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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 · Aug 6, 2026 parent c54a8e2
1 changed file +57 −9 Browse files
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modified README.md +57 −9
@@ -3,16 +3,58 @@ Author: Simon-Pierre Boucher
3 Contact: contact@spboucher.ai 3 Contact: contact@spboucher.ai
4 --> 4 -->
5 5
6+<div align="center">
7+
6 # WP7 — The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction 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, 10+**Evidence from 3.8 Billion Option Contracts**
9−Université du Québec en Outaouais. 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 38+---
12−billion intraday OHLCV observations. Five research questions: cross-sectional return 39+
13−predictability from implied moments (RQ1), realized-volatility forecasting with the IV surface 40+## About
14−vs HAR-RV (RQ2), implied-vs-realized correlation as a stress predictor (RQ3), Greeks information 41+
15−decay and price magnets (RQ4), and machine learning on the SPX surface vs the VIX (RQ5). 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 ## Repository layout 59 ## Repository layout
18 60
@@ -35,7 +77,7 @@ wp7_uqo/
35 ├── paper/ LaTeX source: main.tex + preamble.tex + sections/ + 77 ├── paper/ LaTeX source: main.tex + preamble.tex + sections/ +
36 │ appendix/ + references.bib → main.pdf (29 pp.) 78 │ appendix/ + references.bib → main.pdf (29 pp.)
37 ├── _verify/ reproduction evidence: rerun logs + CSV comparator 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 ## Setup 83 ## Setup
@@ -50,7 +92,7 @@ No installation of the `wp7` package is required — every script bootstraps
50 ## Reproducing the results 92 ## Reproducing the results
51 93
52 ```bash 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 make figures # supplementary figures from the result CSVs 96 make figures # supplementary figures from the result CSVs
55 make paper # compiles paper/main.pdf with latexmk + bibtex 97 make paper # compiles paper/main.pdf with latexmk + bibtex
56 ``` 98 ```
@@ -98,3 +140,9 @@ in `AUDIT.md` §7 and `CHANGES.md`.
98 sensitivity, rank-based information coefficients, decile sorts, temporal 140 sensitivity, rank-based information coefficients, decile sorts, temporal
99 stability + placebo) backed by `scripts/13_extended_robustness.py`. 141 stability + placebo) backed by `scripts/13_extended_robustness.py`.
100 Build: `make paper` or `cd paper && latexmk`. 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
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