TY - JOUR

T1 - Ensemble Multi-Expert Forecasting: Robust Decision-Making in Chaotic Financial Markets

AU - Мусаев, Александр Азерович

AU - Григорьев, Дмитрий Алексеевич

PY - 2025/5/29

Y1 - 2025/5/29

N2 - Financial time series in volatile markets often exhibit non-stationary behavior and signatures of stochastic chaos, challenging traditional forecasting methods based on stationarity assumptions. In this paper, we introduce a novel multi-expert forecasting system (MES) that leverages ensemble machine learning techniques—including bagging, boosting, and stacking—to enhance prediction accuracy and support robust risk management decisions. The proposed framework integrates diverse “weak learner” models, ranging from linear extrapolation and multidimensional regression to sentiment-based text analytics, into a unified decision-making architecture. Each expert is designed to capture distinct aspects of the underlying market dynamics, while the supervisory module aggregates their outputs using adaptive weighting schemes that account for evolving error characteristics. Empirical evaluations using high-frequency currency data, notably for the EUR/USD pair, demonstrate that the ensemble approach significantly improves forecast reliability, as evidenced by higher winning probabilities and better net trading results compared to individual forecasting models. These findings contribute both to the theoretical understanding of ensemble forecasting under chaotic market conditions and to its practical application in financial risk management, offering a reproducible methodology for managing uncertainty in highly dynamic environments.

AB - Financial time series in volatile markets often exhibit non-stationary behavior and signatures of stochastic chaos, challenging traditional forecasting methods based on stationarity assumptions. In this paper, we introduce a novel multi-expert forecasting system (MES) that leverages ensemble machine learning techniques—including bagging, boosting, and stacking—to enhance prediction accuracy and support robust risk management decisions. The proposed framework integrates diverse “weak learner” models, ranging from linear extrapolation and multidimensional regression to sentiment-based text analytics, into a unified decision-making architecture. Each expert is designed to capture distinct aspects of the underlying market dynamics, while the supervisory module aggregates their outputs using adaptive weighting schemes that account for evolving error characteristics. Empirical evaluations using high-frequency currency data, notably for the EUR/USD pair, demonstrate that the ensemble approach significantly improves forecast reliability, as evidenced by higher winning probabilities and better net trading results compared to individual forecasting models. These findings contribute both to the theoretical understanding of ensemble forecasting under chaotic market conditions and to its practical application in financial risk management, offering a reproducible methodology for managing uncertainty in highly dynamic environments.

UR - https://www.mendeley.com/catalogue/ce7da9b6-0ecb-314a-ad47-b79619261bb5/

U2 - 10.3390/jrfm18060296

DO - 10.3390/jrfm18060296

M3 - Article

VL - 18

JO - Journal of Risk and Financial Management

JF - Journal of Risk and Financial Management

SN - 1911-8066

IS - 6

M1 - 296

ER -