Multi-faceted large-scale forecasting

A system for forecasting, the system comprising:

• a storage device configured to store program instructions;
• and
• a number of processors operably connected to the storage device and configured to execute the program instructions to cause the system to:
• forecast, with a number of univariate models, a number of company-level metrics for a company over a specified time period according to company-specific historical data;
• forecast, with a multivariate model, the company-level metrics over the specified time period according to the company-specific historical data and sector-level historical data related to an industry sector to which the company belongs;
• combine the forecasts of the univariate models and the multivariate model into an ensemble model;
• and
• forecast the company-level metrics over the specified time period with the ensemble model.

A computer program product for forecasting, the computer program product comprising:

• a computer-readable storage medium having program instructions embodied thereon to perform the steps of:
• forecasting, with a number of univariate models, a number of company-level metrics for a company over a specified time period according to company-specific historical data;
• forecasting, with a multivariate model, the company-level metrics over the specified time period according to the company-specific historical data and sector-level historical data related to an industry sector to which the company belongs;
• combining the forecasts of the univariate models and the multivariate model into an ensemble model;
• and
• forecasting the company-level metrics over the specified time period with the ensemble model.