Conditional Sig-Wasserstein GANs for Time Series Generation
32 Pages Posted: 2 Jul 2020
Date Written: June 9, 2020
Generative adversarial networks (GANs) have been extremely successful in generating samples, from seemingly high dimensional probability measures. However, these methods struggle to capture the temporal dependence of joint probability distributions induced by time-series data. Furthermore, long time-series data streams hugely increase the dimension of the target space, which may render generative modelling infeasible. To overcome these challenges, we integrate GANs with mathematically principled and efficient path feature extraction called the signature of a path. The signature of a path is a graded sequence of statistics that provides a universal description for a stream of data, and its expected value characterises the law of the time-series model. In particular, we develop a new metric, (conditional) Sig-$W_1$, that captures the (conditional) joint law of time series models, and use it as a discriminator. The signature feature space enables the explicit representation of the proposed discriminators which alleviates the need for expensive training. Furthermore, we develop a novel generator, called the conditional AR-FNN, which is designed to capture the temporal dependence of time series and can be efficiently trained. We validate our method on both synthetic and empirical dataset and observe that our method consistently and significantly outperforms state-of-the-art benchmarks with respect to measures of similarity and predictive ability.
Keywords: Conditional Generative Adversarial Network, Neural Networks, Time Series, Rough Path Theory, Generative Modelling, Wasserstein Distance, Mathematical Finance, Signatures
JEL Classification: C15, C45, C5, C53, C6, C63, G00
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