Nested Optimal Transport Distances
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Abstract (arXiv)
Simulating realistic financial time series is essential for stress testing, scenario generation, and decision-making under uncertainty. Despite advances in deep generative models, there is no consensus metric for their evaluation. We focus on generative AI for financial time series in decision-making applications and employ the nested optimal transport distance, a time-causal variant of optimal transport distance, which is robust to tasks such as hedging, optimal stopping, and reinforcement learning. Moreover, we propose a statistically consistent, naturally parallelizable algorithm for its computation, achieving substantial speedups over existing approaches.
Key facts. No citing papers in the map yet (data through 13 Oct 2026). Builds on 8 of its 22 references that are in the map. First posted on arXiv 8 Sep 2025.
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References · 8
- 2016Causal transport in discrete time and applicationscited by 21
- 2022Computational methods for adapted optimal transportcited by 12
- 2016Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimizationcited by 11
- 2024Time-Causal VAE: Robust Financial Time Series Generatorcited by 8
- 2024Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Reviewcited by 7
- 2025Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chancecited by 4
- 2023Fitted value iteration methods for bicausal optimal transportcited by 2
- 2024Entropic adapted Wasserstein distance on Gaussianscited by 2
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