IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v24y2024i11p1641-1667.html
   My bibliography  Save this article

Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering

Author

Listed:
  • Raffaele Mattera
  • George Athanasopoulos
  • Rob Hyndman

Abstract

In this paper, we propose a novel approach to improving forecasts of stock market indexes by considering common stock prices as hierarchical time series, combining clustering with forecast reconciliation. We propose grouping the individual stock price series in various ways including via metadata and using unsupervised learning techniques. The proposed approach is applied to the Dow Jones Industrial Average Index and the Standard & Poor 500 Index and their component stocks, and the results obtained with different grouping approaches are compared. The results empirically demonstrate that the combined use of clustering and reconciliation improves the forecast accuracy of the stock market indexes and their constituents.

Suggested Citation

  • Raffaele Mattera & George Athanasopoulos & Rob Hyndman, 2024. "Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering," Quantitative Finance, Taylor & Francis Journals, vol. 24(11), pages 1641-1667, November.
    • Handle: RePEc:taf:quantf:v:24:y:2024:i:11:p:1641-1667
    DOI: 10.1080/14697688.2024.2412687
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2024.2412687
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2024.2412687?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:24:y:2024:i:11:p:1641-1667. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.