In barryquinn1/ati: Algorithmic Trading and Investment

knitr::opts_chunk$set(echo = TRUE)
library(entropy) 
library(tidyverse)
library(ati) # to access the pre-defined functions below
## Total word count should be 1500 words excluding references
## When you knitr the document the references should automatically populate at the end of the document

Instructions to use this template

1. Update the author and title fields in the above YAML section.
2. Edit the refs.bib file to include any extra references you have.
3. Click Knit to see what the output will look like 4 . Save the .Rmd file using the naming convention specified in class

Introduction

This should be introduce the statement to be critiqued in the context of modern financial research practices.

Critical literature

Use high-quality literature to illustrate the pros and cons of the argument.

Some examples of how to use the .bib to add references In line @Jensen2021 renders as Jensen (2021) And [@Jensen] renders as (Jensen 2021)

Experimental evidence

Simulate some data to illustrate how FML can reveal results where traditional econometrics fail OR vice versa. You are free to use the lecture material as a starting point here. For example

# package which will do much of the heavy lifting
set.seed(1234) # set seed for random number generation
size=1000
df<-tibble(x=rnorm(size),y=0*x+rnorm(size))
bXY=numBins(nrow(df), corr=cor(df)[1,2])
y2D=discretize2d(df$x,df$y,numBins1 = bXY,numBins2 = bXY)
Hx=entropy(rowSums(y2D))
Hy=entropy(colSums(y2D))
nmi=mi.empirical(y2D)/min(Hx,Hy)
cor(df)[1,2]->cor_coef

# use ggplot2 hist2d geom to extract
ggplot(df,aes(x=x,y=y)) + 
  geom_point() + 
  labs(title = "y= 0x + e") + 
  annotate("text",label=paste0("nmi=",round(nmi,4)),x=-2.5,y=3) +
  annotate("text",label=paste0("cor_coef=",round(cor_coef,4)),x=-2.5,y=2.5)

Your conclusions

Summarise and state your critical assessment using any evidence you have provided in the previous sections.

Reference

This is where the citied references should appear when you render the document to a pdf

barryquinn1/ati documentation built on May 9, 2021, 2:53 p.m.