Bayesian Robust Financial Trading with Adversarial Synthetic Market Data
Haochong Xia, Simin Li, Ruixiao Xu, Zhixia Zhang, Hongxiang Wang, Zhiqian Liu, Teng Yao Long, Molei Qin, Chuqiao Zong, Bo An
摘要
Algorithmic trading relies on machine learning models to make trading decisions. Despite strong in-sample performance, these models often degrade when confronted with evolving real-world market regimes, which can shift dramatically due to macroeconomic changes—e.g., monetary policy updates or unanticipated fluctuations in participant behavior. We identify two core challenges that perpetuate this mismatch: (1) insufficient robustness in existing policy against uncertainties in high-level market fluctuations, and (2) the absence of a realistic and diverse simulation environment for training, leading to policy overfitting. To address these issues, we propose a Bayesian Robust Framework that systematically integrates a macro-conditioned generative model with robust policy learning. On the data side, to generate realistic and diverse data, we propose a macro-conditioned GAN-based generator that leverages macroeconomic indicators as primary control variables, synthesizing data with faithful temporal, cross-instrument, and macro correlations. On the policy side, to learn robust policy against market fluctuations, we cast the trading process as a two-player zero-sum Bayesian Markov game, wherein an adversarial agent simulates shifting regimes by perturbing macroeconomic indicators in the macro-conditioned generator, while the trading agent—guided by a quantile belief network—maintains and updates its belief over hidden market states. The trading agent seeks a Robust Perfect Bayesian Equilibrium via Bayesian neural fictitious self-play, stabilizing learning under adversarial market perturbations. Extensive experiments on 9 financial instruments demonstrate that our framework outperforms 9 state-of-the-art baselines. In extreme events like the COVID pandemic, our method shows improved profitability and risk management, offering a reliable solution for trading under uncertain and rapidly shifting market dynamics.
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