Abstract: There is provided a system and method of time series (TS) prediction. The method includes providing a machine learning (ML) network trained to perform TS prediction with respect to one or more components, the ML network configured with a set of hyperparameters including one or more hyperparameters associated with each component, the ML network comprising one or more ML modules operatively connected to an output layer, each ML module configured to represent a respective component in accordance with a given model characterized by the one or more hyperparameters associated therewith, where values of the hyperparameters associated with each component are automatically optimized during training of the ML network; and in response to a user's request for TS prediction, using the trained ML network to perform TS prediction, giving rise to a prediction result comprising an overall predicted TS, and one or more decomposed TS corresponding to respective components.