Synthetic Financial Data Generation for Enhanced Financial Modelling

• URL: http://arxiv.org/abs/2512.21791v1
• Date: Thu, 25 Dec 2025 21:43:16 GMT
• Title: Synthetic Financial Data Generation for Enhanced Financial Modelling
• Authors: Christophe D. Hounwanou, Yae Ulrich Gaba, Pierre Ntakirutimana,
• Abstract summary: This paper presents a unified multi-criteria evaluation framework for synthetic financial data.<n>Using historical S and P 500 daily data, we evaluate fidelity (Maximum Mean Discrepancy, MMD), temporal structure (autocorrelation and volatility clustering), and practical utility in downstream tasks.<n>We articulate practical guidelines for selecting generative models according to application needs and computational constraints.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Data scarcity and confidentiality in finance often impede model development and robust testing. This paper presents a unified multi-criteria evaluation framework for synthetic financial data and applies it to three representative generative paradigms: the statistical ARIMA-GARCH baseline, Variational Autoencoders (VAEs), and Time-series Generative Adversarial Networks (TimeGAN). Using historical S and P 500 daily data, we evaluate fidelity (Maximum Mean Discrepancy, MMD), temporal structure (autocorrelation and volatility clustering), and practical utility in downstream tasks, specifically mean-variance portfolio optimization and volatility forecasting. Empirical results indicate that ARIMA-GARCH captures linear trends and conditional volatility but fails to reproduce nonlinear dynamics; VAEs produce smooth trajectories that underestimate extreme events; and TimeGAN achieves the best trade-off between realism and temporal coherence (e.g., TimeGAN attained the lowest MMD: 1.84e-3, average over 5 seeds). Finally, we articulate practical guidelines for selecting generative models according to application needs and computational constraints. Our unified evaluation protocol and reproducible codebase aim to standardize benchmarking in synthetic financial data research.

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