View Item 
        •   Utrecht University Student Theses Repository Home
        • UU Theses Repository
        • Theses
        • View Item
        •   Utrecht University Student Theses Repository Home
        • UU Theses Repository
        • Theses
        • View Item
        JavaScript is disabled for your browser. Some features of this site may not work without it.

        Browse

        All of UU Student Theses RepositoryBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

        Stock Price Simulation under Jump-Diffusion Dynamics: A WGAN-Based Framework with Anomaly Detection

        Thumbnail
        View/Open
        Thesis_version_3.pdf (5.321Mb)
        Publication date
        2023
        Author
        Gan, Renren
        Metadata
        Show full item record
        Summary
        Jump-diffusion path simulation is a popular topic in the finance area. In numerical path simulation, it is usually split into a diffusion part and a jump part. We propose a GAN-based framework that gives a general pattern for the jump-diffusion path simulation. The framework consists of two parts: 1) the diffusion learning part for the simulation of the diffusion part; 2) the jump detection part related to the jump simulation. The diffusion simulation is achieved by a conditional Wasserstein GAN with gradient penalty (called SDE-WGAN). The SDE-WGAN is an adapted model from a GAN-based SDEs simulation methodology, showing its advantages in stable training. The jump detection model is designed to detect the jump instances in a jump-diffusion path and estimate the jump parameters. The jump instances are detected by introducing a GAN-based anomaly detection method, as the jumps can be viewed as anomalies that are inconsistent with the non-jump data and rare to occur in the real market. The SDE-WGAN is well-combined since it can only generate non-jump states. The jumps are then recognized when the SDE-WGAN generated pattern significantly differs from the actual state. The maximum likelihood estimation is then applied to approximate the jump parameters based on the detected jump instances. We perform the proposed framework for simulating the Merton's model and obtain promising results. However, the framework may fail when the jump magnitude is small.
        URI
        https://studenttheses.uu.nl/handle/20.500.12932/43466
        Collections
        • Theses

        Related items

        Showing items related by title, author, creator and subject.

        • Studying the effectiveness and algorithms of digital simulations on an interactive AR crowd simulation table. 

          Savenije, Noud (2021)
          We introduce CrowdAR, a realtime interactive tangible augmented reality(AR) interface for crowd simulation software. The crowd simulation table's purpose is twofold. It is a tool for researchers and students for studying new ...
        • A simulated annealing method for computing rank-width 

          Nouwt, Florian (2022)
          In this thesis we show that simulated annealing is a very viable heuristic method for approximating rank-width and other branch-decomposition based width parameters. We present the various aspects of the algorithm in detail ...
        • Creating Dynamic and Density Dependent Indicative Routes for Crowd Simulation 

          Bloemheuvel, M.T. (2014)
          Crowd simulation has emerged as an important research field within computer science. Simulations for new commercial complexes and large events are increasingly becoming the standard. Additionally we are able to show a ...
        Utrecht university logo