A long short-term memory stochastic volatility model

7 Jun 2019Nghia NguyenMinh-Ngoc TranDavid GunawanR. Kohn

Stochastic Volatility (SV) models are widely used in the financial sector while Long Short-Term Memory (LSTM) models are successfully used in many large-scale industrial applications of Deep Learning. Our article combines these two methods in a non-trivial way and proposes a model, which we call the LSTM-SV model, to capture the dynamics of stochastic volatility... (read more)

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