HedgeWithSentiment

• Data

  • option data: OptionMetrics from WRDS
  • stock price data : CRSP from WRDS (not ajusted) or from yahoo finance (yfinance package)
  • It was put outside the code folder. eg. './data/'

• preprocess (all most the same except for dealing with input)

  • option_preprocess.py
  • option_preprocess_SPX.py
  • option_preprocess_industry.py

• prediction

  • spx_forecast.py
  • spx_forecast_rnn.py
  • stock_forecast.py

• models : folder core

• main.ipynb (middle results, plots, etc.)