R have many packages to apply SVM or KNN. See:

http://cran.r-project.org/web/packages/e1071/vignettes/svmdoc.pdf
http://www.jstatsoft.org/v15/i09/paper
http://www.springer.com/statistics/physical+%26+information+science/book/978-1-4419-9889-7
http://www.springer.com/new+%26+forthcoming+titles+%28default%29?SGWID=10-40356-404-173624787-6991

On 22 August 2011 09:14, Brian G. Peterson <brian@braverock.com> wrote:

> On Mon, 2011-08-22 at 10:11 +0200, Gentil Homme wrote:
> > I just send out this post in order to share within r-sig-finance any
> > possible experience, advice, ... about NNs or SVMs with R.
>
> It seems that you're asking us to share with you, and not sharing much
> yourself in return.
>
> Perhaps you could answer your own questions in this thread with the
> things you are trying?
>
> SVM's have been discussed on this list many times, please search the
> list archives.
>
> This blog has covered this topic:
> http://www.aphysicistinwallstreet.com/
>
> Also, there are a few books on machine learning that use R.
>
> > Several good records have been published in the litterature using these
> > techniques for financial trading strategies.
>
> Which ones? References?
>
> > There are also commercial packages (expensive !) which seem to have
> achieved
> > good results.
>
> Which packages?  References again?
>
> Note that neural network strategies are very likely to create look-ahead
> bias as you develop and test them.  You try something, fail, and try
> again on the same data.  Unless you are very careful to reserve a 'pure'
> set of instruments and dates that you won't *ever* touch until you think
> you have a 'good' machine learning system, you're at pretty serious risk
> of introducing your look-ahead knowledge into the system.  While this is
> true to one degree or another in any quantitative strategy development,
> I think it is a particular risk in self-adaptive machine learning
> methodologies.
>
>
> > So I feel it could be nice to share within this group about the following
> > subjects :
> >
> > - experience using the R packages
> > - data pre-processing before feeding the NNs (technical indicators,
> > wavelets, EMDs, ....)
> > - which type of NNs are suitable
> > - how to build and train them
> > - etc ...
> >
> > Thanks to all for sharing within the R community
>
> Now, your turn.  Bring the community up to date with your research so
> far.
>
> Regards,
>
>   - Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
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>



-- 
José Fernando Moreno Gutiérrez
Estudiante de Economía
Facultad de Ciencias Económicas
Universidad Nacional de Colombia

“Aún haciendo a un lado la inestabilidad debida a la especulación, está
aquella que resulta de las características de la naturaleza humana”.
JMK...TG

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