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Nested Optimal Transport Distances

arXiv 2509.06702 ↗First posted 8 Sep 2025cs.LG q-fin.CPcited by 0

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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

  1. 2016Causal transport in discrete time and applicationscited by 21
  2. 2022Computational methods for adapted optimal transportcited by 12
  3. 2016Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimizationcited by 11
  4. 2024Time-Causal VAE: Robust Financial Time Series Generatorcited by 8
  5. 2024Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Reviewcited by 7
  6. 2025Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chancecited by 4
  7. 2023Fitted value iteration methods for bicausal optimal transportcited by 2
  8. 2024Entropic adapted Wasserstein distance on Gaussianscited by 2

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