Several theories of reputation and herd behavior (e.g., Scharfstein and Stein (1990), and Zwiebel (1995)) suggest that herding among agents should vary with career concerns. Our goal is to document whether such a link exists in the labor market for security analysts. We find that inexperienced analysts are more likely to be terminated for inaccurate earnings forecasts than are their more experi...

Businesses are exploring the use of prediction markets to assist with forecasting. In this study, we focus on the ability of prediction markets to reflect the consensus of trader forecasts as well as the dispersion of these forecasts. Using a real-money, computerized, anonymous double-auction market mechanism, we examine a series of markets forecasting a real-life outcome, i.e., movie box offic...

Linear pooling is by the far the most popular method for combining probability forecasts. However, any nontrivial weighted average of two or more distinct, calibrated probability forecasts is necessarily uncalibrated and lacks sharpness. In view of this, linear pooling requires recalibration, even in the ideal case in which the individual forecasts are calibrated. Toward this end, we propose a ...

When independence is assumed, forecasts of mortality for subpopulations are almost always divergent in the long term. We propose a method for coherent forecasting of mortality rates for two or more subpopulations, based on functional principal components models of simple and interpretable functions of rates. The product-ratio functional forecasting method models and forecasts the geometric mean...

We compare the Bank of England’s Inflation Report (IR) quarterly forecasts for growth and inflation to real-time forecasts using a variety of statistical forecasting models that have previously been found useful as forecasting benchmarks. These include linear and non-linear univariate models, and VARs. The results reveal the well-known difficulty of forecasting in a stable macroeconomic environ...

Day-ahead half-hourly demand forecasts are required for scheduling and for calculating the daily electricity pool price. One approach predicts turning points on the demand curve and then produces half-hourly forecasts by a heuristic procedure, called profiling, which is based on a past demand curve. This paper investigates possible profiling improvements. Using a cubic smoothing spline in the h...

Recently, we developed a seasonal influenza prediction system that uses an advanced data assimilation technique and real-time estimates of influenza incidence to optimize and initialize a population-based mathematical model of influenza transmission dynamics. This system was used to generate and evaluate retrospective forecasts of influenza peak timing in New York City. Here we present weekly f...

Extended logistic regression is a recent ensemble calibration method that extends logistic regression to provide full continuous probability distribution forecasts. It assumes conditional logistic distributions for the (transformed) predictand and fits these using selected predictand category probabilities. In this study we compare extended logistic regression to the closely related ordered and...

This discussion paper is/has been under review for the journal Hydrology and Earth System Sciences (HESS). Please refer to the corresponding final paper in HESS if available. Abstract In this paper, a technique is presented for assessing the predictive uncertainty of rainfall-runoff and hydraulic forecasts that conditions forecasts uncertainty on the forecasted value itself, based on retrospect...

Improvement of time series forecasting accuracy is an active research area having significant importance in many practical domains. Extensive works in literature suggest that substantial enhancement in accuracies can be achieved by combining forecasts from different models. However, forecasts combination is a difficult as well as a challenging task due to various reasons and often simple linear...