Modeling Stylized Facts in FX Markets with FINGAN-BiLSTM: A Deep Learning Approach to Financial Time Series

We propose the financial generative adversarial network–bidirectional long short-term memory (FINGAN-BiLSTM) model to accurately reproduce the complex statistical properties and stylized facts, namely, heavy-tailed behavior, volatility clustering, and leverage effects observed in the log returns of the foreign exchange (FX) market. The proposed model integrates a bidirectional LSTM (BiLSTM) into the conventional FINGAN framework so that the generator, discriminator, and predictor networks simultaneously incorporate both past and future information, thereby overcoming the information loss inherent in unidirectional LSTM architectures. Experimental results, assessed using metrics such as the Kolmogorov–Smirnov statistic, demonstrate that FINGAN-BiLSTM effectively mimics the distributional and dynamic patterns of actual FX data. In particular, the model significantly reduces the maximum cumulative distribution discrepancy in assets with high standard deviations and extreme values, such as the Canadian dollar (CAD) and the Mexican Peso (MXN), while precisely replicating dynamic features like volatility clustering and leverage effects, thereby outperforming conventional models. The findings suggest that the proposed deep learning–based forecasting model holds significant promise for practical applications in financial risk assessment, derivative pricing, and portfolio optimization, and they highlight the need for further research to enhance its generalization capabilities through the integration of exogenous economic variables.