Evaluation and Ranking of Market Forecasters

26 Pages Posted: 3 Apr 2017 Last revised: 22 Jul 2017

See all articles by David H. Bailey

David H. Bailey

Lawrence Berkeley National Laboratory; University of California, Davis

Jonathan Borwein

University of Newcastle (Australia); Royal Society of Canada; Australian Academy of Science

Amir Salehipour

University of Technology Sydney, Australia

Marcos Lopez de Prado

AQR Capital Management, LLC; Cornell University - Operations Research & Industrial Engineering; RCC - Harvard University

Date Written: May 31, 2017

Abstract

We develop a novel ranking methodology to rank the market forecaster. In particular, we distinguish forecasts by their specificity, rather than considering all predictions and forecasts equally important, and we also analyze the impact of the number of forecasts made by a particular forecaster. We have applied our methodology on a dataset including 6,627 forecasts made by 68 forecasters.

Keywords: Marker forecasters ranking; Guru ranking; Market forecast

JEL Classification: G0, G1, G2, G15, G24, E44

Suggested Citation

Bailey, David H. and Borwein, Jonathan and Salehipour, Amir and López de Prado, Marcos, Evaluation and Ranking of Market Forecasters (May 31, 2017). Available at SSRN: https://ssrn.com/abstract=2944853 or http://dx.doi.org/10.2139/ssrn.2944853

David H. Bailey

Lawrence Berkeley National Laboratory ( email )

1 Cyclotron Road
Berkeley, CA 94720
United States

HOME PAGE: http://www.davidhbailey.com

University of California, Davis ( email )

One Shields Avenue
Davis, CA 95616
United States

HOME PAGE: http://www.davidhbailey.com

Jonathan Borwein

University of Newcastle (Australia) ( email )

University Drive
Callaghan, NSW 2308
Australia
+61 2 4921 5535 (Phone)

HOME PAGE: http://www.carma.newcastle.edu.au/jon

Royal Society of Canada ( email )

282 Somerset West
Ottawa, Ontario K2P 0J6
Canada

Australian Academy of Science ( email )

Ian Potter House
Gordon Street
Acton, ACT 2601
Australia

Amir Salehipour

University of Technology Sydney, Australia ( email )

Ultimo
Ultimo, NSW 2007
Australia

Marcos López de Prado (Contact Author)

AQR Capital Management, LLC ( email )

One Greenwich Plaza
Greenwich, CT 06830
United States

HOME PAGE: http://www.aqr.com

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

RCC - Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

HOME PAGE: http://www.rcc.harvard.edu

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