[R-SIG-Finance] New to Quantitative Modeling (Looking for starting resources/suggestions)

Kostas Evangelinos 20977 at gaffa.net
Wed Jun 1 03:26:44 CEST 2011

Hi Harsh,

On Tue, May 31, 2011 at 02:30:53PM +0530, Harsh wrote:
| Are there introductory resources that would allow me to get started in
| a small way and work my way towards the more complex ideas ? I
| primarily use R and what I want to do is to get familiar with the
| jargon (betas, alphas and such) of quantitative modeling for the stock
| market.
| My intention is to model daily data and make predictions on which I
| can trade for profit (but of course!).

In regards to getting acquainted with the jargon, I'd suggest taking a
look at online syllabi from various academic institutions as a starting
point. For example, NTU-SGX:


Assuming you'd want to follow a hands on approach to start with, you can
take a look at say Mebane Faber's Tactical Asset Allocation:

There's a clear implementation of this strategy on Joshua's blog:

And more generally, using R and quantmod/xts/PerformanceAnalytics:

Finally, NSE have wonderfully archived end of day data here:


More information about the R-SIG-Finance mailing list