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Combining ordinal forecasts with an application in a financial market

✍ Scribed by Dennis K. Fan; Kin-Nam Lau; Pui-Lam Leung

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 646 KB
Volume: 15
Category: Article
ISSN: 0277-6693
DOI: 10.1002/(sici)1099-131x(199601)15:1<37::aid-for603>3.0.co;2-c

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✦ Synopsis

The literature on combining forecasts has almost exclusively focused on combining point forecasts. The issues and methods of combining ordinal forecasts have not yet been fully explored, even though ordinal forecasting has many practical applications in business and social research. In this paper, we consider the case of forecasting the movement of the stock market which has three possible states (bullish, bearish and sluggish). Given the sample of states predicted by different forecasters, several statistical and operation research methods can be applied to determine the optimal weight assigned to each forecaster in combining the ordinal forecasts. The performance of these methods is examined using Hong Kong stock market forecasting data, and their accuracies are found to be better than the consensus method and individual forecasts.

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