Case 2: Forecasting Stock Movements

Business vs. Competition Goal

INFORMS 2010 Competition: The competition winning criterion was the highest average Area Under the Curve (AUC) on the holdout data.

Business Goal:

We consider a more realistic business context, where the goal is to create a model that generates stock movement forecasts that can be used by traders. Performance is evaluated in terms of operational criteria: timely, sufficiently accurate forecasts that are based on available information.