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As with many machine learning technologies, you can run a separate training and testing phase before deploying it live for prediction. All it does is build a collection of decision trees based on the parameters you give it - if the output field is a factor, you get classification (a finite enumerated set of values); if it's numeric, you get prediction. One ...


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2) Alternative to Fama-MacBeth is Fama-French approach. Explanation of difference see, for example, here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1271935 Fama-French approach was used by Carhart (introduced momentum), Pastor-Stambaugh (introduced liquidity), Fama-French themselves (used it to build 5-factor model), and many other (elsevier or ...


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PX_BID and PX_ASK are the static equivalents of BID and ASK, the latter two of which populate in "real time" (i.e. as they are dynamically updated). So the PX_BID and PX_ASK values are dependent upon when you pulled the data. Bloomberg's source depends on the asset in question and the exchange on which they are listed, but the data does come from the ...


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The key assumption is that there is no time-series correlation between the error terms. Fama-MacBeth can deal with cross-sectional correlations. See Samuel Thompson's "Simple formulas for standard errors that cluster by both firm and time" in the Journal of Financial Economics (2011) for a treatment of different regression methods for testing equity ...


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They represent the current BID and ASK at the time you query them. If you look up those fields in the terminal FLDS<GO> you will see they are marked as reference data, that means they are not continually updated. They are refreshed each time you query them. They come from the NBBO quote at the time you query them.


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It could help with things like fraud detection, analysis of bankruptcy probability, default risk, unsupervised learning for qualitative/descriptive purposes, or for a purely backwards looking supervised analysis on returns again for descriptive/understanding purposes (variable important, etc, perhaps impulse response analysis). It may also be good at ...



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