Financial time series augmentation using transformer based GAN architecture
Faculty of Electronics and Information Technology, Warsaw University of Technology（电子与信息技术学院，华沙技术大学）
Andrzej Podobiński, Jarosław A. Chudziak
备注：
This paper has been accepted for the upcoming 18th International Conference on Agents and Artificial Intelligence (ICAART-2026), Marbella, Spain. The final published version will appear in the official conference proceedings
Time-series forecasting is a critical task across many domains, from engineering to economics, where accurate predictions drive strategic decisions. However, applying advanced deep learning models in challenging, volatile domains like finance is difficult due to the inherent limitation and dynamic nature of financial time series data. This scarcity often results in sub-optimal model training and poor generalization. The fundamental challenge lies in determining how to reliably augment scarce financial time series data to enhance the predictive accuracy of deep learning forecasting models. Our main contribution is a demonstration of how Generative Adversarial Networks (GANs) can effectively serve as a data augmentation tool to overcome data scarcity in the financial domain. Specifically, we show that training a Long Short-Term Memory (LSTM) forecasting model on a dataset augmented with synthetic data generated by a transformer-based GAN (TTS-GAN) significantly improves the forecasting accuracy compared to using real data alone. We confirm these results across different financial time series (Bitcoin and S\&P500 price data) and various forecasting horizons. Furthermore, we propose a novel, time series specific quality metric that combines Dynamic Time Warping (DTW) and a modified Deep Dataset Dissimilarity Measure (DeD-iMs) to reliably monitor the training progress and evaluate the quality of the generated data. These findings provide compelling evidence for the benefits of GAN-based data augmentation in enhancing financial predictive capabilities.
The use of synthetic data generated by Generative Adversarial Networks (GANs) has become quite a popular method to do data augmentation for many applications. While practitioners celebrate this as an economical way to get more synthetic data that can be used to train downstream classifiers, it is not clear that they recognize the inherent pitfalls of this technique. In this paper, we aim to exhort practitioners against deriving any false sense of security against data biases based on data augmentation. To drive this point home, we show that starting with a dataset consisting of head-shots of e…
University of Science and Technology of China（中国科学技术大学）
For machine learning task, lacking sufficient samples mean the trained model has low confidence to approach the ground truth function. Until recently, after the generative adversarial networks (GAN) had been proposed, we see the hope of small samples data augmentation (DA) with realistic fake data, and many works validated the viability of GAN-based DA. Although most of the works pointed out higher accuracy can be achieved using GAN-based DA, some researchers stressed that the fake data generated from GAN has inherent bias, and in this paper, we explored when the bias is so low that it cannot …
University of Texas at Austin（德克萨斯大学奥斯汀分校）；Microsoft Corporation（微软公司）；Tsinghua University（清华大学）
Training generative adversarial networks (GANs) with limited real image data generally results in deteriorated performance and collapsed models. To conquer this challenge, we are inspired by the latest observation, that one can discover independently trainable and highly sparse subnetworks (a.k.a., lottery tickets) from GANs. Treating this as an inductive prior, we suggest a brand-new angle towards data-efficient GAN training: by first identifying the lottery ticket from the original GAN using the small training set of real images; and then focusing on training that sparse subnetwork by re-usi…
Institute of Medical Science, University of Toronto（多伦多大学医学科学研究所）；The Hospital for Sick Children（病童医院）；University Health Network（大学健康网络）；Department of Mechanical and Industrial Engineering, University of Toronto（多伦多大学机械与工业工程系）
Successful training of convolutional neural networks (CNNs) requires a substantial amount of data. With small datasets networks generalize poorly. Data Augmentation techniques improve the generalizability of neural networks by using existing training data more effectively. Standard data augmentation methods, however, produce limited plausible alternative data. Generative Adversarial Networks (GANs) have been utilized to generate new data and improve the performance of CNNs. Nevertheless, data augmentation techniques for training GANs are under-explored compared to CNNs. In this work, we propos…
Due to the data shortage problem, which is one of the major problems in the field of machine learning, the accuracy level of many applications remains well below the expected. It prevents researchers from producing new artificial intelligence-based systems with the available data. This problem can be solved by generating new synthetic data with augmentation methods. In this study, new ECG signals are produced using MIT-BIH Arrhythmia Database by using Generative Adversarial Neural Networks (GAN), which is a modern data augmentation method. These generated data are used for training a machine l…
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Data augmentations have been widely studied to improve the accuracy and robustness of classifiers. However, the potential of image augmentation in improving GAN models for image synthesis has not been thoroughly investigated in previous studies. In this work, we systematically study the effectiveness of various existing augmentation techniques for GAN training in a variety of settings. We provide insights and guidelines on how to augment images for both vanilla GANs and GANs with regularizations, improving the fidelity of the generated images substantially. Surprisingly, we find that vanilla G…
The number of credit card fraud has been growing as technology grows and people can take advantage of it. Therefore, it is very important to implement a robust and effective method to detect such frauds. The machine learning algorithms are appropriate for these tasks since they try to maximize the accuracy of predictions and hence can be relied upon. However, there is an impending flaw where in machine learning models may not perform well due to the presence of an imbalance across classes distribution within the sample set. So, in many related tasks, the datasets have a very small number of ob…
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…
This study proposes the use of generative models (GANs) for augmenting the EuroSAT dataset for the Land Use and Land Cover (LULC) Classification task. We used DCGAN and WGAN-GP to generate images for each class in the dataset. We then explored the effect of augmenting the original dataset by about 10% in each case on model performance. The choice of GAN architecture seems to have no apparent effect on the model performance. However, a combination of geometric augmentation and GAN-generated images improved baseline results. Our study shows that GANs augmentation can improve the generalizability…
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…
Hochschule Bonn-Rhein-Sieg（波恩-莱茵-锡格应用技术大学）；German Research Center for Artificial Intelligence（德国人工智能研究中心）
Traffic sign recognition is an important component of many advanced driving assistance systems, and it is required for full autonomous driving. Computational performance is usually the bottleneck in using large scale neural networks for this purpose. SqueezeNet is a good candidate for efficient image classification of traffic signs, but in our experiments it does not reach high accuracy, and we believe this is due to lack of data, requiring data augmentation. Generative adversarial networks can learn the high dimensional distribution of empirical data, allowing the generation of new data point…
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…
Generative adversarial networks (GANs) typically require ample data for training in order to synthesize high-fidelity images. Recent studies have shown that training GANs with limited data remains formidable due to discriminator overfitting, the underlying cause that impedes the generator's convergence. This paper introduces a novel strategy called Adaptive Pseudo Augmentation (APA) to encourage healthy competition between the generator and the discriminator. As an alternative method to existing approaches that rely on standard data augmentations or model regularization, APA alleviates overfit…
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University of Sao Paulo（圣保罗大学）；University of Tsukuba（筑波大学）
In this paper we propose the use of Generative Adversarial Networks (GAN) to generate artificial training data for machine learning tasks. The generation of artificial training data can be extremely useful in situations such as imbalanced data sets, performing a role similar to SMOTE or ADASYN. It is also useful when the data contains sensitive information, and it is desirable to avoid using the original data set as much as possible (example: medical data). We test our proposal on benchmark data sets using different network architectures, and show that a Decision Tree (DT) classifier trained u…
Signal measurement appearing in the form of time series is one of the most common types of data used in medical machine learning applications. Such datasets are often small in size, expensive to collect and annotate, and might involve privacy issues, which hinders our ability to train large, state-of-the-art deep learning models for biomedical applications. For time-series data, the suite of data augmentation strategies we can use to expand the size of the dataset is limited by the need to maintain the basic properties of the signal. Generative Adversarial Networks (GANs) can be utilized as an…
Signal measurements appearing in the form of time series are one of the most common types of data used in medical machine learning applications. However, such datasets are often small, making the training of deep neural network architectures ineffective. For time-series, the suite of data augmentation tricks we can use to expand the size of the dataset is limited by the need to maintain the basic properties of the signal. Data generated by a Generative Adversarial Network (GAN) can be utilized as another data augmentation tool. RNN-based GANs suffer from the fact that they cannot effectively m…
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…
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Tel Aviv University（特拉维夫大学）；The Chaim Sheba Medical Center（夏姆谢巴医疗中心）；Bar-Ilan University（巴伊兰大学）
Deep learning methods, and in particular convolutional neural networks (CNNs), have led to an enormous breakthrough in a wide range of computer vision tasks, primarily by using large-scale annotated datasets. However, obtaining such datasets in the medical domain remains a challenge. In this paper, we present methods for generating synthetic medical images using recently presented deep learning Generative Adversarial Networks (GANs). Furthermore, we show that generated medical images can be used for synthetic data augmentation, and improve the performance of CNN for medical image classificatio…
Vicomtech Foundation, Basque Research and Technology Alliance (BRTA)（巴斯克研究与技术联盟（BRTA）维康特克基金会）；Institute of Smart Cities, Public University of Navarre（纳瓦拉公立大学智慧城市学院）
In Bitcoin entity classification, results are strongly conditioned by the ground-truth dataset, especially when applying supervised machine learning approaches. However, these ground-truth datasets are frequently affected by significant class imbalance as generally they contain much more information regarding legal services (Exchange, Gambling), than regarding services that may be related to illicit activities (Mixer, Service). Class imbalance increases the complexity of applying machine learning techniques and reduces the quality of classification results, especially for underrepresented, but…
Arizona State University（亚利桑那州立大学）；Rensselaer Polytechnic Institute（伦斯勒理工学院）
In this paper, we show that popular Generative Adversarial Networks (GANs) exacerbate biases along the axes of gender and skin tone when given a skewed distribution of face-shots. While practitioners celebrate synthetic data generation using GANs as an economical way to augment data for training data-hungry machine learning models, it is unclear whether they recognize the perils of such techniques when applied to real world datasets biased along latent dimensions. Specifically, we show that (1) traditional GANs further skew the distribution of a dataset consisting of engineering faculty headsh…
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 …
Next-Generation Parallel Decoder for LPDR: Architectural Optimization and Class-Balanced GAN-Augmentation
School of Electrical Engineering；Computer Science National University of Sciences \& Technology Islamabad, Pakistan sobaid.mscs25seecs.edu.pk；Computer Science National University of Sciences \& Technology Islamabad, Pakistan nchandio.mscs25seecs.edu.pk；Computer Science National University of Sciences \& Technology Islamabad, Pakistan njamil.mscs25seecs.edu.pk；Computer Science National University of Sciences \& Technology Islamabad, Pakistan
Sentiment analysis is a task that may suffer from a lack of data in certain cases, as the datasets are often generated and annotated by humans. In cases where data is inadequate for training discriminative models, generate models may aid training via data augmentation. Generative Adversarial Networks (GANs) are one such model that has advanced the state of the art in several tasks, including as image and text generation. In this paper, I train GAN models on low resource datasets, then use them for the purpose of data augmentation towards improving sentiment classifier generalization. Given the…
The University of Tokyo（东京大学）；National Center for Global Health and Medicine（国立国际医疗研究中心）；Kyushu Medical Center（九州医疗中心）
Convolutional Neural Networks (CNNs) can play a key role in Medical Image Analysis under large-scale annotated datasets. However, preparing such massive dataset is demanding. In this context, Generative Adversarial Networks (GANs) can generate realistic but novel samples, and thus effectively cover the real image distribution. In terms of interpolation, the GAN-based medical image augmentation is reliable because medical modalities can display the human body's strong anatomical consistency at fixed position while clearly reflecting inter-subject variability; thus, we propose to use noise-to-im…
Classification of large multivariate time series with strong class imbalance is an important task in real-world applications. Standard methods of class weights, oversampling, or parametric data augmentation do not always yield significant improvements for predicting minority classes of interest. Non-parametric data augmentation with Generative Adversarial Networks (GANs) offers a promising solution. We propose Imputation Balanced GAN (IB-GAN), a novel method that joins data augmentation and classification in a one-step process via an imputation-balancing approach. IB-GAN uses imputation and re…
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…
In the autonomous driving domain, data collection and annotation from real vehicles are expensive and sometimes unsafe. Simulators are often used for data augmentation, which requires realistic sensor models that are hard to formulate and model in closed forms. Instead, sensors models can be learned from real data. The main challenge is the absence of paired data set, which makes traditional supervised learning techniques not suitable. In this work, we formulate the problem as image translation from unpaired data and employ CycleGANs to solve the sensor modeling problem for LiDAR, to produce r…
Wide-angle fisheye cameras are commonly used in automated driving for parking and low-speed navigation tasks. Four of such cameras form a surround-view system that provides a complete and detailed view of the vehicle. These cameras are directly exposed to harsh environmental settings and can get soiled very easily by mud, dust, water, frost. Soiling on the camera lens can severely degrade the visual perception algorithms, and a camera cleaning system triggered by a soiling detection algorithm is increasingly being deployed. While adverse weather conditions, such as rain, are getting attention …
The promising performance of Deep Neural Networks (DNNs) in text classification, has attracted researchers to use them for fraud review detection. However, the lack of trusted labeled data has limited the performance of the current solutions in detecting fraud reviews. The Generative Adversarial Network (GAN) as a semi-supervised method has demonstrated to be effective for data augmentation purposes. The state-of-the-art solutions utilize GANs to overcome the data scarcity problem. However, they fail to incorporate the behavioral clues in fraud generation. Additionally, state-of-the-art approa…
Bosch Center for Artificial Intelligence（博世人工智能中心）
Despite data augmentation being a de facto technique for boosting the performance of deep neural networks, little attention has been paid to developing augmentation strategies for generative adversarial networks (GANs). To this end, we introduce a novel augmentation scheme designed specifically for GAN-based semantic image synthesis models. We propose to randomly warp object shapes in the semantic label maps used as an input to the generator. The local shape discrepancies between the warped and non-warped label maps and images enable the GAN to learn better the structural and geometric details…
Computer-assisted diagnosis (CAD) based on deep learning has become a crucial diagnostic technology in the medical industry, effectively improving diagnosis accuracy. However, the scarcity of brain tumor Magnetic Resonance (MR) image datasets causes the low performance of deep learning algorithms. The distribution of transformed images generated by traditional data augmentation (DA) intrinsically resembles the original ones, resulting in a limited performance in terms of generalization ability. This work improves Progressive Growing of GANs with a structural similarity loss function (PGGAN-SSI…
Contemporary Artificial Intelligence technologies allow for the employment of Computer Vision to discern good crops from bad, providing a step in the pipeline of selecting healthy fruit from undesirable fruit, such as those which are mouldy or gangrenous. State-of-the-art works in the field report high accuracy results on small datasets (<1000 images), which are not representative of the population regarding real-world usage. The goals of this study are to further enable real-world usage by improving generalisation with data augmentation as well as to reduce overfitting and energy usage throug…
Yandex（Yandex（扬德克斯））；National Research University Higher School of Economics（国立研究型大学高等经济学院）；Skolkovo Institute of Science and Technology（斯科尔科沃科学技术研究院）
Recent work demonstrated the benefits of studying continuous-time dynamics governing the GAN training. However, this dynamics is analyzed in the model parameter space, which results in finite-dimensional dynamical systems. We propose a novel perspective where we study the local dynamics of adversarial training in the general functional space and show how it can be represented as a system of partial differential equations. Thus, the convergence properties can be inferred from the eigenvalues of the resulting differential operator. We show that these eigenvalues can be efficiently estimated from…
Shien-Ming Wu School of Intelligent Engineering, South China University of Technology（华南理工大学吴贤铭智能工程学院）
The cross-subject application of EEG-based brain-computer interface (BCI) has always been limited by large individual difference and complex characteristics that are difficult to perceive. Therefore, it takes a long time to collect the training data of each user for calibration. Even transfer learning method pre-training with amounts of subject-independent data cannot decode different EEG signal categories without enough subject-specific data. Hence, we proposed a cross-subject EEG classification framework with a generative adversarial networks (GANs) based method named common spatial GAN (CS-…
University of Applied Sciences（应用科学大学）；Information Technologies Institute（信息技术研究所）
Sequential data in industrial applications can be used to train and evaluate machine learning models (e.g. classifiers). Since gathering representative amounts of data is difficult and time consuming, there is an incentive to generate it from a small ground truth. Data augmentation is a common method to generate more data through a priori knowledge with one specific method, so called generative adversarial networks (GANs), enabling data generation from noise. This paper investigates the possibility of using GANs in order to augment sequential Internet of Things (IoT) data, with an example impl…
