Movement Prediction-Adjusted Naive Forecast: Is the Naive Baseline Unbeatable in Financial Time Series Forecasting?
方向预测调整的朴素预测:金融时间序列的朴素基准能否被超越?
In financial time series forecasting, the naive forecast is a notoriously difficult benchmark to surpass because of the stochastic nature of the data. Motivated by this challenge, this study introduces the movement prediction-adjusted naive forecast (MPANF), a forecast combination method that systematically refines the naive forecast by incorporating directional information. In particular, MPANF adjusts the naive forecast with an increment formed by three components: the…