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cs.LG2025
Nested Optimal Transport Distances
Ruben Bontorno, Songyan Hou
Simulating realistic financial time series is essential for stress testing, scenario generation, and decision-making under uncertainty. Despite advances in deep generative models,…
cs.LG2024★ 1 cited
Time-Causal VAE: Robust Financial Time Series Generator
Beatrice Acciaio, Stephan Eckstein, Songyan Hou
We build a time-causal variational autoencoder (TC-VAE) for robust generation of financial time series data. Our approach imposes a causality constraint on the encoder and decoder…