Experiments with GANs for Simulating Returns (Guest post)
Ernie Chan (noreply@blogger.com)
By Akshay Nautiyal, Quantinsti Simulating returns using either the traditional closed-form equations or probabilistic models like Monte Carlo has been the standard practice to match them against empirical observations from stock, bond and other financial time-series data. (See Chan and Ng, 2017 and Lopez de Prado, 2018 .) Some of the stylised facts of return distributions are as follows: The tails of an empirical return distribution are always thick, indicating lucky gains and enormous losses ar