Generative OrnsteinUhlenbeck markets via geometric deep learning

DOI10.1007/978-3-031-38299-4_62MaRDI QIDQ6179065zbMATH OpenOpenAlexFDO

Authors Anastasis Kratsios, Cody Blaine Hyndman

Publication date 16 January 2024

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2302.09176

zbMATH Keywords

Gaussian measuresgeometric deep learningmarket generationmathematical financeoptimal transport

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Artificial neural networks and deep learning (68T07) Financial applications of other theories (91G80)

Abstract: We consider the problem of simultaneously approximating the conditional distribution of market prices and their log returns with a single machine learning model. We show that an instance of the GDN model of Kratsios and Papon (2022) solves this problem without having prior assumptions on the market's "clipped" log returns, other than that they follow a generalized Ornstein-Uhlenbeck process with a priori unknown dynamics. We provide universal approximation guarantees for these conditional distributions and contingent claims with a Lipschitz payoff function.

Recommendations

• Arbitrage-Free Neural-SDE Market Models
• A generative model of a limit order book using recurrent neural networks
• Approximation rates for deep calibration of (rough) stochastic volatility models
• Deep hedging
• Universal features of price formation in financial markets: perspectives from deep learning

Cites work

• A general version of the fundamental theorem of asset pricing
• Convex analysis and monotone operator theory in Hilbert spaces
• scientific article; zbMATH DE number 3280855 (Why is no real title available?)
• Introduction to stochastic analysis and Malliavin calculus
• Kantorovich duality for general transport costs and applications
• On a Formula for the L2 Wasserstein Metric between Measures on Euclidean and Hilbert Spaces
• On Itô's formula for multidimensional Brownian motion
• On semimartingale decompositions of convex functions of semimartingales
• Optimal pairs trading strategies: a stochastic mean-variance approach
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Reinforcement learning and stochastic optimisation
• Universal regular conditional distributions via probabilistic transformers
• Wasserstein geometry of Gaussian measures

Cited in

(1)

• Designing universal causal deep learning models: The geometric (Hyper)transformer

This page was built for publication: Generative OrnsteinUhlenbeck markets via geometric deep learning

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6179065)