PAGAN: Portfolio Analysis with Generative Adversarial Networks

Understand

Since decades, the data science community tries to propose prediction models of financial time series.

• Yet, driven by the rapid development of information technology and machine intelligence, the velocity of today's information leads to high market efficiency.
• Sound financial theories demonstrate that in an efficient marketplace all information available today, including expectations on future events, are represented in today prices whereas future price trend is driven by the uncertainty.
• This jeopardizes the efforts put in designing prediction models.