In this tutorial I am going to share my R&D and trading experience using the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a lot written about these models, however, I strongly recommend Introductory Time Series with R, which I find is a perfect combination between light theoretical background and practical implementations in R. Another good reading is the online e-book Forecasting: principles and practice written by Rob Hyndman, an expert in statistical forecasting and the author of the excellent forecast R package.
This web site is the next incarnation of the The Average Investor blog. Currently the new web site is the same as the old, just a blog. However, I have a few new features in mind that I have been working on over the past few months. So, enjoy and stay tuned!