Robust Synthetic Data Generation for Sequential Financial Models Using Hybrid Variational Autoencoder–Markov Chain Monte Carlo Architectures.

Generating high-quality synthetic data is essential for advancing machine learning applications in financial time series, where data scarcity and privacy concerns often pose significant challenges. This study proposes a novel hybrid architecture that combines variational autoencoders (VAEs) with Markov Chain Monte Carlo (MCMC) sampling to enhance the generation of robust synthetic sequential data. The model leverages Gated Recurrent Unit (GRU) layers for capturing long-term temporal dependencies and MCMC sampling for effective latent space exploration, ensuring high variability and accuracy. Experimental evaluations on datasets of Google, Tesla, and Nestlé stock prices demonstrate the model's superior performance in preserving statistical and temporal patterns, as validated by quantitative metrics (discriminative and predictive scores), statistical tests (Kolmogorov–Smirnov), and t-Distributed Stochastic Neighbour Embedding (t-SNE) visualisations. The experiments reveal the model's scalability, maintaining high fidelity even under augmented dataset sizes and missing data scenarios. These findings position the proposed framework as a computationally efficient and structurally simple alternative to Generative Adversarial Network (GAN)-based methods, suitable for real-world applications in data-driven financial modelling. [ABSTRACT FROM AUTHOR]