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The Journal of Financial Data Science

The Journal of Financial Data Science

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Tackling the Exponential Scaling of Signature-Based Generative Adversarial Networks for High-Dimensional Financial Time-Series Generation

Fernando de Meer Pardo, Peter Schwendner and Marcus Wunsch
The Journal of Financial Data Science Fall 2022, jfds.2022.1.109; DOI: https://doi.org/10.3905/jfds.2022.1.109
Fernando de Meer Pardo
is a PhD student in the School of Engineering at the Zurich University of Applied Sciences in Winterthur, Switzerland
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Peter Schwendner
is the head of the Institute of Wealth & Asset Management at the Zurich University of Applied Sciences in Winterthur, Switzerland
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Marcus Wunsch
is a senior lecturer at the Institute of Wealth & Asset Management at the Zurich University of Applied Sciences in Winterthur, Switzerland
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Article Information

jfds.2022.1.109
DOI 
https://doi.org/10.3905/jfds.2022.1.109

Published By 
Pageant Media Ltd
Print ISSN 
2640-3943
Online ISSN 
2640-3951
History 
  • Published online September 24, 2022.

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  • You are currently viewing a Latest version of this article (September 24, 2022 - 03:59).
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© 2022 Pageant Media Ltd

Author Information

  1. Fernando de Meer Pardo
    1. is a PhD student in the School of Engineering at the Zurich University of Applied Sciences in Winterthur, Switzerland. (demp{at}zhaw.ch)
  2. Peter Schwendner
    1. is the head of the Institute of Wealth & Asset Management at the Zurich University of Applied Sciences in Winterthur, Switzerland. (scwp{at}zhaw.ch)
  3. Marcus Wunsch
    1. is a senior lecturer at the Institute of Wealth & Asset Management at the Zurich University of Applied Sciences in Winterthur, Switzerland. (wuns{at}zhaw.ch)
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The Journal of Financial Data Science: 5 (1)
The Journal of Financial Data Science
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Winter 2023
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Tackling the Exponential Scaling of Signature-Based Generative Adversarial Networks for High-Dimensional Financial Time-Series Generation
Fernando de Meer Pardo, Peter Schwendner, Marcus Wunsch
The Journal of Financial Data Science Sep 2022, jfds.2022.1.109; DOI: 10.3905/jfds.2022.1.109

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Tackling the Exponential Scaling of Signature-Based Generative Adversarial Networks for High-Dimensional Financial Time-Series Generation
Fernando de Meer Pardo, Peter Schwendner, Marcus Wunsch
The Journal of Financial Data Science Sep 2022, jfds.2022.1.109; DOI: 10.3905/jfds.2022.1.109
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  • Article
    • Abstract
    • GANS FOR FINANCIAL TIME-SERIES GENERATION
    • OUR CONTRIBUTIONS
    • OUTLINE
    • METHODOLOGY
    • PROPOSED MODELS AND ALGORITHMS
    • EXPERIMENTS AND EVALUATION
    • FUTURES DATASET
    • EXTENDED DATASET
    • CONCLUSIONS AND OUTLOOK
    • ACKNOWLEDGMENTS
    • APPENDIX A
    • APPENDIX B
    • ENDNOTE
    • REFERENCES
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