Controllable Financial Market Generation with Diffusion Guided Meta Agent

Yu-Hao Huang, Chang Xu, Yang Liu, Weiqing Liu, Wu-Jun Li, Jiang Bian

Keywords: Diffusion Model, Market Generation, Order Flow

Abstract:

Generative modeling has transformed many fields like language and visual modeling, while its exploit in financial market is under-explored.
As the minimal unit within a financial market is an order, order flow modeling represents the fundamental generative financial task.
However, current approaches often result in unsatisfactory fidelity in generating order flow, and their generation lacks controllability, thereby limiting their application scenario.
In this paper, we advocate incorporating controllability into market generation, and propose a Diffusion Guided meta Agent (DiGA) model. Specifically, we utilize a diffusion model to capture dynamics of market state represented by time-evolving distribution parameters about mid-price return rate and order arrival rate, and define a meta agent with financial economic priors to generate orders from the corresponding distributions.
Extensive experimental results demonstrate that our method exhibits outstanding controllability and fidelity in generation.
Furthermore, we validate DiGA's effectiveness as generative environment for downstream financial applications.

Submission Number: 119