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Ask HN: Are there any quants successfully using RNNs for time series?
I'm working on a small research project about beta estimation/prediction. I have the presumption that some of the published results about neural networks' use in financial time series prediction is a bit overhyped. I was wondering if someone is using them successfully in practice and if so are there any useful tips?
Thanks!
- Bostonian 7y agoI have not tried RNN and use ARMA models. Regarding beta estimation, I recommend the recent paper "Simpler Better Market Betas" by Ivo Welch https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3371240 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3371240 .
- smabie 7y agoI’m not aware of production RNN use at quant firms. But then if anyone has gotten them to actually work, then it is probably something the firm keeps secret. I for one wouldn’t be surprised if RenTec is using them.