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!
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.