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

[Harsh]

Thank you Kostas for the great links.

On Wed, Jun 1, 2011 at 6:56 AM, Kostas Evangelinos <20977 at gaffa.net> wrote:
> 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
>



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