Replication Code and Data for: "Option Return Predictability with Machine Learning and Big Data"

The files contain replication codes that generate the tables and figures in our paper "Option Return Predictability with Machine Learning and Big Data" and our internet appendix. As not all data is publicly available, we provide pseudo-observations of the respective datasets to understand the structure of the data and code.

本文件包含复现代码，可用于生成我们的论文《基于机器学习（Machine Learning）与大数据（Big Data）的期权收益可预测性》以及互联网附录中的全部表格与图表。由于并非所有原始数据均可公开获取，我们提供了对应数据集的伪观测值，以帮助使用者理解数据与代码的结构。