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Non-adversarial training of Neural SDEs with signature kernel scores

Author

Listed:
  • Zacharia Issa
  • Blanka Horvath
  • Maud Lemercier
  • Cristopher Salvi

Abstract

Neural SDEs are continuous-time generative models for sequential data. State-of-the-art performance for irregular time series generation has been previously obtained by training these models adversarially as GANs. However, as typical for GAN architectures, training is notoriously unstable, often suffers from mode collapse, and requires specialised techniques such as weight clipping and gradient penalty to mitigate these issues. In this paper, we introduce a novel class of scoring rules on pathspace based on signature kernels and use them as objective for training Neural SDEs non-adversarially. By showing strict properness of such kernel scores and consistency of the corresponding estimators, we provide existence and uniqueness guarantees for the minimiser. With this formulation, evaluating the generator-discriminator pair amounts to solving a system of linear path-dependent PDEs which allows for memory-efficient adjoint-based backpropagation. Moreover, because the proposed kernel scores are well-defined for paths with values in infinite dimensional spaces of functions, our framework can be easily extended to generate spatiotemporal data. Our procedure permits conditioning on a rich variety of market conditions and significantly outperforms alternative ways of training Neural SDEs on a variety of tasks including the simulation of rough volatility models, the conditional probabilistic forecasts of real-world forex pairs where the conditioning variable is an observed past trajectory, and the mesh-free generation of limit order book dynamics.

Suggested Citation

  • Zacharia Issa & Blanka Horvath & Maud Lemercier & Cristopher Salvi, 2023. "Non-adversarial training of Neural SDEs with signature kernel scores," Papers 2305.16274, arXiv.org.
  • Handle: RePEc:arx:papers:2305.16274
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    File URL: http://arxiv.org/pdf/2305.16274
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    References listed on IDEAS

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    1. Zijian Shi & Yu Chen & John Cartlidge, 2021. "The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network," Papers 2103.01670, arXiv.org.
    2. Andrea Coletta & Aymeric Moulin & Svitlana Vyetrenko & Tucker Balch, 2022. "Learning to simulate realistic limit order book markets from data as a World Agent," Papers 2210.09897, arXiv.org.
    3. Rama Cont & Marvin S. Mueller, 2019. "A stochastic partial differential equation model for limit order book dynamics," Papers 1904.03058, arXiv.org, revised May 2021.
    4. Vedant Choudhary & Sebastian Jaimungal & Maxime Bergeron, 2023. "FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs," Papers 2303.00859, arXiv.org, revised Dec 2023.
    5. Ben Hambly & Jasdeep Kalsi & James Newbury, 2020. "Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(1-2), pages 132-170, July.
    6. Andrea Coletta & Matteo Prata & Michele Conti & Emanuele Mercanti & Novella Bartolini & Aymeric Moulin & Svitlana Vyetrenko & Tucker Balch, 2021. "Towards Realistic Market Simulations: a Generative Adversarial Networks Approach," Papers 2110.13287, arXiv.org.
    7. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    8. Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
    9. Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.
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    Cited by:

    1. Yannick Limmer & Blanka Horvath, 2023. "Robust Hedging GANs," Papers 2307.02310, arXiv.org.
    2. Zacharia Issa & Blanka Horvath, 2023. "Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures," Papers 2306.15835, arXiv.org.

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