MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
MarketGAN:利用生成对抗网络增强多变量金融时间序列数据
This paper introduces MarketGAN, a factor-based generative framework for high-dimensional asset return generation under severe data scarcity. We embed an explicit asset-pricing factor structure as an economic inductive bias and generate returns as a single joint vector, thereby preserving cross-sectional dependence and tail co-movement alongside inter-temporal dynamics. MarketGAN employs generative adversarial learning with a temporal convolutional network (TCN) backbone,…