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

[Patrick Burns]

Have you investigated block bootstrap?

On 28/03/2022 11:43, Andri Schnider wrote:
> 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!
> 
> 	[[alternative HTML version deleted]]
> 
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-- 
Patrick Burns
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