Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination

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 Networks (cGANs) for trading strategies calibration and aggregation. To this purpose, we provide a full methodology on: (i) the training and selection of a cGAN for time series data; (ii) how each sample is used for strategies calibration; and (iii) how all generated samples can be used for ensemble modelling. To provide evidence that our approach is well grounded, we have designed an experiment with multiple trading strategies, encompassing 579 assets. We compared cGAN with an ensemble scheme and model validation methods, both suited for time series. Our results suggest that cGANs are a suitable alternative for strategies calibration and combination, providing outperformance when the traditional techniques fail to generate any alpha

Predicting extreme events in the stock market using generative adversarial networks

Accurately predicting extreme stock market fluctuations at the right time will allow traders and investors to make better-informed investment decisions and practice more efficient financial risk management. However, extreme stock market events are particularly hard to model because of their scarce and erratic nature. Moreover, strong trading strategies, market stress tests, and portfolio optimization largely rely on sound data. While the application of generative adversarial networks (GANs) for stock forecasting has been an active area of research, there is still a gap in the literature on using GANs for extreme market movement prediction and simulation. In this study, we proposed a framework based on GANs to efficiently model stock prices’ extreme movements. By creating synthetic real-looking data, the framework simulated multiple possible market-evolution scenarios, which can be used to improve the forecasting quality of future market variations. The fidelity and predictive power of the generated data were tested by quantitative and qualitative metrics. Our experimental results on S&P 500 and five emerging market stock data show that the proposed framework is capable of producing a realistic time series by recovering important properties from real data. The results presented in this work suggest that the underlying dynamics of extreme stock market variations can be captured efficiently by some state-of-the-art GAN architectures. This conclusion has great practical implications for investors, traders, and corporations willing to anticipate the future trends of their financial assets. The proposed framework can be used as a simulation tool to mimic stock market behaviors

Generative Adversarial Network for Market Hourly Discrimination

In this paper, we consider 2 types of instruments traded on the markets, stocks and cryptocurrencies. In particular, stocks are traded in a market subject to opening hours, while cryptocurrencies are traded in a 24-hour market. What we want to demonstrate through the use of a particular type of generative neural network is that the instruments of the non-timetable market have a different amount of information, and are therefore more suitable for forecasting. In particular, through the use of real data we will demonstrate how there are also stocks subject to the same rules as cryptocurrencies