Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
M5 accuracy com- petition: Results, findings, and conclusions.International Journal of Forecasting, 38(4): 1346–1364
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A cost-sensitive trigger using specification debt for deciding when to re-specify forecasting model forms, shown on M4 data to match full-update accuracy at 28% of the compute cost.
A multi-objective probabilistic forecast combination framework is introduced that generates Pareto-optimal combinations balancing forecast accuracy and inventory decision performance, outperforming single-objective methods on retail and spare parts data.
citing papers explorer
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Benchmarking Deep Time Series Models for Equity Portfolios
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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When Should Forecasting Models Be Re-Specified? A Cost-Sensitive Trigger for Adaptive Model-Form Updating
A cost-sensitive trigger using specification debt for deciding when to re-specify forecasting model forms, shown on M4 data to match full-update accuracy at 28% of the compute cost.
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Multi-objective probabilistic forecast combination for inventory demand
A multi-objective probabilistic forecast combination framework is introduced that generates Pareto-optimal combinations balancing forecast accuracy and inventory decision performance, outperforming single-objective methods on retail and spare parts data.
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