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

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Advances in Fuzzy Logic and Technology 2017 (EUSFLAT 2017, IWIFSGN 2017)

Part of the book series: Advances in Intelligent Systems and Computing ((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.

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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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Authors and Affiliations

  1. National Research University – Higher School of Economics, Moscow, Russia

    Ekaterina Kutynina & Alexander Lepskiy

Authors
  1. Ekaterina Kutynina
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  2. Alexander Lepskiy
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Corresponding author

Correspondence to Alexander Lepskiy .

Editor information

Editors and Affiliations

  1. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Janusz Kacprzyk

  2. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Eulalia Szmidt

  3. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Slawomir Zadrożny

  4. Department of Telecommunications and Information Processing, Bulgarian Academy of Sciences, Sofia, Bulgaria

    K. T. Atanassov

  5. WIT - Warsaw School of Information Technology, Warsaw, Poland

    Maciej Krawczak

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Kutynina, E., Lepskiy, A. (2018). Aggregation of Forecasts and Recommendations of Financial Analysts in the Framework of Evidence Theory. In: Kacprzyk, J., Szmidt, E., Zadrożny, S., Atanassov, K., Krawczak, M. (eds) Advances in Fuzzy Logic and Technology 2017. EUSFLAT IWIFSGN 2017 2017. Advances in Intelligent Systems and Computing, vol 642. Springer, Cham. https://doi.org/10.1007/978-3-319-66824-6_33

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  • DOI: https://doi.org/10.1007/978-3-319-66824-6_33

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-66823-9

  • Online ISBN: 978-3-319-66824-6

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