spb/wp7_uqo Public
UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.
Python 66.5%
TeX 32.7%
Makefile 0.8%
1# =============================================================================2# Author: Simon-Pierre Boucher3# Contact: contact@spboucher.ai4# =============================================================================5# WP7 — Options-Implied Information Content6#7# make pipeline run every analysis that works from the processed parquets8# make extract raw → processed (requires the external DuckDB stores)9# make figures supplementary figures from the result CSVs10# make paper compile the LaTeX working paper (latexmk)11# make all pipeline + figures + paper1213PY := python31415ANALYSIS_SCRIPTS := \16 scripts/02_rq1_return_predictability.py \17 scripts/03_rq2_rv_forecasting.py \18 scripts/04_rq3_correlation_divergence.py \19 scripts/05_rq4_greeks_decay_magnets.py \20 scripts/06_rq5_ml_rv_forecast.py \21 scripts/07_descriptive_stats.py \22 scripts/08_subperiod_regime.py \23 scripts/09_portfolio_sorts.py \24 scripts/10_robustness.py \25 scripts/11_granger_var.py \26 scripts/13_extended_robustness.py2728.PHONY: all pipeline extract figures paper clean-paper2930all: pipeline figures paper3132extract:33 $(PY) scripts/01_extract_data.py3435pipeline:36 @set -e; for s in $(ANALYSIS_SCRIPTS); do \37 echo "\n=== $$s ==="; \38 $(PY) $$s || { code=$$?; \39 if [ $$code -eq 2 ]; then echo "(skipped: raw data unavailable)"; \40 else exit $$code; fi; }; \41 done4243figures:44 $(PY) scripts/12_make_figures.py4546paper:47 $(MAKE) -C paper4849clean-paper:50 $(MAKE) -C paper clean51