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Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination

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  • Adriano Koshiyama
  • Nick Firoozye
  • Philip Treleaven

Abstract

Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or discover how to combine weak signals in novel alpha creating manners. Both aspects, namely fine-tuning and combination, have been extensively researched using several methods, but emerging techniques such as Generative Adversarial Networks can have an impact into such aspects. Therefore, our work proposes the use of Conditional Generative Adversarial Networks (cGANs) for trading strategies calibration and aggregation. To this purpose, we provide a full methodology on: (i) the training and selection of a cGAN for time series data; (ii) how each sample is used for strategies calibration; and (iii) how all generated samples can be used for ensemble modelling. To provide evidence that our approach is well grounded, we have designed an experiment with multiple trading strategies, encompassing 579 assets. We compared cGAN with an ensemble scheme and model validation methods, both suited for time series. Our results suggest that cGANs are a suitable alternative for strategies calibration and combination, providing outperformance when the traditional techniques fail to generate any alpha.

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  • Adriano Koshiyama & Nick Firoozye & Philip Treleaven, 2019. "Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination," Papers 1901.01751, arXiv.org, revised Mar 2019.
  • Handle: RePEc:arx:papers:1901.01751
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Emiel Lemahieu & Kris Boudt & Maarten Wyns, 2023. "Generating drawdown-realistic financial price paths using path signatures," Papers 2309.04507, arXiv.org.
    2. Samuel N. Cohen & Derek Snow & Lukasz Szpruch, 2021. "Black-box model risk in finance," Papers 2102.04757, arXiv.org.
    3. Magnus Wiese & Lianjun Bai & Ben Wood & Hans Buehler, 2019. "Deep Hedging: Learning to Simulate Equity Option Markets," Papers 1911.01700, arXiv.org.
    4. Florian Eckerli & Joerg Osterrieder, 2021. "Generative Adversarial Networks in finance: an overview," Papers 2106.06364, arXiv.org, revised Jul 2021.
    5. Adriano Koshiyama & Sebastian Flennerhag & Stefano B. Blumberg & Nick Firoozye & Philip Treleaven, 2020. "QuantNet: Transferring Learning Across Systematic Trading Strategies," Papers 2004.03445, arXiv.org, revised Jun 2020.
    6. Szymon Kubiak & Tillman Weyde & Oleksandr Galkin & Dan Philps & Ram Gopal, 2023. "Improved Data Generation for Enhanced Asset Allocation: A Synthetic Dataset Approach for the Fixed Income Universe," Papers 2311.16004, arXiv.org.
    7. Christophe Geissler & Nicolas Morizet & Matteo Rizzato & Julien Wallart, 2022. "Generative Adversarial Networks Applied to Synthetic Financial Scenarios Generation," Papers 2209.03935, arXiv.org.
    8. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Estimating risks of option books using neural-SDE market models," Papers 2202.07148, arXiv.org.
    9. Gautier Marti & Victor Goubet & Frank Nielsen, 2021. "cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope," Papers 2107.10606, arXiv.org.
    10. Chung I Lu, 2023. "Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation," Papers 2307.07694, arXiv.org, revised Jul 2023.
    11. Gautier Marti, 2019. "CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks," Papers 1910.09504, arXiv.org, revised Dec 2019.
    12. Magnus Wiese & Ben Wood & Alexandre Pachoud & Ralf Korn & Hans Buehler & Phillip Murray & Lianjun Bai, 2021. "Multi-Asset Spot and Option Market Simulation," Papers 2112.06823, arXiv.org.
    13. Edmond Lezmi & Jules Roche & Thierry Roncalli & Jiali Xu, 2020. "Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks," Papers 2007.04838, arXiv.org.
    14. Carvajal-Patiño, Daniel & Ramos-Pollán, Raul, 2022. "Synthetic data generation with deep generative models to enhance predictive tasks in trading strategies," Research in International Business and Finance, Elsevier, vol. 62(C).
    15. Amine Assouel & Antoine Jacquier & Alexei Kondratyev, 2021. "A Quantum Generative Adversarial Network for distributions," Papers 2110.02742, arXiv.org.
    16. Junyi Li & Xitong Wang & Yaoyang Lin & Arunesh Sinha & Micheal P. Wellman, 2020. "Generating Realistic Stock Market Order Streams," Papers 2006.04212, arXiv.org.
    17. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
    18. Matteo Rizzato & Julien Wallart & Christophe Geissler & Nicolas Morizet & Noureddine Boumlaik, 2023. "Generative Adversarial Networks Applied to Synthetic Financial Scenarios Generation," Working Papers hal-03716692, HAL.
    19. Magnus Wiese & Robert Knobloch & Ralf Korn & Peter Kretschmer, 2019. "Quant GANs: Deep Generation of Financial Time Series," Papers 1907.06673, arXiv.org, revised Dec 2019.
    20. Xiaoyu Tan & Zili Zhang & Xuejun Zhao & Shuyi Wang, 2022. "DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    21. Rizzato, Matteo & Wallart, Julien & Geissler, Christophe & Morizet, Nicolas & Boumlaik, Noureddine, 2023. "Generative Adversarial Networks applied to synthetic financial scenarios generation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 623(C).
    22. Alexandre Miot, 2020. "Adversarial trading," Papers 2101.03128, arXiv.org.
    23. Song Wei & Andrea Coletta & Svitlana Vyetrenko & Tucker Balch, 2023. "INTAGS: Interactive Agent-Guided Simulation," Papers 2309.01784, arXiv.org, revised Nov 2023.

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