As of today I have permission to make public my somewhat mischievous entry in the year-long world-wide stock and ETF forecasting contest … the sixth major M-competition in a storied history stretching back to 1982.
The intent of my entry was to turn the contest from a “model versus model” into a “market versus model” battle. Or if you like, a battle between the contest community and the community of a different kind that makes options markets efficient. You can call this contest highjacking if you want, or just “exogenous data”.
Hi I'm the author of the Prophet article https://www.microprediction.com/blog/prophet which for better or worse is why many people have recently questioned Prophet as a time-series method. (There are better, and certainly more formal critiques before and after - I referenced several).
I just hope those who push back on your article read all the way to the last paragraph. I'll repeat it below. Very well put.
I'm happy to answer technical questions about Prophet from anyone here but again, this is somewhat beside the point, which is...
The requirement that people come to your company knowing how to use piss easy baby tools is an extremely dumb and lazy hiring practice. It is also, unfortunately, a common practice in data science job postings. The aggregate effect of this practice being widespread is that talented people with unusual backgrounds get gatekept out of good paying jobs that they’d be exceptional at. Making fun of the job posting and using Prophet has been compared to gatekeeping. To be clear, the Prophet prerequisite is an actual form of gatekeeping being undertaken by a major company that has actual material impacts on people’s careers. The job post excludes people not based on aptitude, but based on whether they have previous experience and familiarity with a tool they could be introduced to and then master in under 15 minutes. A tweet making fun of the job posting is not gatekeeping. Get over it, LinkedIn clout chasers
I would add that since posting my own less-well worded version of this astonishment I have received numerous DM's from people at large companies who are aghast at the way Prophet is a favorite of management. So whether or not this was a problem at Zillow beyond, say, 2015, it might well be the case elsewhere.
The details of the M6 Forecasting competition have been announced. This time it is the hardest possible test and it’s good to see that we’re going real-time.
The Elo Ratings in this table are produced transparently in the repo timeseries-elo-ratings and based on k-step ahead prediction duels using live time series data. See METHODOLOGY.md for interpretation of Elo ratings. The table named univariate-k_002 refers to 2-step ahead prediction, and so forth.
A recent paper by Spyros Makridakis, Chris Fry, Fotios Petropoulos, and Evangelos Spiliotis considers the past evidence from forecasting competitions and lays out some design principles for future ones.
Here's a colab notebook that will recommend a black-box optimizer for your objective function.
The recommendations are based on the Elo ratings for derivative-free optimization packages (see https://lnkd.in/ghgmKfN) which are now quite mature.
The notebook will also compare directly the performance of many different optimization strategies, drawn from disparate libraries, on your objective function(s).
This is a lot faster than trying out nlopt, bobyqa, dlib, nevergrad, pysot, hebo, bayesopt, skopt, ax-platform, shgo, pymoo, hyperopt, optuna, platypus, ultraopt and other Python packages, not to mention variations within, yourself.
https://medium.com/geekculture/is-facebooks-prophet-the-time...