[R-SIG-Finance] R for Individual Stock Trading Analysis

[Brian G. Peterson]

jnoble1 at mmm.com wrote:
> Based on the discussion the past couple of months, it's obvious that this
> list is primarily geared towards serious quantitative finance and
> econometrics.  I was wondering about the activities of R users focusing on
> individual stock trading.  Obviously, one is capable with R of bring some
> highly sophisticated toolsets to the problems of trend and pattern
> recognition in time series (not to spark a debate on random walk vs.
> predictability, etc.).   Being a newbie to R, I was wondering if there are
> any blogs, papers, discussions, etc. geared towards someone who's
> technically inclined but beginning with R and wanting to perform individual
> equity analysis for trading purposes.

Jonathan,

You are correct that most of the posters on this list are professionals 
or academics in quantitative finance.  I suspect that this list would 
still be useful for the beginner interested in these topics, but 
probably not a great place to ask completely uninformed questions.

For general R help questions, the R-help list has a lot of new R users 
on it, and straightforward trend and factor analysis questions would not 
be out of place there (or here, if asked correctly, see below).

Several of the packages developed by the professionals on this list will 
probably enter into your toolkit at some point.  Packages like 
portfolio, quantmod, PerformanceAnalytics, RMetrics, etc. will have 
already implemented a wide array of techniques that you will see used 
for systematic equity analysis and trading.

If you haven't already seen it, take a look at the Empirical Finance 
Task View here:

http://cran.r-project.org/web/views/Finance.html

for an overview of some of the packages that you may find useful.

If you're looking for a good book on quantitative finance that covers a 
lot of the theoretical underpinnings without getting lost in the math of 
the advanced techniques, I recommend picking up a copy of

Statistics and Finance: An Introduction
by David Ruppert
http://www.amazon.com/Statistics-Finance-Introduction-David-Ruppert/dp/0387202706

R code for all of his examples is available online.

To maximize your benefit from this list, and the signal-to-noise ratio 
for the long-term list members, try to ask very specific questions with 
your test code to back them up.

I recommend reading the R project list posting guide here:

http://www.r-project.org/posting-guide.html

and "How to ask questions the smart way." here:

http://www.catb.org/~esr/faqs/smart-questions.html

Generally, clearly describing what you're trying to do, what you've 
tried to get there, links to any relevant papers or books, and some 
sample code and data will help the members of R-help or this list 
respond to your question in the least possible time (for us) with the 
best possible answer (for you).

Regards,

   - Brian