MTSS-GAN: Multivariate Time Series Simulation Generative Adversarial Networks

Abstract

MTSS-GAN is a new generative adversarial network (GAN) developed to simulate diverse multivariate time series (MTS) data with finance applications in mind. The purpose of this synthesiser is two-fold, we both want to generate data that accurately represents the original data, while also having the flexibility to generate data with novel and unique relationships that could help with model testing and robustness checks. The method is inspired by stacked GANs originally designed for image generation. Stacked GANs have produced some of the best quality images, for that reason MTSS-GAN is expected to be a leading contender in multivariate time series generation.

Keywords: Time Series, Generation, Synthetic, GAN, Generative, Multivariate, Simulation, Synthesiser

JEL Classification: C6, G12, C22