Table 2

List of variables included in ML algorithms with variable type and description

VariableTypeDescription
STRIKEContinuous quantitativeDaily strike price of American put options
PX_LAST_OPTIONContinuous quantitativeDaily price of American put options
PX_LAST_STOCKContinuous quantitativeDaily stock price
PX_VOLUME_STOCKDiscrete quantitativ5eDaily stock transaction volume
DIVIDEND_INDICATED_YIELDContinuous quantitativeIndicated dividend yield of a stock
USGOVT1YEAR_PX_LASTContinuous quantitativeDaily price of US Treasury bonds with annual maturity, used as an approximation of the risk-free rate
DAYS_UNTIL_MATURITYDiscrete quantitativeDays remaining until the expiration of American put options
MAX_PAYOFF_PER_OPTIONContinuous quantitativeMaximum profitability achieved by American put options
MAX_PAYOFF_PER_OPTION_DAYS_UNTIL_MATURITYDiscrete quantitativeDays remaining until the expiration of American put options when maximum profitability was achieved
VOLATILITY_1DContinuous quantitativeDaily stock volatility
VOLATILITY_STContinuous quantitativeDaily stock stochastic volatility

Source(s): Table by authors

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