Regime-Aware Volatility Forecasting (S&P 500) from EDGAR + Earnings Calls
Feb 2026 to Present · Charlottesville, VA
- Forecasting next-day realized volatility (risk, not returns) from open-licensed daily S&P 500 OHLC history (1927–2020), using OHLC-derived targets and robust lagged baselines.
- Ingesting and timestamp-aligning all major EDGAR filings (including 8-K for higher-frequency events) and earnings call transcripts; emphasizing domain-specific, context-aware sentiment/aspect signals over generic polarity.
- Training a regime-aware Temporal Fusion Transformer-style forecaster (regime indicators / mixture-of-experts) and benchmarking against HAR-RV and price-only baselines, with attribution back to specific disclosures and event windows.
Repo stays private until there is a proposal + baseline results (or an MVP).

