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%
-
WP7: restructured repository, verified reproduction, paper revision 1.1
…
Restructure of hf-wp7-spb20260519 (original preserved locally in _old/, untracked): analysis library src/wp7, numbered pipeline scripts 01-13, processed data, 41 result tables, supplementary figures, and the LaTeX working paper (main + preamble + sections + BibTeX, 29 pp., builds clean). - Reproduction verified against the original archive: 10 files byte-identical, 15 equal to FP noise, 1 explained deviation (RQ3 collinearity), 2 missing files regenerated (see AUDIT.md). - Revision 1.1 adds extended robustness analyses (winsorization/NW-lag sensitivity, Spearman ICs, decile sorts, leave-one-year-out, placebo) and 8 references (see CHANGES.md). - data/processed/ is the sole surviving copy of the derived data; the raw DuckDB stores no longer exist (AUDIT.md 6.1). Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>