Microsoft Finance Time Series Forecasting Framework


The Microsoft Finance Time Series Forecasting Framework, aka finnts or Finn, is an automated forecasting framework for producing financial forecasts. While it was built for corporate finance activities, it can easily expand to any time series forecasting problem!


CRAN version


Development version

To get a bug fix or to use a feature from the development version, you can install the development version of finnts from GitHub.

# install.packages("devtools")



# prepare historical data
hist_data <- timetk::m4_monthly %>%
  dplyr::rename(Date = date) %>%
  dplyr::mutate(id = as.character(id))

# call main finnts modeling function
finn_output <- forecast_time_series(
  input_data = hist_data,
  combo_variables = c("id"),
  target_variable = "value",
  date_type = "month",
  forecast_horizon = 3,
  back_test_scenarios = 6, 
  models_to_run = c("arima", "ets"), 
  run_global_models = FALSE, 
  run_model_parallel = FALSE


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