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Aggregation of Forecasts and Recommendations of Financial Analysts in the Framework of Evidence Theory

  • Ekaterina Kutynina
  • Alexander LepskiyEmail author
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 642)

Abstract

The article is dedicated to the method of aggregation of financial analysts’ recommendations in the framework of the evidence theory. This method considered on the example of Russian stock market and the quality of the obtained results was compared with the classical consensus forecast. It is shown that the combination rules, which are widely developed in the theory of evidence, allow aggregating the recommendations of analysts taking into account the historical reliability of information sources, the nature of the taken decisions (pessimism-optimism), the conflict between forecasts and recommendations, etc. In most cases it turned out that, obtained aggregated forecasts are more accurate than consensus forecast.

Keywords

Evidence theory Combining rule Recommendations of financial analysts Consensus forecast Discounting of evidence 

Notes

Acknowledgments

The article was prepared within the framework of the Basic Research Program at the National Research University Higher School of Economics (HSE) and supported within the framework of a subsidy by the Russian Academic Excellence Project “5-100”.

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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  1. 1.National Research University – Higher School of EconomicsMoscowRussia

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