ESG News (MarketPsych) to Stock Volatility Prediction

Guide to utilise the repository

Experimentation Notebook Flow:

1. Pull the ESG Data (Internal API and Library)

1-ESG Scores Collection.ipynb

2. Pull the OHLC Price Data (Internal API and Library)

1.1-Price Collection.ipynb (FTSE100 Constituents) 1.1-Price Index Collection.ipynb (FTSE100 Index)

3. Check the "Robustness" of the OHLC Price Data

1.1.2-Price_Robustness_v2.ipynb

4. Calculate the Yang-Zhang Volatility

1.2-Volatility-Calculation_v3.ipynb

5. Merge Data ESG and Volatility Data

1.3.1-Merge-Fillna-Data.ipynb

6. Train - Hyperparameter Tune - Test of HAR, ElasticNet

3.1.6-EN-Hyperparameter-Tuning-and-Test.ipynb 3.1.6-all_model_new_data.ipynb

6. Training and Tuning LSTM

3.1.5-LSTM.ipynb

7. Paper's Presentation

Presentation.ipynb

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