Giovanni Ballarin

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    Item type:Publication,
    Multi-Horizon Echo State Network Prediction of Intraday Stock Returns
    (2025-04-29)
    Giovanni Ballarin  
    ;
    Capra, Jacopo
    ;
    Dellaportas, Petros
    Stock return prediction is a problem that has received much attention in the finance literature. In recent years, sophisticated machine learning methods have been shown to perform significantly better than "classical" prediction techniques. One downside of these approaches is that they are often very expensive to implement, for both training and inference, because of their high complexity. We propose a return prediction framework for intraday returns at multiple horizons based on Echo State Network (ESN) models, wherein a large portion of parameters are drawn at random and never trained. We show that this approach enjoys the benefits of recurrent neural network expressivity, inherently efficient implementation, and strong forecasting performance.
    Type:journal article
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/124562