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Introducing the $σ$-Cell: Unifying GARCH, Stochastic Fluctuations and Evolving Mechanisms in RNN-based Volatility Forecasting
This paper introduces the $\sigma$-Cell, a novel Recurrent Neural Network (RNN) architecture for financial volatility modeling.
Volatility-inspired $σ$-LSTM cell
Volatility models of price fluctuations are well studied in the econometrics literature, with more than 50 years of theoretical and empirical findings.
Can LSTM outperform volatility-econometric models?
Volatility prediction for financial assets is one of the essential questions for understanding financial risks and quadratic price variation.
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