[R-SIG-Finance] Generation of synthetic financial data

[Andri Schnider]

Hi all,

I was curious what you consider to be the most useful tools for generating
synthetic time series that behave "similarly" to an original series that
one has (one difficulty is certainly choosing metrics that define
"similarity" between two series, but that is an entirely different
discussion).

The advent of deep learning methods have introduced Generative Adversarial
Networks (GANs), which I have seen being used for that exact task. Other
methods that are often mentioned in this context are GARCH models.

I am now wondering whether anyone is familiar with additional methods that
can be and are used for the generation of artificial financial time series.

Thank you!

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