{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/what-data-augmentation-do-we-need-for-deep","title":"Theoretically Motivated Data Augmentation and Regularization for Portfolio Construction","arxiv_id":"2106.04114","date":"2021-06-08","proceeding":null,"authors":["Liu Ziyin","Kentaro Minami","Kentaro Imajo"],"abstract":"The task we consider is portfolio construction in a speculative market, a fundamental problem in modern finance. While various empirical works now exist to explore deep learning in finance, the theory side is almost non-existent. In this work, we focus on developing a theoretical framework for understanding the use of data augmentation for deep-learning-based approaches to quantitative finance. The proposed theory clarifies the role and necessity of data augmentation for finance; moreover, our theory implies that a simple algorithm of injecting a random noise of strength $\\sqrt{|r_{t-1}|}$ to the observed return $r_{t}$ is better than not injecting any noise and a few other financially irrelevant data augmentation techniques.","url_abs":"https://arxiv.org/abs/2106.04114v3","url_pdf":"https://arxiv.org/pdf/2106.04114v3.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"what-data-augmentation-do-we-need-for-deep","repo_url":"https://github.com/pfnet-research/finance_data_augmentation_icaif2022","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"pytorch","reach":null}],"tasks":[{"task_slug":"data-augmentation","task_name":"Data Augmentation"},{"task_slug":"deep-learning","task_name":"Deep Learning"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}