LTSM-Bundle: A Toolbox and Benchmark on Large Language Models for Time Series Forecasting

Time Series Forecasting (TSF) has long been a challenge in time series analysis. Inspired by the success of Large Language Models (LLMs), researchers are now developing Large Time Series Models (LTSMs), universal transformerbased models that use autoregressive prediction to improve TSF. However, training LTSMs on heterogeneous time series data poses unique challenges, including diverse frequencies, dimensions, scalability, and patterns across datasets. Recent efforts have studied and evaluated various design choices aimed at enhancing LTSM training and generalization capabilities. Despite progress in both paradigms, there is no unified framework for systematically evaluating models and design choices across them. However, these design choices are typically studied and evaluated in isolation and are not compared collectively. In this work, we introduce LTSM-Bundle, a comprehensive toolbox and benchmark for training LTSMs, spanning pre-processing techniques, model configurations, and dataset configurations. We modularize and benchmark LTSMs across multiple dimensions, including prompting strategies, tokenization approaches, training paradigms, base model selection, data quantity, and dataset diversity. By combining the most effective design choices, the combination achieves state-of-the-art zero-shot and few-shot performance while providing a reproducible foundation for evaluating both traditional LSF models and emerging LTSMs. Our source code is available at https: //github.com/datamllab/ltsm

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Publication Details

Journal
ACM SIGKDD Explorations Newsletter
Published
2025-12-30
DOI
https://doi.org/10.1145/3787470.3787475
Primary Topic
Stock Market Forecasting Methods
Type
article
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article

LTSM-Bundle: A Toolbox and Benchmark on Large Language Models for Time Series Forecasting

Songchen Li, Alfredo Costilla Reyes, Yu-Neng Chuang, Daochen Zha et al.
ACM SIGKDD Explorations Newsletter
Stock Market Forecasting Methods
article

LTSM-Bundle: A Toolbox and Benchmark on Large Language Models for Time Series Forecasting

Songchen Li, Alfredo Costilla Reyes, Yu-Neng Chuang, Daochen Zha, Jiayi Yuan, Kwei-Herng Lai, Songyuan Sui, Leisheng Yu, Chia-Yuan Chang, Sirui Ding, Xia Hu, Guanchu Wang
article en

Abstract

Time Series Forecasting (TSF) has long been a challenge in time series analysis. Inspired by the success of Large Language Models (LLMs), researchers are now developing Large Time Series Models (LTSMs), universal transformerbased models that use autoregressive prediction to improve TSF. However, training LTSMs on heterogeneous time series data poses unique challenges, including diverse frequencies, dimensions, scalability, and patterns across datasets. Recent efforts have studied and evaluated various design choices aimed at enhancing LTSM training and generalization capabilities. Despite progress in both paradigms, there is no unified framework for systematically evaluating models and design choices across them. However, these design choices are typically studied and evaluated in isolation and are not compared collectively. In this work, we introduce LTSM-Bundle, a comprehensive toolbox and benchmark for training LTSMs, spanning pre-processing techniques, model configurations, and dataset configurations. We modularize and benchmark LTSMs across multiple dimensions, including prompting strategies, tokenization approaches, training paradigms, base model selection, data quantity, and dataset diversity. By combining the most effective design choices, the combination achieves state-of-the-art zero-shot and few-shot performance while providing a reproducible foundation for evaluating both traditional LSF models and emerging LTSMs. Our source code is available at https: //github.com/datamllab/ltsm

ACM SIGKDD Explorations NewsletterVol. 27(2)
University of North Carolina at Charlotte (US), University of California, San Francisco (US), Rice University (US)
Openalex Percentile: Top 27%
Stock Market Forecasting Methods
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