Controllable Financial Market Generation with Diffusion Guided Meta Agent

Yu-Hao Huang, Chang Xu, Yang Liu, Weiqing Liu, Wu-Jun Li and Jiang Bian

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Abstract: Order flow modeling stands as the most fundamental and essential financial task, as orders embody the minimal unit within a financial market. However, current approaches often result in unsatisfactory fidelity in generating order flow, and their generation lacks controllability, thereby limiting their application scenario. In this paper, we advocate incorporating controllability into the market generation process, and propose a Diffusion Guided meta Agent(DiGA) model to address the problem. Specifically, we utilize a diffusion model to capture dynamics of market state represented by time-evolving distribution parameters about mid-price return rate and order arrival rate, and define a meta agent with financial economic priors to generate orders from the corresponding distributions. Extensive experimental results demonstrate that our method exhibits outstanding controllability and fidelity in generation. Furthermore, we validate DiGA's effectiveness as generative environment for downstream financial applications.

Date: 2024-08, Revised 2024-09
New Economics Papers: this item is included in nep-hme
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