predicting financial time series

What are the best tools (models within R) for use in predicting stock
market trading values? Currently I'm using the smooth.spline but are there

Interesting question.  Suppose an answer exists.  Would someone post it here?

The classical Chicago School answer is of course that you can't forecast
stock market prices "at large" or "that easily", at least not profitably
after transaction costs and once you adjusted for the risk level you have
are taking.  If you are a broker with minuscule transaction costs then maybe
you have something.  Then again, you don't really hear about successful
schemes for the obvious reasons.

Dirk

Good judgement comes from experience; experience comes from bad judgement. 
							    -- Fred Brooks
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