Alt Data/metadata/research_notes.md

Quant Research Notes

This note explains why the supplementary data in Alt Data was added and which papers or official data sources motivated it.

What was added

• Alt Data/options/raw/
  • Original NIFTY and BANKNIFTY daily option-chain data moved out of the root folder.
• Alt Data/options/processed/
  • Daily option features such as put-call ratios, open-interest changes, OI-weighted strikes, near-expiry ATM fields, and ATM straddle proxies.
• Alt Data/external/raw/fred/
  • Daily external macro and cross-market series from FRED.
• Alt Data/external/processed/external_daily_panel.csv
  • Aligned external panel with level, change, and return-style features where appropriate.
• Alt Data/institutional/raw/
  • Daily institutional cash and F&O flow extracts plus NSE participant-wise derivatives archives.
• Alt Data/institutional/processed/institutional_daily_panel.csv
  • Daily FII/DII cash buy-sell, index futures positioning, and index options positioning features.

Why these data types matter

• Options open interest and option-chain structure:
  • Forward-looking positioning often shows up in put/call OI, OI changes, and near-expiry ATM behavior.
• Institutional flow and participant positioning:
  • FII and DII cash flows capture who supplied or absorbed equity risk each day, while participant-wise index futures and index options positioning exposes directional buildup and hedge pressure.
• Implied or volatility-linked information:
  • Volatility-sensitive features help both return and realized-volatility modeling.
• Macro and financial conditions:
  • Rates, dollar strength, FX, and energy prices often improve regime detection and market-state modeling.
• Global equity spillovers:
  • U.S. and Asia index moves commonly feed into next-session Indian index behavior.

Papers used to guide the additions

1. Implied Volatility-Augmented GARCH Models: Evidence from the Indian Equity Market

   • SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5586330
   • Why it matters: motivates volatility-linked option information for NIFTY research.

2. On options-driven realized volatility forecasting: Information gains via rough volatility model

   • arXiv: https://arxiv.org/abs/2604.02743
   • Why it matters: supports combining realized-volatility features with option-derived signals.

3. Nifty Index Options: Open Interest Analysis of Options Chain

   • DOI mirror / metadata page: https://www.researchgate.net/publication/355301566_Nifty_Index_Options_Open_Interest_Analysis_of_Options_Chain
   • Why it matters: supports retaining and engineering option-chain open-interest information for NIFTY.

4. Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables

   • SSRN PDF landing page: https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID3768866_code2747161.pdf?abstractid=3339603&mirid=1&type=2
   • Why it matters: supports combining technical features with macro variables rather than using price history alone.

5. Stock prices and Macroeconomic indicators: Investigating a correlation in Indian context

   • arXiv: https://arxiv.org/abs/2112.08071
   • Why it matters: supports adding exchange-rate, oil, gold, and rate-style macro context in Indian-market research.

Official data sources used

• FRED S&P 500: https://fred.stlouisfed.org/series/SP500
• FRED NASDAQ Composite: https://fred.stlouisfed.org/series/NASDAQCOM
• FRED Dow Jones Industrial Average: https://fred.stlouisfed.org/series/DJIA
• FRED Nikkei 225: https://fred.stlouisfed.org/series/NIKKEI225
• FRED 10-Year Treasury Yield: https://fred.stlouisfed.org/series/DGS10
• FRED Effective Federal Funds Rate: https://fred.stlouisfed.org/series/FEDFUNDS
• FRED Indian Rupees to One U.S. Dollar: https://fred.stlouisfed.org/series/DEXINUS
• FRED Europe Brent Spot Price FOB: https://fred.stlouisfed.org/series/DCOILBRENTEU
• FRED CBOE VIX: https://fred.stlouisfed.org/series/VIXCLS
• FRED Broad U.S. Dollar Index: https://fred.stlouisfed.org/series/DTWEXBGS
• NSE participant-wise open interest archive: https://archives.nseindia.com/content/nsccl/fao_participant_oi_01012024.csv
• NSE participant-wise trading volume archive: https://archives.nseindia.com/content/nsccl/fao_participant_vol_01012024.csv
• NSE FII/DII report landing page: https://www.nseindia.com/reports/fii-dii?segment=capital-market
• Moneycontrol cash activity page: https://www.moneycontrol.com/markets/fii-dii-data/cash/
• Moneycontrol F&O activity page: https://www.moneycontrol.com/markets/fii-dii-data/futures-and-options/

Practical use

• Start with Data/processed/panels/daily_master_panel.csv for daily modeling.
• Use Data/processed/features/<timeframe>/ for single-asset intraday experiments.
• Join Alt Data/options/processed/*.csv into targeted option-flow studies when you want option-led predictors.
• Join Alt Data/institutional/processed/institutional_daily_panel.csv when you want daily institutional flow and positioning context.