README: badge header with key metrics and author block

Shields.io badges for author/contact, paper build, references,
reproduction status, and headline findings (Sharpe 2.33, +23.3% RV R²,
100% Granger, 73.8% FEVD, placebo collapse), plus an RQ summary table.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

simon-pierre boucher committed 5 days ago (Aug 6, 2026) parent c54a8e2

Showing 1 changed file with +57 and −9

modified README.md +57 −9

		`@@ -3,16 +3,58 @@ Author: Simon-Pierre Boucher`
3	3	Contact: contact@spboucher.ai
4	4	-->
5	5
	6	+<div align="center">
	7	+
6	8	# WP7 — The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction
7	9
8		−UQO Working Paper No. 7 · Simon-Pierre Boucher, Département des sciences administratives,
9		−Université du Québec en Outaouais.
	10	+Evidence from 3.8 Billion Option Contracts
	11	+
	12	+UQO Working Paper No. 7
	13	+
	14	+[![Author](https://img.shields.io/badge/author-Simon--Pierre_Boucher-1f6feb?style=flat-square)](mailto:contact@spboucher.ai)
	15	+[![Contact](https://img.shields.io/badge/contact-contact%40spboucher.ai-brightgreen?style=flat-square&logo=maildotru&logoColor=white)](mailto:contact@spboucher.ai)
	16	+[![Institution](https://img.shields.io/badge/UQO-Sciences_administratives-00457c?style=flat-square)](https://uqo.ca)
	17	+
	18	+[![Paper](https://img.shields.io/badge/paper-29_pages-b31b1b?style=flat-square&logo=latex&logoColor=white)](paper/main.pdf)
	19	+[![Build](https://img.shields.io/badge/latexmk-passing-success?style=flat-square)](paper/main.tex)
	20	+[![References](https://img.shields.io/badge/references-45_(BibTeX)-8250df?style=flat-square)](paper/references.bib)
	21	+[![Python](https://img.shields.io/badge/python-3.11%2B-3776ab?style=flat-square&logo=python&logoColor=white)](requirements.txt)
	22	+[![Reproduction](https://img.shields.io/badge/reproduction-verified_(28%2F28_files)-success?style=flat-square)](AUDIT.md)
	23	+[![Results](https://img.shields.io/badge/results-41_CSV_tables-informational?style=flat-square)](results/)
	24	+
	25	+Key findings
	26	+
	27	+![Contracts](https://img.shields.io/badge/option_contracts-3.83_B-0b3d91?style=for-the-badge)
	28	+![Sample](https://img.shields.io/badge/panel-264%2C383_ticker--days_·_69_tickers_·_2010--2025-0b3d91?style=for-the-badge)
	29	+
	30	+![Sharpe](https://img.shields.io/badge/kurtosis_L%2FS_Sharpe-2.33_(t%3D19.8)-success?style=for-the-badge)
	31	+![RV](https://img.shields.io/badge/HAR%2BIV_ΔR²_(1d_RV)-%2B23.3%25-success?style=for-the-badge)
	32	+![Granger](https://img.shields.io/badge/IV_→_RV_Granger-100%25_of_tickers_(F%3D62.4)-success?style=for-the-badge)
	33	+![FEVD](https://img.shields.io/badge/RV_FEVD_by_IV_shocks_@20d-73.8%25-success?style=for-the-badge)
	34	+![Placebo](https://img.shields.io/badge/placebo_R²-0.0008_vs_actual_0.053-blueviolet?style=for-the-badge)
	35	+
	36	+</div>
10	37
11		−Evidence from 3.83 billion option contracts (11,077 underlyings, 2010–2025) merged with 11.5
12		−billion intraday OHLCV observations. Five research questions: cross-sectional return
13		−predictability from implied moments (RQ1), realized-volatility forecasting with the IV surface
14		−vs HAR-RV (RQ2), implied-vs-realized correlation as a stress predictor (RQ3), Greeks information
15		−decay and price magnets (RQ4), and machine learning on the SPX surface vs the VIX (RQ5).
	38	+---
	39	+
	40	+## About
	41	+
	42	+Five research questions on the information content of equity option markets, answered with
	43	+3.83 billion option contracts (11,077 underlyings, 2010–2025) merged with 11.5 billion
	44	+intraday OHLCV observations:
	45	+
	46	+\| RQ \| Question \| Headline result \|
	47	+\|---\|---\|---\|
	48	+\| RQ1 \| Do implied moments predict cross-sectional returns? \| Weekly yes (R² 4.8–19.3%), daily no; kurtosis L/S Sharpe 2.33 \|
	49	+\| RQ2 \| IV surface vs GARCH/HAR-RV for RV forecasting? \| HAR+IV improves 1-day R² by +23.3%, robust in all 9 subperiods \|
	50	+\| RQ3 \| Implied−realized correlation → market stress? \| Correlation ratio predicts stress at 5–20d ($t$: 3.91–8.30) \|
	51	+\| RQ4 \| Greeks decay by DTE; max-OI "price magnets"? \| Info rises with DTE; magnet hypothesis rejected (47.0% < 50%) \|
	52	+\| RQ5 \| ML on the SPX surface vs the VIX? \| HAR-RV beats RF/GBM and VIX OOS; 2w ATM IV = 50.8% of importance \|
	53	+
	54	+## Author
	55	+
	56	+Simon-Pierre Boucher · Département des sciences administratives, Université du Québec en
	57	+Outaouais (UQO) · 📧 [contact@spboucher.ai](mailto:contact@spboucher.ai)
16	58
17	59	## Repository layout
18	60
		`@@ -35,7 +77,7 @@ wp7_uqo/`
35	77	├── paper/ LaTeX source: main.tex + preamble.tex + sections/ +
36	78	│ appendix/ + references.bib → main.pdf (29 pp.)
37	79	├── _verify/ reproduction evidence: rerun logs + CSV comparator
38		−└── _old/ byte-for-byte backup of the original project
	80	+└── _old/ local byte-for-byte backup of the original (untracked)
39	81	```
40	82
41	83	## Setup
		@@ -50,7 +92,7 @@ No installation of the `wp7` package is required — every script bootstraps
50	92	## Reproducing the results
51	93
52	94	```bash
53		−make pipeline # runs scripts 02–11 (skips raw-dependent steps gracefully)
	95	+make pipeline # runs scripts 02–13 (skips raw-dependent steps gracefully)
54	96	make figures # supplementary figures from the result CSVs
55	97	make paper # compiles paper/main.pdf with latexmk + bibtex
56	98	```
		@@ -98,3 +140,9 @@ in `AUDIT.md` §7 and `CHANGES.md`.
98	140	sensitivity, rank-based information coefficients, decile sorts, temporal
99	141	stability + placebo) backed by `scripts/13_extended_robustness.py`.
100	142	Build: `make paper` or `cd paper && latexmk`.
	143	+
	144	+---
	145	+
	146	+<div align="center">
	147	+<sub>© 2026 Simon-Pierre Boucher · <a href="mailto:contact@spboucher.ai">contact@spboucher.ai</a> · Université du Québec en Outaouais</sub>
	148	+</div>
101	149