Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258750 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 1 [Article No.:] 26 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-21
Publisher: 
MDPI, Basel
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.
Subjects: 
multi-asset classes
financial engineering
simulations
stocks
futures
cryptocurrency
precious metal futures
machine learning
financial technology
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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