Enhancing Financial Time Series Prediction with Quantum-Enhanced Synthetic Data Generation: A Case Study on the S&P 500 Using a Quantum Wasserstein Generative Adversarial Network Approach with a Gradient Penalty

Filippo Orlandi, Enrico Barbierato*, Alice Gatti

*Corresponding author

Research output: Contribution to journalArticle

Abstract

This study introduces a novel Quantum Wasserstein Generative Adversarial Network approach with a Gradient Penalty (QWGAN-GP) model that leverages a quantum generator alongside a classical discriminator to synthetically generate time series data. This approach aims to accurately replicate the statistical properties of the S&P 500 index. The synthetic data generated by this model were compared to the original series using various metrics, including Wasserstein distance, Dynamic Time Warping (DTW) distance, and entropy measures, among others. The outcomes demonstrate the model’s robustness, with the generated data exhibiting a high degree of fidelity to the statistical characteristics of the original data. Additionally, this study explores the applicability of the synthetic time series in enhancing prediction models. An LSTM (Long-Short Term Memory)-based model was developed to evaluate the impact of incorporating synthetic data on forecasting accuracy, particularly focusing on general trends and extreme market events. The findings reveal that models trained on a mix of synthetic and real data significantly outperform those trained solely on historical data, improving predictive performance.
Original languageEnglish
Pages (from-to)N/A-N/A
JournalELECTRONICS
Volume13
DOIs
Publication statusPublished - 2024

Keywords

  • financial time series prediction
  • synthetic data generation
  • quantum machine learning
  • generative adversarial networks (GANs)

Fingerprint

Dive into the research topics of 'Enhancing Financial Time Series Prediction with Quantum-Enhanced Synthetic Data Generation: A Case Study on the S&P 500 Using a Quantum Wasserstein Generative Adversarial Network Approach with a Gradient Penalty'. Together they form a unique fingerprint.

Cite this