Challet, Damien; Ragel, Vincent - In: Risks : open access journal 12 (2024) 6, pp. 1-10
mechanically improves their abilities to account for processes with long memory or highly disparate timescales. We compare the … ability of vanilla and extended long short-term memory networks (LSTMs) to predict the intraday volatility of a collection of … equity indices known to have a long memory. Generally, the number of epochs needed to train the extended LSTMs is divided by …