Deep Generative Models for Synthetic Financial Data

This paper explores the application of deep generative models (TimeGAN and VAEs) to create synthetic financial data for portfolio construction and risk modeling. It addresses the limitations of real financial data (privacy, accessibility, reproducibility) by offering a synthetic alternative. The study's significance lies in demonstrating the potential of these models to generate realistic financial return series, validated through statistical similarity, temporal structure tests, and downstream financial tasks like portfolio optimization. The findings suggest that synthetic data can be a viable substitute for real data in financial analysis, particularly when models capture temporal dynamics, offering a privacy-preserving and cost-effective tool for research and development.