In barryquinn1/ATI: Algorithmic Trading and Investment

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Algorithmic trading and investment

The goal of ati is to learning about the emerging field of financial machine learning and its application to algorithmic trading and investment.

This package contains templates for reports, and functions and workshops using in Algorithmic trading and investment) taught by Barry Quinn inb Queen's Management School.

Installation

Install/or reinstall the package from GitHub using the following.

remove.packages('ati')
.rs.restartR()
remotes::install_github("barryquinn1/ati")

Example

This is a basic example which shows you how to solve a common problem:

library(ati)
library(tidyverse)
## basic example code
ati::daily_factors %>% summary()

Function test

?ati::estRMT()

Tutorials

The tutorials can be run on a local machine only. You can start the tutorials in one of two ways. First, in RStudio 1.3 or later, you will find the ATI tutorials listed in the "Tutorial" tab in the top-right pane (by default). Find a tutorial and click "Run Tutorial" to get started. Second, you can run any tutorial from the R console by typing the following line:

learnr::run_tutorial("Workshop2","ati")

This should bring up a tutorial in your default web browser. You can see the full list of tutorials by running:

learnr::run_tutorial(package = "ati")

Critical Essay

This package also includes a RMarkdown template for use in the critical essay assessment. Go to File>New>R Markdown... and choose from From Template then Report.

Datasets

FTSE 350 data

The package includes point in time FTSE350 data from 2016-2020, downloaded from Refinitiv Datastream for teaching purposes only. The data has been used to create two return series 1. A point in time Top 25 by average market value returns series 2. A current Top 30 by market capitalisation returns series

ati::ftse350
ati::ftse30_returns_mthly
ati::ftse25_rtns_mthly

Daily uk asset pricing risk factors

These are created by Essex university business school and downloaded from UK Data Service API.

ati::daily_factors"

barryquinn1/ATI documentation built on May 10, 2021, 10:47 a.m.