Does recent options trading help forecast how much a stock will move in the next fifteen minutes? Six U.S. stocks, two years of intraday data, chronological evaluation under rules written before the calculation. Option prices help both models; order flow adds a small gain in the linear model only. Prospective replication pending.
options reproducible-research quantitative-finance preregistration implied-volatility market-microstructure point-in-time options-trading realized-volatility volatility-forecasting walk-forward-validation options-order-flow intraday-realized-variance qlike prospective-replication
-
Updated
Sep 9, 2026 - Python