Using generative adversarial networks to synthesize artificial financial datasets
American Express（美国运通）
Dmitry Efimov, Di Xu, Luyang Kong, Alexey Nefedov, Archana Anandakrishnan
发表信息：
Robust AI in FS 2019 : NeurIPS 2019 Workshop on Robust AI in Financial Services: Data, Fairness, Explainability, Trustworthiness, and Privacy, December 2019, Vancouver, Canada
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 comparison with the original real data.
Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or discover how to combine weak signals in novel alpha creating manners. Both aspects, namely fine-tuning and combination, have been extensively researched using several methods, but emerging techniques such as Generative Adversarial Networks can have an impact into such aspects. Therefore, our work proposes the use of Conditional Generative Adversarial Network…
Amundi Asset Management（东方汇理资产管理公司）；Ecole des Ponts ParisTech（巴黎高科路桥学校）
This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets. In particular, these synthetic data must preserve the probability distribution of asset returns, the stochastic dependence between the different assets and the autocorrelation across time. The article proposes then a new approach for estimating the probability distribution of backtest statistics. The final objective is to develop a framewo…
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MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
Department of Mathematics, Sungkyunkwan University, Republic of Korea（淑阳大学数学系）；Department of Financial Engineering, Ajou University, Republic of Korea（东亚大学金融工程系）；Department of FinTech, SKK Business School, Sungkyunkwan University, Republic of Korea（淑阳大学SKK商学院金融科技系）
Recreating cyber-attack alert data with a high level of fidelity is challenging due to the intricate interaction between features, non-homogeneity of alerts, and potential for rare yet critical samples. Generative Adversarial Networks (GANs) have been shown to effectively learn complex data distributions with the intent of creating increasingly realistic data. This paper presents the application of GANs to cyber-attack alert data and shows that GANs not only successfully learn to generate realistic alerts, but also reveal feature dependencies within alerts. This is accomplished by reviewing th…
University of California, Irvine（加州大学欧文分校）；California State University, Los Angeles（加州州立大学洛杉矶分校）
Stock price forecasting is a highly complex and vitally important field of research. Recent advancements in deep neural network technology allow researchers to develop highly accurate models to predict financial trends. We propose a novel deep learning model called ST-GAN, or Stochastic Time-series Generative Adversarial Network, that analyzes both financial news texts and financial numerical data to predict stock trends. We utilize cutting-edge technology like the Generative Adversarial Network (GAN) to learn the correlations among textual and numerical data over time. We develop a new method…
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…
University of Nevada, Reno（内华达大学雷诺分校）；Deakin University（迪肯大学）
Electrocardiogram (ECG) acquisition requires an automated system and analysis pipeline for understanding specific rhythm irregularities. Deep neural networks have become a popular technique for tracing ECG signals, outperforming human experts. Despite this, convolutional neural networks are susceptible to adversarial examples that can misclassify ECG signals and decrease the model's precision. Moreover, they do not generalize well on the out-of-distribution dataset. The GAN architecture has been employed in recent works to synthesize adversarial ECG signals to increase existing training data. …
Indian Institute of Information Technology, Sri City（印度信息技术学院斯里城校区）
In many real world scenarios, it is difficult to capture the images in the visible light spectrum (VIS) due to bad lighting conditions. However, the images can be captured in such scenarios using Near-Infrared (NIR) and Thermal (THM) cameras. The NIR and THM images contain the limited details. Thus, there is a need to transform the images from THM/NIR to VIS for better understanding. However, it is non-trivial task due to the large domain discrepancies and lack of abundant datasets. Nowadays, Generative Adversarial Network (GAN) is able to transform the images from one domain to another domain…
Max Planck Institute for Intelligent Systems（马克斯·普朗克智能系统研究所）；Boston College（波士顿学院）
We propose a new active learning by query synthesis approach using Generative Adversarial Networks (GAN). Different from regular active learning, the resulting algorithm adaptively synthesizes training instances for querying to increase learning speed. We generate queries according to the uncertainty principle, but our idea can work with other active learning principles. We report results from various numerical experiments to demonstrate the effectiveness the proposed approach. In some settings, the proposed algorithm outperforms traditional pool-based approaches. To the best our knowledge, th…
Agent-based transportation modelling has become the standard to simulate travel behaviour, mobility choices and activity preferences using disaggregate travel demand data for entire populations, data that are not typically readily available. Various methods have been proposed to synthesize population data for this purpose. We present a Composite Travel Generative Adversarial Network (CTGAN), a novel deep generative model to estimate the underlying joint distribution of a population, that is capable of reconstructing composite synthetic agents having tabular (e.g. age and sex) as well as sequen…
Xidian University（西安电子科技大学）；Pazhou Lab（琶洲实验室）；University of South Florida（南佛罗里达大学）
With the fast growing demand on new services and applications as well as the increasing awareness of data protection, traditional centralized traffic classification approaches are facing unprecedented challenges. This paper introduces a novel framework, Federated Generative Adversarial Networks and Automatic Classification (FGAN-AC), which integrates decentralized data synthesizing with traffic classification. FGAN-AC is able to synthesize and classify multiple types of service data traffic from decentralized local datasets without requiring a large volume of manually labeled dataset or causin…
Sapienza University of Rome（罗马大学）；J.P. Morgan AI Research（摩根大通AI研究院）
Simulated environments are increasingly used by trading firms and investment banks to evaluate trading strategies before approaching real markets. Backtesting, a widely used approach, consists of simulating experimental strategies while replaying historical market scenarios. Unfortunately, this approach does not capture the market response to the experimental agents' actions. In contrast, multi-agent simulation presents a natural bottom-up approach to emulating agent interaction in financial markets. It allows to set up pools of traders with diverse strategies to mimic the financial market tra…
Zurich University of Applied Sciences（苏黎世应用科技大学）；University of Twente（特文特大学）
Modeling financial time series is challenging due to their high volatility and unexpected happenings on the market. Most financial models and algorithms trying to fill the lack of historical financial time series struggle to perform and are highly vulnerable to overfitting. As an alternative, we introduce in this paper a deep neural network called the WGAN-GP, a data-driven model that focuses on sample generation. The WGAN-GP consists of a generator and discriminator function which utilize an LSTM architecture. The WGAN-GP is supposed to learn the underlying structure of the input data, which …
Audio signals are sampled at high temporal resolutions, and learning to synthesize audio requires capturing structure across a range of timescales. Generative adversarial networks (GANs) have seen wide success at generating images that are both locally and globally coherent, but they have seen little application to audio generation. In this paper we introduce WaveGAN, a first attempt at applying GANs to unsupervised synthesis of raw-waveform audio. WaveGAN is capable of synthesizing one second slices of audio waveforms with global coherence, suitable for sound effect generation. Our experiment…
We present a learned image compression system based on GANs, operating at extremely low bitrates. Our proposed framework combines an encoder, decoder/generator and a multi-scale discriminator, which we train jointly for a generative learned compression objective. The model synthesizes details it cannot afford to store, obtaining visually pleasing results at bitrates where previous methods fail and show strong artifacts. Furthermore, if a semantic label map of the original image is available, our method can fully synthesize unimportant regions in the decoded image such as streets and trees from…
Bosch Center for Artificial Intelligence（博世人工智能中心）；Max Planck Institute for Informatics（马克斯·普朗克信息学研究所）
Among the major remaining challenges for generative adversarial networks (GANs) is the capacity to synthesize globally and locally coherent images with object shapes and textures indistinguishable from real images. To target this issue we propose an alternative U-Net based discriminator architecture, borrowing the insights from the segmentation literature. The proposed U-Net based architecture allows to provide detailed per-pixel feedback to the generator while maintaining the global coherence of synthesized images, by providing the global image feedback as well. Empowered by the per-pixel res…
Shanghai Jiao Tong University（上海交通大学）；Wuhan University（武汉大学）；University of California, Davis（加州大学戴维斯分校）
Recently, deep generative models have become increasingly popular in unsupervised anomaly detection. However, deep generative models aim at recovering the data distribution rather than detecting anomalies. Besides, deep generative models have the risk of overfitting training samples, which has disastrous effects on anomaly detection performance. To solve the above two problems, we propose a Self-adversarial Variational Autoencoder with a Gaussian anomaly prior assumption. We assume that both the anomalous and the normal prior distribution are Gaussian and have overlaps in the latent space. The…
Efficient option pricing with unary-based photonic computing chip and generative adversarial learning
Institute of Quantum Technologies (IQT), The Hong Kong Polytechnic University（香港理工大学量子技术研究所）；Quantum Science and Engineering Centre (QSec), Nanyang Technological University（南洋理工大学量子科学与工程中心）；Departament de Fisica Quantica i Astrofisica and Institut de Ciencies del Cosmos (ICCUB), Universitat de Barcelona（巴塞罗那大学量子物理与天体物理系及宇宙科学研究所）；Quantum Research Centre, Technology Innovation Institute（技术创新研究所量子研究中心）；Centre for Quantum Technologies, National University of Singapore（新加坡国立大学量子技术中心）；Institute of Microelectronics, A*STAR (Agency for Science, Technology and Research)（新加坡科技研究局微电子研究所）；Advanced Micro Foundry（先进微电子晶圆厂）
This paper concerns with the production of synthetic phasor measurement unit (PMU) data for research and education purposes. Due to the confidentiality of real PMU data and no public access to the real power systems infrastructure information, the lack of credible realistic data becomes a growing concern. Instead of constructing synthetic power grids and then producing synthetic PMU measurement data by time simulations, we propose a model-free approach to directly generate synthetic PMU data. we train the generative adversarial network (GAN) with real PMU data, which can be used to generate sy…
TIB – Leibniz Information Centre for Science and Technology（莱布尼茨科学技术信息中心）；L3S Research Center（L3S研究中心）；Leibniz University Hannover（汉诺威莱布尼茨大学）
The recognition of handwritten mathematical expressions in images and video frames is a difficult and unsolved problem yet. Deep convectional neural networks are basically a promising approach, but typically require a large amount of labeled training data. However, such a large training dataset does not exist for the task of handwritten formula recognition. In this paper, we introduce a system that creates a large set of synthesized training examples of mathematical expressions which are derived from LaTeX documents. For this purpose, we propose a novel attention-based generative adversarial n…
Charles Sturt University（查尔斯特大学）；University of Western Sydney（西悉尼大学）；Kent Institute Australia（澳大利亚肯特学院）；Asia Pacific International College（亚太国际学院）；University of Technology, Baghdad（巴格达技术大学）；University of Kurdistan Hewler（库尔德斯坦大学赫威勒）；The University of Da Nang – University of Science and Education（岘港大学-科学教育大学）
The prediction of stock price movement direction is significant in financial circles and academic. Stock price contains complex, incomplete, and fuzzy information which makes it an extremely difficult task to predict its development trend. Predicting and analysing financial data is a nonlinear, time-dependent problem. With rapid development in machine learning and deep learning, this task can be performed more effectively by a purposely designed network. This paper aims to improve prediction accuracy and minimizing forecasting error loss through deep learning architecture by using Generative A…
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 trans…
Nanyang Technological University（南洋理工大学）；Alibaba Group（阿里巴巴集团）；Kyushu University（九州大学）；East China Normal University（华东师范大学）；Zhejiang University（浙江大学）
In recent years, generative adversarial networks (GANs) and its variants have achieved unprecedented success in image synthesis. They are widely adopted in synthesizing facial images which brings potential security concerns to humans as the fakes spread and fuel the misinformation. However, robust detectors of these AI-synthesized fake faces are still in their infancy and are not ready to fully tackle this emerging challenge. In this work, we propose a novel approach, named FakeSpotter, based on monitoring neuron behaviors to spot AI-synthesized fake faces. The studies on neuron coverage and i…
To reap the benefits of the Internet of Things (IoT), it is imperative to secure the system against cyber attacks in order to enable mission critical and real-time applications. To this end, intrusion detection systems (IDSs) have been widely used to detect anomalies caused by a cyber attacker in IoT systems. However, due to the large-scale nature of the IoT, an IDS must operate in a distributed manner with minimum dependence on a central controller. Moreover, in many scenarios such as health and financial applications, the datasets are private and IoTDs may not intend to share such data. To t…
Columbia University（哥伦比亚大学）；Columbia University Irving Medical Center（哥伦比亚大学欧文医学中心）
Magnetic resonance imaging (MRI) noninvasively provides critical information about how human brain structures develop across stages of life. Developmental scientists are particularly interested in the first few years of neurodevelopment. Despite the success of MRI collection and analysis for adults, it is a challenge for researchers to collect high-quality multimodal MRIs from developing infants mainly because of their irregular sleep pattern, limited attention, inability to follow instructions to stay still, and a lack of analysis approaches. These challenges often lead to a significant reduc…
NTT Communication Science Laboratories, NTT Corporation（NTT 公司 NTT 通信科学实验室）
In speech synthesis, a generative adversarial network (GAN), training a generator (speech synthesizer) and a discriminator in a min-max game, is widely used to improve speech quality. An ensemble of discriminators is commonly used in recent neural vocoders (e.g., HiFi-GAN) and end-to-end text-to-speech (TTS) systems (e.g., VITS) to scrutinize waveforms from multiple perspectives. Such discriminators allow synthesized speech to adequately approach real speech; however, they require an increase in the model size and computation time according to the increase in the number of discriminators. Alte…
Adversarial examples are typically constructed by perturbing an existing data point within a small matrix norm, and current defense methods are focused on guarding against this type of attack. In this paper, we propose unrestricted adversarial examples, a new threat model where the attackers are not restricted to small norm-bounded perturbations. Different from perturbation-based attacks, we propose to synthesize unrestricted adversarial examples entirely from scratch using conditional generative models. Specifically, we first train an Auxiliary Classifier Generative Adversarial Network (AC-GA…
National Institute of Technology Calicut（卡利卡特国家理工学院）
The microstructure of material strongly influences its mechanical properties and the microstructure itself is influenced by the processing conditions. Thus, establishing a Process-Structure-Property relationship is a crucial task in material design and is of interest in many engineering applications. We develop a GAN (Generative Adversarial Network) to synthesize microstructures based on given processing conditions. This approach is devoid of feature engineering, needs little domain awareness, and can be applied to a wide variety of material systems. Results show that our GAN model can produce…
Bosch Center for Artificial Intelligence（博世人工智能中心）；University of Bonn（波恩大学）；Max Planck Institute for Informatics（马克斯·普朗克信息学研究所）
Despite their recent successes, GAN models for semantic image synthesis still suffer from poor image quality when trained with only adversarial supervision. Historically, additionally employing the VGG-based perceptual loss has helped to overcome this issue, significantly improving the synthesis quality, but at the same time limiting the progress of GAN models for semantic image synthesis. In this work, we propose a novel, simplified GAN model, which needs only adversarial supervision to achieve high quality results. We re-design the discriminator as a semantic segmentation network, directly u…
Generative adversarial networks (GANs) have proven hugely successful in variety of applications of image processing. However, generative adversarial networks for handwriting is relatively rare somehow because of difficulty of handling sequential handwriting data by Convolutional Neural Network (CNN). In this paper, we propose a handwriting generative adversarial network framework (HWGANs) for synthesizing handwritten stroke data. The main features of the new framework include: (i) A discriminator consists of an integrated CNN-Long-Short-Term- Memory (LSTM) based feature extraction with Path Si…
Skoltech（斯科尔科沃科学技术学院）；IITP RAS（俄罗斯科学院信息传输问题研究所）；MIPT（莫斯科物理技术学院）；Sber AI lab（俄罗斯联邦储蓄银行人工智能实验室）
Machine learning models using transaction records as inputs are popular among financial institutions. The most efficient models use deep-learning architectures similar to those in the NLP community, posing a challenge due to their tremendous number of parameters and limited robustness. In particular, deep-learning models are vulnerable to adversarial attacks: a little change in the input harms the model's output. In this work, we examine adversarial attacks on transaction records data and defences from these attacks. The transaction records data have a different structure than the canonical NL…
Algorithms are increasingly common components of high-impact decision-making, and a growing body of literature on adversarial examples in laboratory settings indicates that standard machine learning models are not robust. This suggests that real-world systems are also susceptible to manipulation or misclassification, which especially poses a challenge to machine learning models used in financial services. We use the loan grade classification problem to explore how machine learning models are sensitive to small changes in user-reported data, using adversarial attacks documented in the literatur…
We demonstrate the use of Adaptive Stress Testing to detect and address potential vulnerabilities in a financial environment. We develop a simplified model for credit card fraud detection that utilizes a linear regression classifier based on historical payment transaction data coupled with business rules. We then apply the reinforcement learning model known as Adaptive Stress Testing to train an agent, that can be thought of as a potential fraudster, to find the most likely path to system failure -- successfully defrauding the system. We show the connection between this most likely failure pat…
Adversarial samples have drawn a lot of attention from the Machine Learning community in the past few years. An adverse sample is an artificial data point coming from an imperceptible modification of a sample point aiming at misleading. Surprisingly, in financial research, little has been done in relation to this topic from a concrete trading point of view. We show that those adversarial samples can be implemented in a trading environment and have a negative impact on certain market participants. This could have far reaching implications for financial markets either from a trading or a regulat…
