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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/'
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preprocess (all most the same except for dealing with input)
- option_preprocess.py
- option_preprocess_SPX.py
- option_preprocess_industry.py
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prediction
- spx_forecast.py
- spx_forecast_rnn.py
- stock_forecast.py
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models : folder core
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main.ipynb (middle results, plots, etc.)
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