Short-Term Forecasting in the Trading Markets: Suggested Capture Intervals for Bloomberg™ FA-Downloads

Edward J. Lusk


General Context: Forecasting in the market trading world has been recognized as the core decision-making imperative. Archimedes remarked: Give Me a Fulcrum, and I Shall Move the World; the simile in the market trading world is; Give Me an Effective Forecasting Model and I can make Bill Gates and Sam Walton look like Paupers. An essential aspect of creating forecasts that can inform decision-makers are confidence intervals on forecasting projections.

Research Focus: The Bloomberg™ terminals [BBT] provide a treasure-trove of historical data and also, on a selected basis, single-valued forecasting projections. However, these forecasts are single-value estimates, usually one or two periods-ahead only for the Income Statement variables. The focus of this research report is to produce an interval that can be: (1) simply oriented from reported BBT-information, and (2) used to better develop a decision-context for the information accessible through the FA-link of the BBT.

Results: Using forecasting models in the OLS regression-class for: Time-Series, Y = f(X) versions, and a Moving Average Model, seven forecasting capture intervals were developed from randomly selected firms offered by the BBT. These capture intervals were used to produce standardized-capture-scalar-coefficients that were applied to the reported values offered by the BBT to create one-period-ahead capture intervals. This modeling protocol is referred to as the Empirical Interval Capture Model [EICM]. The EICM produces a capture interval with precision of about 30% where the capture rate was on the order of 90%.

Full Text:




  • There are currently no refbacks.

Copyright (c) 2019 Edward J. Lusk

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

International Journal of Accounting and Financial Reporting  ISSN 2162-3082

Copyright © Macrothink Institute 

'Macrothink Institute' is a trademark of Macrothink Institute, Inc.

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.