Simulating Multi-Asset Classes Prices Using Wasserstein Generative Adversarial Network: A Study of Stocks, Futures and Cryptocurrency

Feng Han, Xiaojuan Ma and Jiheng Zhang
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Feng Han: Department of Computer Science and Engineering, The Hong Kong University of Science and Technology, Hong Kong, China
Xiaojuan Ma: Department of Computer Science and Engineering, The Hong Kong University of Science and Technology, Hong Kong, China
Jiheng Zhang: Department of Industrial Engineering and Decision Analytics and Department of Mathematics, The Hong Kong University of Science and Technology, Hong Kong, China

JRFM, 2022, vol. 15, issue 1, 1-21

Abstract: Financial data are expensive and highly sensitive with limited access. We aim to generate abundant datasets given the original prices while preserving the original statistical features. We introduce the Wasserstein Generative Adversarial Network with Gradient Penalty (WGAN-GP) into the field of the stock market, futures market and cryptocurrency market. We train our model on various datasets, including the Hong Kong stock market, Hang Seng Index Composite stocks, precious metal futures contracts listed on the Chicago Mercantile Exchange and Japan Exchange Group, and cryptocurrency spots and perpetual contracts on Binance at various minute-level intervals. We quantify the difference of generated results (836,280 data points) and original data by MAE, MSE, RMSE and K-S distances. Results show that WGAN-GP can simulate assets prices and show the potential of a market simulator for trading analysis. We might be the first to look into multi-asset classes in a systematic approach with minute intervals across stocks, futures and cryptocurrency markets. We also contribute to quantitative analysis methodology for generated and original price data quality.

Keywords: multi-asset classes; financial engineering; simulations; stocks; futures; cryptocurrency; precious metal futures; machine learning; financial technology (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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