Gaussian GenAI: synthetic market data generation
A method to generate financial time series with mixture models is presented
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Jörg Kienitz proposes a method for generating synthetic market data under the real-world measure P based on Gaussian mixture models (convex combinations of Gaussians). Once numerically fitted, the method is analytic. In particular, conditional and high-dimensional cases can be handled and variates simulated easily. The results of the method are interpretable in the
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