HACKER Q&A
📣 curiousgal

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 Accepted Answer ✓
I 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 .

👤 smabie
I’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.