Flexible Tails for Normalising Flows, with Application to the Modelling of Financial Return Data
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Abstract (arXiv)
We propose a transformation capable of altering the tail properties of a distribution, motivated by extreme value theory, which can be used as a layer in a normalizing flow to approximate multivariate heavy tailed distributions. We apply this approach to model financial returns, capturing potentially extreme shocks that arise in such data. The trained models can be used directly to generate new synthetic sets of potentially extreme returns
Key facts. Cited by 2 papers in the map (data through 7 Oct 2026). Builds on 9 of its 25 references that are in the map. First posted on arXiv 1 Nov 2023.
Builds on
9 of 25 references.
References · 9
- 2019PyTorch: An Imperative Style, High-Performance Deep Learning Librarycited by 20,160
- 2019Normalizing Flows for Probabilistic Modeling and Inferencecited by 1,315
- 2018WaveGlow: A Flow-based Generative Network for Speech Synthesiscited by 308
- 2019Quant GANs: Deep Generation of Financial Time Seriescited by 107
- 2018Transformation Autoregressive Networkscited by 27
- 2021Multi-Asset Spot and Option Market Simulationcited by 17
- 2022Marginal Tail-Adaptive Normalizing Flowscited by 12
- 2022Fat-Tailed Variational Inference with Anisotropic Tail Adaptive Flowscited by 10
- 2022COMET Flows: Towards Generative Modeling of Multivariate Extremes and Tail Dependencecited by 8
Built on by
Citing papers per year: 2024: 2.
2 papers.
- 2024Flexible Tails for Normalizing Flowscited by 11
- 2024Generalized Distribution Prediction for Asset Returnscited by 0
- 2024Generalized Distribution Prediction for Asset Returns15 Oct 2024
- 2024Flexible Tails for Normalizing Flows22 Jun 2024