Generative Adversarial Networks (GANs)

Leveraging Generative Adversarial Networks for Addressing Data Imbalance in Financial Market Supervision ArXiv ID: 2412.15222 “View on arXiv” Authors: Unknown Abstract This study explores the application of generative adversarial networks in financial market supervision, especially for solving the problem of data imbalance to improve the accuracy of risk prediction. Since financial market data are often imbalanced, especially high-risk events such as market manipulation and systemic risk occur less frequently, traditional models have difficulty effectively identifying these minority events. This study proposes to generate synthetic data with similar characteristics to these minority events through GAN to balance the dataset, thereby improving the prediction performance of the model in financial supervision. Experimental results show that compared with traditional oversampling and undersampling methods, the data generated by GAN has significant advantages in dealing with imbalance problems and improving the prediction accuracy of the model. This method has broad application potential in financial regulatory agencies such as the U.S. Securities and Exchange Commission (SEC), the Financial Industry Regulatory Authority (FINRA), the Federal Deposit Insurance Corporation (FDIC), and the Federal Reserve. ...

Consumer Transactions Simulation through Generative Adversarial Networks ArXiv ID: 2408.03655 “View on arXiv” Authors: Unknown Abstract In the rapidly evolving domain of large-scale retail data systems, envisioning and simulating future consumer transactions has become a crucial area of interest. It offers significant potential to fortify demand forecasting and fine-tune inventory management. This paper presents an innovative application of Generative Adversarial Networks (GANs) to generate synthetic retail transaction data, specifically focusing on a novel system architecture that combines consumer behavior modeling with stock-keeping unit (SKU) availability constraints to address real-world assortment optimization challenges. We diverge from conventional methodologies by integrating SKU data into our GAN architecture and using more sophisticated embedding methods (e.g., hyper-graphs). This design choice enables our system to generate not only simulated consumer purchase behaviors but also reflects the dynamic interplay between consumer behavior and SKU availability – an aspect often overlooked, among others, because of data scarcity in legacy retail simulation models. Our GAN model generates transactions under stock constraints, pioneering a resourceful experimental system with practical implications for real-world retail operation and strategy. Preliminary results demonstrate enhanced realism in simulated transactions measured by comparing generated items with real ones using methods employed earlier in related studies. This underscores the potential for more accurate predictive modeling. ...

Robust Hedging GANs ArXiv ID: 2307.02310 “View on arXiv” Authors: Unknown Abstract The availability of deep hedging has opened new horizons for solving hedging problems under a large variety of realistic market conditions. At the same time, any model - be it a traditional stochastic model or a market generator - is at best an approximation of market reality, prone to model-misspecification and estimation errors. This raises the question, how to furnish a modelling setup with tools that can address the risk of discrepancy between anticipated distribution and market reality, in an automated way. Automated robustification is currently attracting increased attention in numerous investment problems, but it is a delicate task due to its imminent implications on risk management. Hence, it is beyond doubt that more activity can be anticipated on this topic to converge towards a consensus on best practices. This paper presents a natural extension of the original deep hedging framework to address uncertainty in the data generating process via an adversarial approach inspired by GANs to automate robustification in our hedging objective. This is achieved through an interplay of three modular components: (i) a (deep) hedging engine, (ii) a data-generating process (that is model agnostic permitting a large variety of classical models as well as machine learning-based market generators), and (iii) a notion of distance on model space to measure deviations between our market prognosis and reality. We do not restrict the ambiguity set to a region around a reference model, but instead penalize deviations from the anticipated distribution. Our suggested choice for each component is motivated by model agnosticism, allowing a seamless transition between settings. Since all individual components are already used in practice, we believe that our framework is easily adaptable to existing functional settings. ...