# Policy Gradient Stock GAN for Realistic Discrete Order Data Generation in Financial Markets

arXiv: https://arxiv.org/abs/2204.13338 · HTML: https://mlsanity.com/paper/2204.13338/

## Key facts

- Cited by 3 papers in the map (data through 14 Oct 2026).
- Builds on 24 of its 42 references that are in the map.
- First posted on arXiv 28 Apr 2022.

## Builds on (most cited first, 24 of 24)

- [Batch Normalization: Accelerating Deep Network Training by Reducing Internal Covariate Shift](https://mlsanity.com/paper/1502.03167/) (2015)
- [A Style-Based Generator Architecture for Generative Adversarial Networks](https://mlsanity.com/paper/1812.04948/) (2018)
- [Layer Normalization](https://mlsanity.com/paper/1607.06450/) (2016)
- [Image-to-Image Translation with Conditional Adversarial Networks](https://mlsanity.com/paper/1611.07004/) (2016)
- [Progressive Growing of GANs for Improved Quality, Stability, and Variation](https://mlsanity.com/paper/1710.10196/) (2017)
- [Improved Techniques for Training GANs](https://mlsanity.com/paper/1606.03498/) (2016)
- [Conditional Generative Adversarial Nets](https://mlsanity.com/paper/1411.1784/) (2014)
- [Unsupervised Representation Learning with Deep Convolutional Generative Adversarial Networks](https://mlsanity.com/paper/1511.06434/) (2015)
- [Spectral Normalization for Generative Adversarial Networks](https://mlsanity.com/paper/1802.05957/) (2018)
- [Multi-Scale Context Aggregation by Dilated Convolutions](https://mlsanity.com/paper/1511.07122/) (2015)
- [Least Squares Generative Adversarial Networks](https://mlsanity.com/paper/1611.04076/) (2016)
- [Wasserstein GAN](https://mlsanity.com/paper/1701.07875/) (2017)
- [Unsupervised Anomaly Detection with Generative Adversarial Networks to Guide Marker Discovery](https://mlsanity.com/paper/1703.05921/) (2017)
- [f-GAN: Training Generative Neural Samplers using Variational Divergence Minimization](https://mlsanity.com/paper/1606.00709/) (2016)
- [Towards Principled Methods for Training Generative Adversarial Networks](https://mlsanity.com/paper/1701.04862/) (2017)
- [Autoencoding beyond pixels using a learned similarity metric](https://mlsanity.com/paper/1512.09300/) (2015)
- [SeqGAN: Sequence Generative Adversarial Nets with Policy Gradient](https://mlsanity.com/paper/1609.05473/) (2016)
- [Adversarial Feature Learning](https://mlsanity.com/paper/1605.09782/) (2016)
- [Geometric GAN](https://mlsanity.com/paper/1705.02894/) (2017)
- [Deep Generative Image Models using a Laplacian Pyramid of Adversarial Networks](https://mlsanity.com/paper/1506.05751/) (2015)
- [Efficient GAN-Based Anomaly Detection](https://mlsanity.com/paper/1802.06222/) (2018)
- [CycleGAN, a Master of Steganography](https://mlsanity.com/paper/1712.02950/) (2017)
- [Anomaly Detection with Generative Adversarial Networks for Multivariate Time Series](https://mlsanity.com/paper/1809.04758/) (2018)
- [Generating Realistic Stock Market Order Streams](https://mlsanity.com/paper/2006.04212/) (2020)

## Built on by (most cited first, 3 of 3)

- [Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling](https://mlsanity.com/paper/2307.13217/) (2023)
- [Counterfactual Explanation Policies in RL](https://mlsanity.com/paper/2307.13192/) (2023)
- [A Modular Framework for Reinforcement Learning Optimal Execution](https://mlsanity.com/paper/2208.06244/) (2022)

## Abstract (arXiv)

This study proposes a new generative adversarial network (GAN) for generating realistic orders in financial markets. In some previous works, GANs for financial markets generated fake orders in continuous spaces because of GAN architectures' learning limitations. However, in reality, the orders are discrete, such as order prices, which has minimum order price unit, or order types. Thus, we change the generation method to place the generated fake orders into discrete spaces in this study. Because this change disabled the ordinary GAN learning algorithm, this study employed a policy gradient, frequently used in reinforcement learning, for the learning algorithm. Through our experiments, we show that our proposed model outperforms previous models in generated order distribution. As an additional benefit of introducing the policy gradient, the entropy of the generated policy can be used to check GAN's learning status. In the future, higher performance GANs, better evaluation methods, or the applications of our GANs can be addressed.