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Quantitative Finance · Glossary

What is Generative model?

Definition 16.1 Machine Learning for Markets · Chapter 16 — Generative Models and Synthetic Data

A generative model is a model of the distribution of the data that can draw new samples from it. For market data the samples are paths (of returns, order-book states, curves) or windows of them, and the model is judged by whether the samples are useful for the purpose, not only by whether they look real.

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