Financial Time Series Modelling Using Generative Models

Speaker: Ilnaz Asadzadeh VP Data Science, BMO Capital Markets Abstract: The talk will provide an overview of data-driven approaches for financial time series modelling and different performance evaluation metrics that could be used. Some of the challenges to achieving good results in the data-driven type of modelling will be addressed. Moreover, some classical approaches of the market simulation are contrasted with simulation using generative modelling and the advantages and drawbacks of the new approaches are highlighted