Cashflow forecasting

Paper - Empowering cash managers to achieve cost savings by improving predictive accuracy

• Cash management is concerned with optimizing the short-term funding requirements of a company

Time Series Forecasting with Transformer Models and Application to Asset Management

• Sequence prediction - we often predict the next value of the sequence itself
• Sequence generation - convert sequences from one domain into sequences from another domain, such as machine translation, text summarization, chatbots
• Iterated multi-step forecasting
• Direct multi-step forecasting

Self-attention is designed to capture the dependencies in the sequence, such as the relationship between each word with each other word in a senten

For a given query, we compare it with all keys K and get different weights for different values

Self-attention and multi-head attention are permutation-equivariant with respect to its inputs

In our experiment, we consider three different portfolio allocation methods:

• Single-period MVO portfolio with monthly rebalancing
• Risk parity portfolio with monthly rebalancing
• Multi-period MVO portfolio with weekly rebalancing as described by Problem

How to Build a Cash Flow Forecast

• Determine Your Forecasting Objective(s)
• Short-term liquidity planning
• Interest and debt reduction
• Liquidity risk management
• Growth planning

Cash payments and receipts. - Short-period forecasts: Short-term forecasts typically look two to four weeks into the future and contain a daily breakdown of cash payments and receipts.

The most common medium-term forecast is the rolling 13-week cash flow forecast.

Long-period forecasts: Longer-term forecasts typically look 6–12 months into the future and are often the starting point for annual budgeting processes

Mixed-period forecasts: Mixed-period forecasts use a mix of the three periods above and are commonly used for liquidity risk management.

Cash flow forecasting

• Forecast your income or sales
• Estimate cash inflows
• Estimate cash outflows and expenses
• Review your estimated cash flows against the actual

Preparing a cash flow forecast: Simple steps for vital insight

• Decide how far out you want to plan for
• List all your income
• List all your outgoings

Empirical analysis of daily cash flow time series and its implications for forecasting

Cash management is concerned with the efficient use of a company’s cash and short-term investments such as marketable securities.

From these and other works, we observe that common assumptions on the statistical properties of cash flow time-series include:

• Normality: cash flows follow a Gaussian distribution with observations symmetrically centered around the mean, and with finite variance.
• Absence of correlation: the occurrence of past cash flows does not affect the probability of occurrence of the next ones.
• Stationarity: the probability distribution of cash flows does not change over time and, consequently, its statistical properties such as the mean and variance remain stable.
• Linearity: cash flows are proportional either to another (external) explanatory variable or to a combination of (external) explanatory variables.

Empowering cash managers to achieve cost savings by improving predictive accuracy

Kurtosis is a measure of the tailedness of a distribution. Tailedness is how often outliers occur

Transforming Financial Forecasting with Data Science and Machine Learning at Uber

• Strategic planning
• Operations
• Insights

Modeling strategic investments as an optimization problem

• Minimize spending
• Maximize number of drivers or riders
• Maximize number of first trips or total trips
• Maximize gross bookings

With each optimization problem, we can also specify constraints, such as:

• Maximum budget, overall or specific to certain channels (such as marketing versus rider promotion)
• Minimum number of first trips or trips
• Minimum month-to-month gross booking growth

Short-term use cases: Short-term use cases for cashflow forecasting include budgeting, forecasting sales, and managing cash flow. It can also be used to identify potential areas of overspending and to plan for future investments

Long-term use cases: Cashflow forecasting can be used to plan for long-term investments, such as capital expenditures and acquisitions. It can also be used to develop strategies for managing cash flow over the long-term, such as budgeting and debt management

• Receivables forecast
• Payable forecast

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