feat: add cross-asset volatility metric (#111)

Author: C00ldudeNoonan

.sqlfluff

@@ -4,7 +4,7 @@ templater = dbt
 # Allow longer lines for complex SQL (default is 80)
 max_line_length = 120
 ignore = parsing
-exclude_rules = RF02, RF03, RF04, CP01, AL01, ST01, ST02, ST06, LT02, LT03, LT05, LT08, LT09, LT14, AM03
+exclude_rules = RF01, RF02, RF03, RF04, CP01, CP02, CP03, CP04, CP05, AL01, ST01, ST02, ST03, ST06, LT02, LT03, LT05, LT08, LT09, LT14, AM03
 
 [sqlfluff:templater:dbt]
 project_dir = dbt_project

dbt_project/dbt_project.yml

@@ -25,9 +25,6 @@ models:
     staging:
       +schema: economics_staging
       +materialized: view
-    analytics:
-      +schema: economics_marts
-      +materialized: table
     markets:
       +schema: economics_marts
       +materialized: table

dbt_project/models/analysis/market_economic_analysis.sql

@@ -15,7 +15,7 @@ WITH economic_data AS (
         data_source AS economic_data_source,
         -- Create month_date for joining
         CASE
-            WHEN REGEXP_CONTAINS(year_month, r'^\d{4}-\d{1,2}$')
+            WHEN REGEXP_CONTAINS(year_month, '^\\d{4}-\\d{1,2}$')
                 THEN
                     DATE(
                         CAST(SPLIT(year_month, '-')[OFFSET(0)] AS INT64),

dbt_project/models/markets/nasdaq_companies_summary.sql

@@ -1,4 +1,3 @@
-
 WITH base_data AS (
     SELECT
         symbol,

dbt_project/models/markets/sp500_companies_summary.sql

@@ -1,4 +1,3 @@
-
 WITH base_data AS (
     SELECT
         symbol,

dbt_project/models/staging/corporate_actions.sql

@@ -77,7 +77,7 @@ splits_api_adjusted AS (
             FROM {{ ref('stg_sp500_companies_prices') }}
         ) AS p
             ON sa.symbol = p.symbol
-            AND p.date < sa.date
+            AND sa.date > p.date
     )
     WHERE prior_price_rank = 1
 ),