2 papers
q-fin.ST2026
Hybrid Hidden Markov Model for Modeling Equity Excess Growth Rate Dynamics: A Discrete-State Approach with Jump-Diffusion
Abdulrahman Alswaidan, Jeffrey D. Varner
Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design.…
q-fin.TR2024
MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series
Aaron Wheeler, Jeffrey D. Varner
This work presents a generative pre-trained transformer (GPT) designed for modeling financial time series. The GPT functions as an order generation engine within a discrete event s…