-GANs) is proposed to produce HR MR images from low-resolution counterparts. It can cope with the detail insensitive problem of the existing super-resolution model in a divide-and-conquer manner. Specifically, FP-GANs firstly divides an MR image into low-frequency global approximation a…
A number of cross-lingual transfer learning approaches based on neural networks have been proposed for the case when large amounts of parallel text are at our disposal. However, in many real-world settings, the size of parallel annotated training data is restricted. Additionally, prior cross-lingual mapping research has mainly focused on the word level. This raises the question of whether such techniques can also be applied to effortlessly obtain cross-lingually aligned sentence representations. To this end, we propose an Adversarial Bi-directional Sentence Embedding Mapping (ABSent) framework…
