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I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble Titman (1993) where we go long on the 30% top performing assets for a given horizon and short the 30% losing stocks.

So far I have found this resource (part 1-5): https://rbresearch.wordpress.com/2012/08/23/momentum-with-r-part-1/

Any good R specific finance books og other resources that might help?

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  • $\begingroup$ I have looked at all books. Although they not directly go into momentum trading, they present a lot of useful material. Thank you guys! $\endgroup$
    – V.kogn
    Oct 15, 2015 at 11:59
  • $\begingroup$ Great! Please up vote the answer you like (and optionally accept one as 'the answer', $\endgroup$
    – Bob Jansen
    Oct 15, 2015 at 12:28
  • $\begingroup$ Share the thesis when you finish! $\endgroup$
    – pyCthon
    Jan 16, 2016 at 19:11
  • $\begingroup$ Have a look at the Carhart four factor model. What's the research question? Are to trying to evidence momentum in the Norwegian market? In that case you're sample might be a bit small enough I wonder if all the data is available from 1980? It might be interesting to look at when momentum is profitable, and for what companies. See Barosso and Santa-Clara / Momentum has its moments. For implementing it in R I would stick to the standard method that sorts stocks in to deciles based on their momentum ranking as in the Carhart model $\endgroup$
    – Tim
    Jan 31, 2016 at 0:35

4 Answers 4

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Introduction to R for Quantitative Finance received a favorable review here: http://www.thertrader.com/category/book-review/

Besides finance-specific books, perhaps 'R Cookbook'?

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"The Art of R Programming (A Tour of Statistical Software Design)" by Norman Matloff. It has quite high marks on Amazon. Moreover, you can find a legal version of this book on the Internet.

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This book by Shumway and Stoffer (two Pitt Stats profs) is excellent IMO: Time Series Analysis and Its Applications: With R Examples (Springer Texts in Statistics): 9781441978646 http://www.amazon.com/Time-Series-Analysis-Its-Applications/dp/144197864X

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You got material about momentum, you got material about R ... usual definitions of momentum are not that difficult ... what are you looking for? A programmed back testing script? Go here and you find it all.

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