From Long News to Accurate Forecast: Importance-Aware Fusion and PRM-Guided Reflection for Time Series Forecasting
Authors: Mingyang Liu, Qingcan Kang, Yuke Wang, Shixiong Kai, Kaichao Liang, Hui-Ling Zhen, Tao Zhong, Mingxuan Yuan, +1 more
Abstract
Incorporating news into time series forecasting is appealing because news can reveal abrupt exogenous events that historical values alone cannot recover. However, existing LLM-based news-forecasting pipelines face two practical limitations: relevant news articles often exceed the model's context window, and iterative retrieval of supplementary news is typically unguided, leading to redundant updates and slow convergence. We address these issues with a novel framework that combines importance-aware news compression and process-level retrieval supervision. First, we train an importance reward model that estimates the forecasting utility of each article and uses this signal to allocate compression budgets during sequential pairwise fusion, preserving informative content within a fixed context limit. Second, we introduce a process reward model (PRM) that ranks multiple supplementary-news candidates conditioned on the current error profile and the history of previously selected articles, replacing one-shot blind retrieval with quality-controlled selection. Both components are trained offline using historical data with ground truth; inference uses the frozen filtering logic and compression modules without any reflection loop. Experiments on finance, energy, traffic, and bitcoin forecasting benchmarks show that our method improves prediction accuracy over strong baselines, significantly reduces the number of refinement iterations compared to the iterative baseline, and remains effective when relevant articles span thousands of tokens.
Time series forecasting is not just numerical extrapolation, but often requires reasoning with unstructured contextual data such as news or events. While specialized Time Series Foundation Models (TSFMs) excel at forecasting based on numerical patterns, they remain unaware to real-world textual signals. Conversely, while LLMs are emerging as zero-shot forecasters, their performance remains uneven across domains and contextual grounding. To bridge this gap, we introduce Nexus, a multi-agent forecasting framework that decomposes prediction into specialized stages: isolating macro-level and micro-level temporal fluctuations, and integrating contextual information when available before synthesizing a final forecast. This decomposition enables Nexus to adapt from seasonal signals to volatile, event-driven information without relying on external statistical anchors or monolithic prompting. We show that current-generation LLMs possess substantially stronger intrinsic forecasting ability than previously recognized, depending critically on how numerical and contextual reasoning are organized. Evaluated on data strictly succeeding LLM knowledge cutoffs spanning Zillow real estate metrics and volatile stock market equities, Nexus consistently matches or outperforms state-of-the-art TSFMs and strong LLM baselines. Beyond numerical accuracy, Nexus produces high-quality reasoning traces that explicitly show the fundamental drivers behind each forecast. Our results establish that real-world forecasting is an agentic reasoning problem extending well beyond only sequence modeling.
We examine whether financial news can improve realised volatility forecasting using a parsimonious NLP-based framework that incorporates specialised financial word embeddings alongside general-purpose alternatives. News-only forecasts contain useful predictive information but generally do not outperform strong volatility-history benchmarks. Crucially, combining stock-related news forecasts with a strong volatility-history benchmark lowers forecast losses for several specifications and increases realised utility, providing evidence consistent with forecast complementarity. Performance varies across news types, embedding representations, and volatility regimes. SHAP attributions associate forecast variation with economically interpretable firm-specific and macroeconomic news themes.
Retrieval-augmented generation (RAG) enhances zero-shot time series (TS) forecasting by leveraging external knowledge bases, yet existing approaches overlook input-level relevance when fusing retrieved samples with the query. We argue that not all retrievals are equally useful, and irrelevant ones can degrade performance. To this end, we propose Cross-RAG, a zero-shot RAG-based forecasting framework that selectively attends to query-relevant retrieved samples via query--retrieval cross-attention. By modeling input-level relevance between the query and retrieved samples, Cross-RAG jointly incorporates three sources of information: 1) the query itself, 2) the retrieved samples, and 3) their relational interactions. In particular, this input-aware design enables Cross-RAG to remain stable as the number of retrieved samples k grows, whereas prior methods without cross-attention require careful k tuning to avoid degradation from irrelevant retrievals. Extensive experiments demonstrate that Cross-RAG consistently improves zero-shot forecasting performance across multiple TSFM backbones and various RAG methods, with additional analyses confirming its effectiveness across various retrieval scenarios. Code is available at https://github.com/seunghan96/cross-rag/.