FACTS-MAS: A Multi-Agent Architecture for Adaptive Forecasting from Heterogeneous Evidence
Abstract
Real-world forecasting often requires integrating heterogeneous evidence whose predictive value varies across horizons, operating regimes, and domains. We introduce FACTS-MAS, a domain-agnostic multi-agent forecasting framework that decomposes evidence into specialized channels for temporal dynamics, exogenous context, seasonality, structural information, and discrete events. Each agent generates an independently testable forecast through a common interface, while leakage-safe historical validation measures its predictive skill relative to a naive reference. These skill estimates are used to weight and combine agent forecasts, so that uninformative evidence is either removed or downweighted rather than forced to participate. A calibration procedure selects domain-specific constant means based on historical validation folds. We evaluate FACTS-MAS on weekly for-sale housing inventory from Zillow and weekly unemployment insurance claims from FRED, for 15 U.S. metropolitan areas at 4-, 8-, and 13-week forecasting horizons. Our method outperforms both a naive last-value forecast method and the TimesFM foundation model. However, a factor-adjusted exponential smoothing model performs as well as the fused forecast. The evidence therefore supports FACTS-MAS as a systematic protocol for testing, calibrating, and recomposing evidence channels before assembling them into the strongest single model for a specific application domain. Code, data, and results are available at https://github.com/Madumita24/FACTS-MAS.
Figures & tables
| Invariant framework components | Domain-specific components |
|---|---|
| Evidence-channel decomposition | Raw data sources and feature definitions |
| Shared agent output contract | Model selected within each evidence channel |
| Forecast-origin information boundary | Relevant exogenous variables and lags |
| Leakage-safe validation | Seasonal period or temporal structure |
| Skill-relative agent evaluation | Structural/entity-level variables |
| Adaptive fusion mechanism | Event ontology and event sources |
| Channel | Housing evidence | Implementation |
|---|---|---|
| Temporal | Historical weekly inventory | 4 weeks: ETS with additive trend and no seasonal component; 8 and 13 weeks: damped-trend ETS on seasonally adjusted inventory (factor-adjusted) |
| Exogenous | Mortgage rate, federal funds rate, CPI, unemployment | Lagged ridge-regression modifier with pre-specified lags |
| Seasonal | Week-of-year inventory pattern | Ratio-to-moving-average seasonal factors (seasonally adjusted naive form) |
| Intrinsic | Population, income, housing stock, density, hazard exposure | Scaled ridge regression with structural mean reversion; retired (calibrated reversion cap is zero) |
| Event | FEMA disaster declarations | LLM-assisted event interpretation with confidence gating; retired (calibrated impact scale is zero) |
| Scale | 0 | .01 | .02 | .03 | .05 | .075 | .10 |
|---|---|---|---|---|---|---|---|
| MAPE | 5.704 | 5.869 | 6.112 | 6.413 | 7.110 | 8.121 | 9.234 |
| Fold | Train start | Train end | Test start | Test end |
|---|---|---|---|---|
| 1 | 2019-02-02 | 2021-01-23 | 2021-05-01 | 2021-11-13 |
| 2 | 2019-02-02 | 2021-11-13 | 2022-02-19 | 2022-09-03 |
| 3 | 2019-02-02 | 2022-09-03 | 2022-12-10 | 2023-06-24 |
| 4 | 2019-02-02 | 2023-06-24 | 2023-09-30 | 2024-04-13 |
| 5 | 2019-02-02 | 2024-04-13 | 2024-07-20 | 2025-02-01 |
| 6 | 2019-02-02 | 2025-02-01 | 2025-05-10 | 2025-11-22 |
| Smoothed series | Unsmoothed series | |||||
|---|---|---|---|---|---|---|
| Method | 4 wk | 8 wk | 13 wk | 4 wk | 8 wk | 13 wk |
| Naive (last value) | 4.194 | 7.225 | 10.814 | 4.785 | 7.882 | 11.438 |
| Seasonal naive | 20.771 | 20.513 | 20.597 | – | – | – |
| Seasonally adjusted naive | 2.890 | 4.774 | 6.945 | 3.626 | 5.408 | 7.489 |
| Holt (temporal channel) | 2.368 | 5.430 | 10.225 | 4.317 | 7.901 | 13.022 |
| Theta (factor-adjusted) | 2.933 | 4.842 | 7.047 | – | – | – |
| Method | 4 weeks | 8 weeks | 13 weeks |
|---|---|---|---|
| Naive | 4.194 | 7.225 | 10.814 |
| TimesFM 2.5 | 2.361 | 4.860 | 8.269 |
| FA-ETS-d | 1.974 | 3.608 | 5.664 |
| FACTS-MAS | 2.118 | 3.622 | 5.731 |
| Smoothed series | Unsmoothed series | |||||
|---|---|---|---|---|---|---|
| Method | 4 wk | 8 wk | 13 wk | 4 wk | 8 wk | 13 wk |
| Naive (last value) | 3.122 | 5.445 | 8.438 | 3.355 | 5.306 | 7.925 |
| Seasonal naive | 8.534 | 8.534 | 8.550 | 8.593 | 8.601 | 8.622 |
| Seasonally adjusted naive | 1.492 | 2.377 | 3.393 | 2.053 | 2.677 | 3.564 |
| TimesFM 2.5 | 1.410 | 2.602 | 4.457 | 2.464 | 3.689 | 5.355 |
| CoT (gpt-5.6-luna) | 1.259 | 2.225 | 3.268 | – | – | – |
| Hypothesis | Horizon | Difference | Interval | Result |
|---|---|---|---|---|
| H1: FACTS-MAS naive | 4 wk | supported | ||
| 8 wk | supported | |||
| 13 wk | supported | |||
| H2: FA-ETS-d naive | 4 wk | supported | ||
| 8 wk | supported | |||
| 13 wk | supported |
| Channel | Unemployment-domain interpretation |
|---|---|
| Temporal | Historical unemployment level, rate, or claims trajectory |
| Exogenous | Macroeconomic, labor-market, financial, or activity indicators |
| Seasonal | Recurring calendar structure in employment or claims |
| Intrinsic | Persistent regional labor-force, demographic, or industrial composition |
| Event | Major layoffs, employer expansions or closures, policy changes, disasters, or other labor-market shocks |
| Method | 4 weeks | 8 weeks | 13 weeks |
|---|---|---|---|
| Naive | 18.816 | 21.963 | 24.716 |
| Seasonally adjusted naive | 17.836 | 19.294 | 20.613 |
| FA-ETS-d (damped) | 17.868 | 19.411 | 20.791 |
| FA-ETS (undamped) | 17.71 | 19.18 | 20.55 |
| FACTS-MAS (frozen recipe) | 17.863 | 19.233 | 20.578 |
| Channel | Energy-domain interpretation |
|---|---|
| Temporal | Historical energy-demand or load trajectory |
| Exogenous | Weather, temperature, economic activity, price, or other external demand drivers available at the forecast origin |
| Seasonal | Recurring daily, weekly, and/or annual demand structure |
| Intrinsic | Persistent characteristics of the forecasting region, grid, customer base, or system capacity |
| Event | Discrete weather, outage, policy, infrastructure, or other domain-relevant events |
| Variable | Lag | Coef. | Clustered | Holm | Wild bootstrap | Driscoll–Kraay |
|---|---|---|---|---|---|---|
| Mortgage rate | 6 weeks | 0.0075 | 0.575 | 1.000 | 0.611 | 0.973 |
| Federal funds | 10 weeks | -0.0129 | 0.042 | 0.170 | 0.073 | 0.712 |
| CPI | 10 weeks | -0.0047 | 0.085 | 0.254 | 0.086 | 0.463 |
| Unemployment | 5 weeks | -0.0015 | 0.548 | 1.000 | 0.577 | 0.264 |
Time Series Forecasting
Time series forecasting predicts future values from ordered observations using statistical, neural, and probabilistic models to support decisions under uncertainty.
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