Time series forecasting of stock price changes using large language models: A foundation for financial decision-making

Forecasting stock price changes is a fundamental task in financial decision-making, yet it remains highly challenging due to the noisy, non-stationary nature of financial time series. This thesis investigates the use of a foundation model—Chronos, a large language model (LLM)-based forecaster—for multi-horizon stock price change prediction. Unlike traditional models that focus on absolute price forecasting, we formulate the task around predicting future price differences, which are more actionable in trading and portfolio optimization contexts. We evaluate Chronos under multiple configurations, comparing zero-shot and fine-tuned settings across several input formats, including raw prices, daily differences, and horizon-based changes. Extensive experiments on U.S. stock data demonstrate that fine-tuning Chronos significantly improves predictive performance, especially at longer horizons. Among the formats, daily price differences yield the most stable and interpretable results. An ablation study on context length further reveals trade-offs between longer historical windows and increased noise. While no control policy is implemented in this work, we propose a future integration of Chronos into a model predictive control (MPC) framework for multi-period financial planning. This thesis concludes that LLM-based forecasters like Chronos are promising tools for time series prediction in finance, especially when paired with domain-specific fine-tuning and careful input design.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Computer Science

Grantor

University of Illinois Urbana-Champaign

Year dc:date

2025

Author dc:creator

• Go, Eun

Contributors dc:contributor

• Banerjee, Arindam

• Time series forecasting
• Large language models

Statement dc:rights

• Copyright 2025 Eun Go

Language dc:language

en, eng

Handle dc:identifier

https://hdl.handle.net/2142/129687

OAI record oai:identifier

https://www.ideals.illinois.edu/oai-pmh?verb=GetRecord&metadataPrefix=etdms&identifier=oai%3Awww.ideals.illinois.edu%3A2142%2F129687