The market generator

A generative neural network is proposed to create a synthetic dataset that mantains the statistical properties of the original dataset


Alexei Kondratyev and Christian Schwarz propose using a special type of generative neural network – a restricted Boltzmann machine (RBM) – to build a powerful generator of synthetic market data that can replicate the probability distribution of the original market data. They consider an efficient data transformation and sampling approach that allows them to operate RBMs on real-valued datasets and control the degree of autocorrelation and non-stationarity in the

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