[R-SIG-Finance] what should I be reading?

[Gower, Luke]

I was not quite sure what specific problems interest you - whether options pricing, stat arb - or whatever. So I'm going to suggest something general: Ruey Tsay's book, Analysis of Financial Time Series'. Apart from covering a wide spread of topics, this is written with an S-Plus user in mind, so the analogy with R is close. In fact, I think there might even be a CRAN R package that translates the book's examples into R.

Another one that is seriously worth a look is 'Introduction to Wavelets and Other Filtering Methods in Economics and Finance', by Whitcher et al. The book is available in one of the R packages on wavelets. Quite a few of the examples relate to FX.


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Aleks Clark
Sent: Thursday, 1 October 2009 12:25 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] what should I be reading?

Hey List,

I'm pretty new at this whole computational finance thing, and am
looking for some reading recommendations. I am currently working on
automated forex trading using SVMs, but looking over the Finance and
Econometrics tasks in CRAN, I realize I don't understand 70% of the
/summaries/ of what those packages do.

the question is:

What kind of reading would be suitable for someone starting out with
economic models? I realize there's not going to be much out there
specifically aimed at forex, but I'd think there'd be some R-focused
material dealing with modeling of other financial markets. I've got a
pretty good grasp of how SVMs behave and work, and a somewhat lesser
understanding of neural nets, but the caret package has a profusion of
other modelling techniques that beckon to me! And I don't know much
about any of them, or if any of them will actually suit my purposes,
so any reading recommendations would be appreciated :)

Thanks,

-- 
Aleks Clark

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