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

[Kostas Evangelinos]

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:

http://www.ntusgxcfe.ntu.edu.sg/images/Algorithmic%20Trading%20Course%20Module%201%20Brochure.pdf
http://www.ntusgxcfe.ntu.edu.sg/NTUSGXedm/may2011/Algorithmic%20Trading%20Course%20Module%202%20brochure.pdf

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:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461

There's a clear implementation of this strategy on Joshua's blog:
http://blog.fosstrading.com/2009/11/tactical-asset-allocation-using-blotter.html

And more generally, using R and quantmod/xts/PerformanceAnalytics:
http://blog.fosstrading.com/2011/03/how-to-backtest-strategy-in-r.html

Finally, NSE have wonderfully archived end of day data here:
http://www.nse-india.com/archives/archives.htm

best,
Kostas