Synthetic Financial Time Series Generator
We have made a free version of the UNCRi Synthetic Financial Series Generator available online for public use.
After agreeing to the terms and conditions a form will appear. This form will allow you to select a csv input file containing the financial series data you wish to mimic, and the number of data points you wish to generate. The input file must be a csv file, and must contain a non-numerical header (ideally containing the codes for the stock represented in that column). Series values should represent ‘prices’, not ‘returns’. The number of data points to generate is optional—if omitted, the number of points generated will be the same as the number of points in the input dataset. You must enter a valid email address. On completion of data generation, a link will be sent to that email address. This link will allow you to retrieve a csv file with the same structure as the input file, but containing synthetic data. The link will expire after one hour. (Don’t forget to check your spam folder!)
The free online version of the generator has the following restrictions:
- The size of the input file cannot exceed 100KB, and cannot contain more than 1000 rows (not including the header) or more than four columns. Additionally, only price series can be included (i.e., no ‘auxiliary’ features allowed).
- The maximum number of rows that can be generated is 1000.
- Hyperparameters controlling mean reversion and volatility clustering are set to default values and cannot be altered.
- No more than 30 requests can be made in any 24-hour window.