Hi R Finance Users, At the outset, please pardon my vague query to this list. I have a few years of experience in the Predictive Modeling space having primarily worked in the Business applications industry (Market Mix Modeling, Customer Profiling and the like). I would like to get involved with quantitative modeling for equity and derivatives (target market would be the National Stock Exchange (NSE) in India) 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!). If this question has been asked before, then I apologize for re-posting. Looking forward to your response. Regards, Harsh Singhal Bangalore, India
New to Quantitative Modeling (Looking for starting resources/suggestions)
6 messages · Harsh, Sarbo, msalese +2 more
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Hi Sarbo, Thank you for your prompt response. Really appreciate it. I had earlier looked at Tsay's book on Financial Time Series Analysis http://faculty.chicagobooth.edu/ruey.tsay/teaching/ but found it a bit heavy on math than I wanted at that time. My very near-term requirement is to create simplistic models that would allow me to generate buy/sell signals which I could leverage to take a market position. I understand I cannot (and should not) be asking for trading strategies but are there ways to develop some 'intuitions' that could allow me to hypothesize and test trading strategies? Some mental navigational aides ? Regards, Harsh
On Tue, May 31, 2011 at 3:13 PM, Sarbo <cmdr_rogue at hotmail.com> wrote:
Harsh, The best introductory resource I know of is Hull's book, Options, Futures, & Other Derivatives. Other very good volumes exist for specialised applications- Fabozzi's book is indispensable for fixed income markets, for instance, while Wilmott's 3-volume set contains pretty much everything you need to know about equities and fixed income, and other things besides. On Tue, 2011-05-31 at 14:30 +0530, Harsh wrote: Hi R Finance Users, At the outset, please pardon my vague query to this list. I have a few years of experience in the Predictive Modeling space having primarily worked in the Business applications industry (Market Mix Modeling, Customer Profiling and the like). I would like to get involved with quantitative modeling for equity and derivatives (target market would be the National Stock Exchange (NSE) in India) 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!). If this question has been asked before, then I apologize for re-posting. Looking forward to your response. Regards, Harsh Singhal Bangalore, India
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
May be this books can help you: Statistics and Data Analysis for Financial Engineering (Springer Texts in Statistics) David Ruppert Option Pricing and Estimation of Financial Models with R Stefano M. Iacus Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab (The Wiley Finance Series) Jon Danielsson Time Series: Applications to Finance with R and S-Plus(R) (Wiley Series in Probability and Statistics) Ngai Hang Chan All of that are with R code samples, but the last one teaches you how to test a pair trading strategy (built with coitegration) -- View this message in context: http://r.789695.n4.nabble.com/New-to-Quantitative-Modeling-Looking-for-starting-resources-suggestions-tp3562593p3562721.html Sent from the Rmetrics mailing list archive at Nabble.com.
I dont agree with Sarbo in saying Hull is any 'introductory book!' This book is quite advanced and very thorough. However what I would say with that is, the information flow in this book in really fantastic and the way of explanation and lot of numerical examples make this book and advanced topics very very readable. Because it is very readable (at least compared to other related), many people term it as Introductory! Thanks, and regards, -- View this message in context: http://r.789695.n4.nabble.com/New-to-Quantitative-Modeling-Looking-for-starting-resources-suggestions-tp3562593p3562727.html Sent from the Rmetrics mailing list archive at Nabble.com.
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