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Artificial Intelligence and Robotics
Singapore Management University
Research Collection School Of Computing and Information Systems
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Generating Realistic Stock Market Order Streams, Junyi Li, Xintong Wang, Yaoyang Lin, Arunesh Sinha, Michael P. Wellman
Generating Realistic Stock Market Order Streams, Junyi Li, Xintong Wang, Yaoyang Lin, Arunesh Sinha, Michael P. Wellman
Research Collection School Of Computing and Information Systems
We propose an approach to generate realistic and high-fidelity stock market data based on generative adversarial networks. We model the order stream as a stochastic process with finite history dependence, and employ a conditional Wasserstein GAN to capture history dependence of orders in a stock market. We test our approach with actual market and synthetic data on a number of different statistics, and find the generated data to be close to real data.