Forecast Accuracy Is Not Trading Profit: Evolving Small Recurrent Networks for Stock Return Prediction

Excerpt

arXiv:2610.07825v1 Announce Type: cross Abstract: Time series forecasting models are typically compared on pointwise error, which scores a prediction in isolation from the decision it is produced for, and a lower forecast error does not imply a better decision downstream. A parallel debate asks whether modern transformer architectures forecast better than recurrent and other lightweight models. We compare linear, fixed recurrent, transformer, and mixing based architectures against recurrent netw