# SBBTS: A Unified Schr"odinger-Bass Framework for Synthetic Financial Time Series

arXiv: https://arxiv.org/abs/2604.07159 · HTML: https://mlsanity.com/paper/2604.07159/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 11 of its 19 references that are in the map.
- First posted on arXiv 8 Apr 2026.

## Builds on (most cited first, 11 of 11)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Sigmoid-Weighted Linear Units for Neural Network Function Approximation in Reinforcement Learning](https://mlsanity.com/paper/1702.03118/) (2017)
- [Diffusion Schr"odinger Bridge with Applications to Score-Based Generative Modeling](https://mlsanity.com/paper/2106.01357/) (2021)
- [TabICL: A Tabular Foundation Model for In-Context Learning on Large Data](https://mlsanity.com/paper/2502.05564/) (2025)
- [TabArena: A Living Benchmark for Machine Learning on Tabular Data](https://mlsanity.com/paper/2506.16791/) (2025)
- [Real-TabPFN: Improving Tabular Foundation Models via Continued Pre-training With Real-World Data](https://mlsanity.com/paper/2507.03971/) (2025)
- [Generative modeling for time series via Schr"odinger bridge](https://mlsanity.com/paper/2304.05093/) (2023)
- [Robust time series generation via Schr"odinger Bridge: a comprehensive evaluation](https://mlsanity.com/paper/2503.02943/) (2025)
- [LightSBB-M: Bridging Schr"odinger and Bass for Generative Diffusion Modeling](https://mlsanity.com/paper/2601.19312/) (2026)
- [Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chance](https://mlsanity.com/paper/2501.03993/) (2025)
- [Bridging Schr"odinger and Bass: A Semimartingale Optimal Transport Problem with Diffusion Control](https://mlsanity.com/paper/2603.27712/) (2026)

## Built on by (most cited first, 1 of 1)

- [Deep-MKV-TS: Path-Dependent McKean--Vlasov Control for Financial Time Series Generation](https://mlsanity.com/paper/2608.19394/) (2026)

## Abstract (arXiv)

We study the problem of generating synthetic time series that reproduce both marginal distributions and temporal dynamics, a central challenge in financial machine learning. Existing approaches typically fail to jointly model drift and stochastic volatility, as diffusion-based methods fix the volatility while martingale transport models ignore drift. We introduce the Schr"odinger-Bass Bridge for Time Series (SBBTS), a unified framework that extends the Schr"odinger-Bass formulation to multi-step time series. The method constructs a diffusion process that jointly calibrates drift and volatility and admits a tractable decomposition into conditional transport problems, enabling efficient learning. Numerical experiments on the Heston model demonstrate that SBBTS accurately recovers stochastic volatility and correlation parameters that prior Schr"odingerBridge methods fail to capture. Applied to S&P 500 data, SBBTS-generated synthetic time series consistently improve downstream forecasting performance when used for data augmentation, yielding higher classification accuracy and Sharpe ratio compared to real-data-only training. These results show that SBBTS provides a practical and effective framework for realistic time series generation and data augmentation in financial applications.