Upload Alt Data/metadata/research_notes.md

Alt Data/metadata/research_notes.md

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+# 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.