spb/wp7_uqo

1======================================================================2RQ3: IMPLIED vs REALIZED CORRELATION DIVERGENCE3======================================================================45[Stage 1 skipped — raw stores unavailable]6Raw store 'options.duckdb' not found under /Users/simon-pierreboucher/Desktop/Recherche-UQO/finance/options-implied-cross-asset/data/raw.7These stores (~3.8B option records / 11.5B intraday bars) are kept outside the repository. Point WP7_RAW_DATA_DIR to the directory that contains them, or skip the raw-dependent steps — every downstream analysis runs from the processed parquets in data/processed/.89Loading shipped correlation_divergence.parquet instead.1011--- STRESS PREDICTION REGRESSIONS ---1213  5-day | A: ratio: R²=0.2218, N=2486, base rate=0.35614    const             : b=  0.3564  t_HC1=  42.03  t_NW(5)=  21.0115    corr_ratio        : b=  0.0522  t_HC1=   5.57  t_NW(5)=   3.2716    vix_close         : b=  0.2381  t_HC1=   4.43  t_NW(5)=   2.5717    spx_iv_atm        : b= -0.0257  t_HC1=  -0.48  t_NW(5)=  -0.271819  5-day | B: divergence: R²=0.2152, N=2486, base rate=0.35620    const             : b=  0.3564  t_HC1=  41.85  t_NW(5)=  20.8621    corr_divergence   : b=  0.0337  t_HC1=   3.97  t_NW(5)=   2.1422    vix_close         : b=  0.2608  t_HC1=   4.82  t_NW(5)=   2.7823    spx_iv_atm        : b= -0.0417  t_HC1=  -0.76  t_NW(5)=  -0.432425  5-day | C: components: R²=0.2216, N=2486, base rate=0.35626    const             : b=  0.3564  t_HC1=  42.01  t_NW(5)=  21.0527    implied_corr      : b=  0.1064  t_HC1=   5.29  t_NW(5)=   2.7828    realized_corr     : b= -0.0370  t_HC1=  -3.18  t_NW(5)=  -1.7129    vix_close         : b=  0.2970  t_HC1=   5.62  t_NW(5)=   3.2130    spx_iv_atm        : b= -0.1492  t_HC1=  -2.53  t_NW(5)=  -1.413132  10-day | A: ratio: R²=0.1509, N=2481, base rate=0.49333    const             : b=  0.4929  t_HC1=  53.25  t_NW(10)=  20.7934    corr_ratio        : b=  0.0739  t_HC1=   8.66  t_NW(10)=   4.1335    vix_close         : b=  0.3169  t_HC1=   5.96  t_NW(10)=   2.7136    spx_iv_atm        : b= -0.1523  t_HC1=  -2.86  t_NW(10)=  -1.293738  10-day | B: divergence: R²=0.1365, N=2481, base rate=0.49339    const             : b=  0.4929  t_HC1=  52.81  t_NW(10)=  20.5240    corr_divergence   : b=  0.0407  t_HC1=   4.44  t_NW(10)=   1.8941    vix_close         : b=  0.3583  t_HC1=   6.65  t_NW(10)=   3.0142    spx_iv_atm        : b= -0.1844  t_HC1=  -3.41  t_NW(10)=  -1.534344  10-day | C: components: R²=0.1396, N=2481, base rate=0.49345    const             : b=  0.4929  t_HC1=  52.89  t_NW(10)=  20.6546    implied_corr      : b=  0.0926  t_HC1=   4.74  t_NW(10)=   2.0247    realized_corr     : b= -0.0484  t_HC1=  -3.86  t_NW(10)=  -1.6648    vix_close         : b=  0.3849  t_HC1=   7.21  t_NW(10)=   3.2949    spx_iv_atm        : b= -0.2633  t_HC1=  -4.53  t_NW(10)=  -2.065051  20-day | A: ratio: R²=0.0881, N=2471, base rate=0.69352    const             : b=  0.6928  t_HC1=  78.12  t_NW(20)=  23.6453    corr_ratio        : b=  0.0468  t_HC1=   6.14  t_NW(20)=   2.3354    vix_close         : b=  0.4417  t_HC1=   9.38  t_NW(20)=   3.2755    spx_iv_atm        : b= -0.3408  t_HC1=  -7.26  t_NW(20)=  -2.525657  20-day | B: divergence: R²=0.0846, N=2471, base rate=0.69358    const             : b=  0.6928  t_HC1=  77.97  t_NW(20)=  23.5359    corr_divergence   : b=  0.0373  t_HC1=   4.26  t_NW(20)=   1.3860    vix_close         : b=  0.4527  t_HC1=   9.59  t_NW(20)=   3.3361    spx_iv_atm        : b= -0.3456  t_HC1=  -7.33  t_NW(20)=  -2.546263  20-day | C: components: R²=0.0851, N=2471, base rate=0.69364    const             : b=  0.6928  t_HC1=  77.97  t_NW(20)=  23.5865    implied_corr      : b=  0.0544  t_HC1=   3.11  t_NW(20)=   1.1666    realized_corr     : b= -0.0476  t_HC1=  -4.04  t_NW(20)=  -1.3067    vix_close         : b=  0.4625  t_HC1=   9.81  t_NW(20)=   3.4668    spx_iv_atm        : b= -0.3748  t_HC1=  -7.48  t_NW(20)=  -2.696970--- CORRELATION DIVERGENCE AROUND CRISES ---71  Flash Crash (2010-05-06):72    Pre:  IC=0.2227, RC=nan, Div=nan73    Post: IC=0.4040, RC=nan, Div=nan74  Euro Crisis (2011-08-05):75    Pre:  IC=0.3129, RC=nan, Div=nan76    Post: IC=0.4685, RC=nan, Div=nan77  China Deval (2015-08-24):78    Pre:  IC=0.2309, RC=nan, Div=nan79    Post: IC=0.4891, RC=nan, Div=nan80  Volmageddon (2018-02-05):81    Pre:  IC=0.1084, RC=0.2568, Div=-0.148482    Post: IC=0.4358, RC=0.6379, Div=-0.202183  COVID Crash (2020-03-16):84    Pre:  IC=0.4728, RC=0.6111, Div=-0.138385    Post: IC=0.6478, RC=0.7878, Div=-0.140086  Meme Stocks (2021-01-27):87    Pre:  IC=0.2275, RC=0.1598, Div=0.067788    Post: IC=0.3260, RC=0.3485, Div=-0.022689  Rate Shock (2022-06-13):90    Pre:  IC=0.4168, RC=0.5529, Div=-0.136191    Post: IC=0.4472, RC=0.6102, Div=-0.163092  SVB Crisis (2023-03-10):93    Pre:  IC=0.3279, RC=0.3273, Div=0.000694    Post: IC=0.3729, RC=0.3709, Div=0.002095  Aug VIX Spike (2024-08-05):96    Pre:  IC=0.1382, RC=0.0926, Div=0.045697    Post: IC=0.3160, RC=0.2600, Div=0.05619899RQ3 COMPLETE.100real 0,95101user 0,85102sys 0,06103