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arXiv 2107.06008stat.MLcs.LG
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Wasserstein GAN:应用于比特币金融时间序列的深度生成

Wasserstein GAN: Deep Generation applied on Bitcoins financial time series

Zurich University of Applied Sciences(苏黎世应用科技大学);University of Twente(特文特大学)

Rikli Samuel, Bigler Daniel Nico, Pfenninger Moritz, Osterrieder Joerg

摘要:

金融时间序列具有很高的波动性和不可预测性,因此对其建模具有挑战性。大多数试图填补历史金融时间序列不足的金融模型和算法都很难表现出来,而且极易受到过拟合的影响。作为替代方案,我们在本文中介绍了一种称为WGAN-GP的深度神经网络,这是一种数据驱动的模型,专注于样本生成。WGAN-GP由一个生成器和一个使用LSTM架构的递归函数组成。WGAN-GP应该学习输入数据的底层结构,在我们的例子中,是比特币。比特币的行为是独一无二的;价格波动使得猜测价格趋势几乎不可能。通过对抗训练,WGAN-GP应该学习比特币的底层结构,并生成非常相似的比特币分布样本。生成的合成时间序列在视觉上与真实数据无法区分。但数值结果表明,生成的数据与真实数据分布接近,但可区分。该模型主要表现出稳定的学习行为。然而,该模型有优化的空间,这可以通过调整超参数来实现。

英文摘要:

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 in our case, is the Bitcoin. Bitcoin is unique in its behavior; the prices fluctuate what makes guessing the price trend hardly impossible. Through adversarial training, the WGAN-GP should learn the underlying structure of the bitcoin and generate very similar samples of the bitcoin distribution. The generated synthetic time series are visually indistinguishable from the real data. But the numerical results show that the generated data were close to the real data distribution but distinguishable. The model mainly shows a stable learning behavior. However, the model has space for optimization, which could be achieved by adjusting the hyperparameters.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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