Simulating Multi-Asset Classes Prices Using Wasserstein Generative Adversarial Network: A Study of Stocks, Futures and Cryptocurrency
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Junyi Li & Xitong Wang & Yaoyang Lin & Arunesh Sinha & Micheal P. Wellman, 2020. "Generating Realistic Stock Market Order Streams," Papers 2006.04212, arXiv.org.
- David R. Meyer & George Guernsey, 2017. "Hong Kong and Singapore exchanges confront high frequency trading," Asia Pacific Business Review, Taylor & Francis Journals, vol. 23(1), pages 63-89, January.
- Mensi, Walid & Hernandez, Jose Arroeola & Yoon, Seong-Min & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor," International Review of Financial Analysis, Elsevier, vol. 74(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zhang, Hua & Chen, Jinyu & Shao, Liuguo, 2021. "Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
- Xintong Wang & Christopher Hoang & Yevgeniy Vorobeychik & Michael P. Wellman, 2021. "Spoofing the Limit Order Book: A Strategic Agent-Based Analysis," Games, MDPI, vol. 12(2), pages 1-43, May.
- Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
- Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
- Mensi, Walid & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Multiscale dependence, spillovers, and connectedness between precious metals and currency markets: A hedge and safe-haven analysis," Resources Policy, Elsevier, vol. 77(C).
- Gider, Jasmin & Schmickler, Simon & Westheide, Christian, 2019. "High-frequency trading and price informativeness," SAFE Working Paper Series 248, Leibniz Institute for Financial Research SAFE, revised 2019.
- Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
- Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
- Yıldırım, Durmuş Çağrı & Erdoğan, Fatma & Tarı, Elif Nur, 2022. "Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies," Resources Policy, Elsevier, vol. 76(C).
- Yash Thesia & Vidhey Oza & Priyank Thakkar, 2022. "A dynamic scenario‐driven technique for stock price prediction and trading," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 653-674, April.
- Asadi, Mehrad & Tiwari, Aviral Kumar & Gholami, Samad & Ghasemi, Hamid Reza & Roubaud, David, 2023. "Understanding interconnections among steel, coal, iron ore, and financial assets in the US and China using an advanced methodology," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
- Thai Hung, Ngo & Nguyen, Linh Thi My & Vinh Vo, Xuan, 2022. "Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
- Goswami, Mangal & Pontines, Victor & Mohammed, Yassier, 2023.
"Portfolio capital flows and the US dollar exchange rate: Viewed from the lens of time and frequency dynamics of connectedness,"
International Review of Financial Analysis, Elsevier, vol. 89(C).
- Mangal Goswami & Victor Pontines & Yassier Mohammed, 2022. "Portfolio capital flows and the US dollar exchange rate: Viewed from the lens of time and frequency dynamics of connectedness," Working Papers wp48, South East Asian Central Banks (SEACEN) Research and Training Centre.
- 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.
- Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
- Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Time and frequency connectedness and network across the precious metal and stock markets: Evidence from top precious metal importers and exporters," Resources Policy, Elsevier, vol. 72(C).
- Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.
More about this item
Keywords
multi-asset classes; financial engineering; simulations; stocks; futures; cryptocurrency; precious metal futures; machine learning; financial technology;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:15:y:2022:i:1:p:26-:d:721117. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.