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The Journal of Alternative Investments

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Article

The Structure of a Machine-Built Global Macro
Forecasting System

Jiaqi Chen and Michael L. Tindall
The Journal of Alternative Investments Summer 2016, 19 (1) 93-114; DOI: https://doi.org/10.3905/jai.2016.19.1.093
Jiaqi Chen
is an alternative investment specialist in the Financial Industry Studies Department at the Federal Reserve Bank of Dallas in Dallas, TX.
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  • For correspondence: jiaqi.chen@dal.frb.org
Michael L. Tindall
is an alternative investments specialist in the Financial Industry Studies Department at the Federal Reserve Bank of Dallas in Dallas TX.
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  • For correspondence: michael.tindall@dal.frb.org
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Abstract

This article presents an automated forecasting system that provides a macroeconomic forecasting approach that some hedge funds may find useful. The authors describe the structure of an econometric forecasting system designed to produce multiequation econometric forecasting models of national macroeconomies. They also describe the functioning of an automatic model-building system that builds the forecasting equation for each series submitted and produces forecasts of the series without human intervention. The automatic model-building system employs information criteria and cross-validation in the equation building process, and it uses Bayesian model averaging to combine forecasts of individual series. The system outperforms standard benchmarks for a variety of macroeconomic datasets. To demonstrate its use, the automatic system is used to build a fixed-income macro trading system.

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The Journal of Alternative Investments: 19 (1)
The Journal of Alternative Investments
Vol. 19, Issue 1
Summer 2016
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The Structure of a Machine-Built Global Macro
Forecasting System
Jiaqi Chen, Michael L. Tindall
The Journal of Alternative Investments Jun 2016, 19 (1) 93-114; DOI: 10.3905/jai.2016.19.1.093

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The Structure of a Machine-Built Global Macro
Forecasting System
Jiaqi Chen, Michael L. Tindall
The Journal of Alternative Investments Jun 2016, 19 (1) 93-114; DOI: 10.3905/jai.2016.19.1.093
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  • Article
    • Abstract
    • DATA
    • STRUCTURE OF THE SYSTEM
    • BAYESIAN MODEL AVERAGING
    • OUT-OF-SAMPLE FORECAST RESULTS
    • FINDINGS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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