Generative Learning for Financial Time Series with Irregular and Scale-Invariant Patterns

Published: 16 Jan 2024, Last Modified: 15 Apr 2024ICLR 2024 spotlightEveryoneRevisionsBibTeX
Code Of Ethics: I acknowledge that I and all co-authors of this work have read and commit to adhering to the ICLR Code of Ethics.
Keywords: generative model, time series pattern recognition, diffusion model, financial time series
Submission Guidelines: I certify that this submission complies with the submission instructions as described on
TL;DR: We develop a novel generative framework, FTS-Diffusion, specifically for financial time series generation, exploring the underlying irregular and scale-invariant patterns.
Abstract: Limited data availability poses a major obstacle in training deep learning models for financial applications. Synthesizing financial time series to augment real-world data is challenging due to the irregular and scale-invariant patterns uniquely associated with financial time series - temporal dynamics that repeat with varying duration and magnitude. Such dynamics cannot be captured by existing approaches, which often assume regularity and uniformity in the underlying data. We develop a novel generative framework called FTS-Diffusion to model irregular and scale-invariant patterns that consists of three modules. First, we develop a scale-invariant pattern recognition algorithm to extract recurring patterns that vary in duration and magnitude. Second, we construct a diffusion-based generative network to synthesize segments of patterns. Third, we model the temporal transition of patterns in order to aggregate the generated segments. Extensive experiments show that FTS-Diffusion generates synthetic financial time series highly resembling observed data, outperforming state-of-the-art alternatives. Two downstream experiments demonstrate that augmenting real-world data with synthetic data generated by FTS-Diffusion reduces the error of stock market prediction by up to 17.9%. To the best of our knowledge, this is the first work on generating intricate time series with irregular and scale-invariant patterns, addressing data limitation issues in finance.
Anonymous Url: I certify that there is no URL (e.g., github page) that could be used to find authors' identity.
Supplementary Material: zip
No Acknowledgement Section: I certify that there is no acknowledgement section in this submission for double blind review.
Primary Area: generative models
Submission Number: 4634