most citedCan LSTM outperform volatility-econometric models?

1 citations · 1 across the 3 of their papers we have counts for

collaborators

3 papers

q-fin.CP2023

Introducing the -Cell: Unifying GARCH, Stochastic Fluctuations and Evolving Mechanisms in RNN-based Volatility Forecasting

German Rodikov, Nino Antulov-Fantulin

This paper introduces the -Cell, a novel Recurrent Neural Network (RNN) architecture for financial volatility modeling. Bridging traditional econometric approaches like GARCH wi…

q-fin.CP2022

Volatility-inspired -LSTM cell

German Rodikov, Nino Antulov-Fantulin

Volatility models of price fluctuations are well studied in the econometrics literature, with more than 50 years of theoretical and empirical findings. The recent advancements in n…

q-fin.CP2022★ 1 cited

Can LSTM outperform volatility-econometric models?

German Rodikov, Nino Antulov-Fantulin

Volatility prediction for financial assets is one of the essential questions for understanding financial risks and quadratic price variation. However, although many novel deep lear…