Traveling waves of neural activity have been observed throughout the brain at a diversity of regions and scales; however, their precise computational role is still debated. One physically grounded hypothesis suggests that the cortical sheet may act like a wave-field capable of storing a short-term memory of sequential stimuli through induced waves traveling across the cortical surface. To date, however, the computational implications of this idea have remained hypothetical due to the lack of a simple recurrent neural network architecture capable of exhibiting such waves. In this work, we introduce a model to fill this gap, which we denote the Wave-RNN (wRNN), and demonstrate how both connectivity constraints and initialization play a crucial role in the emergence of wave-like dynamics. We then empirically show how such an architecture indeed efficiently encodes the recent past through a suite of synthetic memory tasks where wRNNs learn faster and perform significantly better than wave-free counterparts. Finally, we explore the implications of this memory storage system on more complex sequence modeling tasks such as sequential image classification and find that wave-based models not only again outperform comparable wave-free RNNs while using significantly fewer parameters, but additionally perform comparably to more complex gated architectures such as LSTMs and GRUs. We conclude with a discussion of the implications of these results for both neuroscience and machine learning.