Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

9 Jul 2020Edmond LezmiJules RocheThierry RoncalliJiali Xu

This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets... (read more)

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