Multi-Horizon Echo State Network Prediction of Intraday Stock Returns
Type
journal article
Date Issued
2025-04-29
Author(s)
Abstract
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.
Keywords
High-frequency data
reservoir computing
signal construction JEL: G17
C45
C53