# A diffusion-based generative model for financial time series via geometric Brownian motion

arXiv: https://arxiv.org/abs/2507.19003 · HTML: https://mlsanity.com/paper/2507.19003/

## Key facts

- Cited by 2 papers in the map (data through 14 Oct 2026).
- Placed in Flow matching, time series and science, one of 14 directions in Diffusion models.
- Builds on 7 of its 23 references that are in the map.
- First posted on arXiv 25 Jul 2025.

## Placed in

- Diffusion models / [Flow matching, time series and science](https://mlsanity.com/diffusion/flow-matching-time-series-and-science/)

## Builds on (most cited first, 7 of 7)

- [Denoising Diffusion Probabilistic Models](https://mlsanity.com/paper/2006.11239/) (2020)
- [Score-Based Generative Modeling through Stochastic Differential Equations](https://mlsanity.com/paper/2011.13456/) (2020)
- [DiffWave: A Versatile Diffusion Model for Audio Synthesis](https://mlsanity.com/paper/2009.09761/) (2020)
- [CSDI: Conditional Score-based Diffusion Models for Probabilistic Time Series Imputation](https://mlsanity.com/paper/2107.03502/) (2021)
- [Categorical SDEs with Simplex Diffusion](https://mlsanity.com/paper/2210.14784/) (2022)
- [MissDiff: Training Diffusion Models on Tabular Data with Missing Values](https://mlsanity.com/paper/2307.00467/) (2023)
- [Deep Learning Based on Generative Adversarial and Convolutional Neural Networks for Financial Time Series Predictions](https://mlsanity.com/paper/2008.08041/) (2020)

## Built on by (most cited first, 2 of 2)

- [Adjoint Matching through the Lens of the Stochastic Maximum Principle in Optimal Control](https://mlsanity.com/paper/2604.08580/) (2026)
- [Tweedie's Formulae and Diffusion Generative Models Beyond Gaussian](https://mlsanity.com/paper/2605.19391/) (2026)

## Abstract (arXiv)

We propose a novel diffusion-based generative framework for financial time series that incorporates geometric Brownian motion (GBM), the foundation of the Black--Scholes theory, into the forward noising process. Unlike standard score-based models that treat price trajectories as generic numerical sequences, our method injects noise proportionally to asset prices at each time step, reflecting the heteroskedasticity observed in financial time series. By accurately balancing the drift and diffusion terms, we show that the resulting log-price process reduces to a variance-exploding stochastic differential equation, aligning with the formulation in score-based generative models. The reverse-time generative process is trained via denoising score matching using a Transformer-based architecture adapted from the Conditional Score-based Diffusion Imputation (CSDI) framework. Empirical evaluations on historical stock data demonstrate that our model reproduces key stylized facts heavy-tailed return distributions, volatility clustering, and the leverage effect more realistically than conventional diffusion models.