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[FEAT] Add covariates - shorts, options, futures #36

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ivelin opened this issue Mar 29, 2024 · 0 comments
Open

[FEAT] Add covariates - shorts, options, futures #36

ivelin opened this issue Mar 29, 2024 · 0 comments

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@ivelin
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ivelin commented Mar 29, 2024

Is your feature request related to a problem? Please describe.
Shorts, options and futures carry original signal that is not entirely reflected in other market signals.

Describe the solution you'd like
Test impact of introducing these new covariates for a stock:

  • shorts interest, commitment of traders
  • options chain
  • futures

Additionally consider testing the impact of covariates the shorts, options and futures for broad market indexes.

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