Machine Learning on financial big data
There are tons of materials on financial (big) data analysis that you can read and peruse. I'm not an expert in finance, but am curious about the field, especially in the context of data science and R. Therefore, the following are selected relevant resource suggestions that I have for you. I hope that they will be useful.

Books: Financial analysis (general / non-R)


Statistics and Finance: An Introduction;
Statistical Models and Methods for Financial Markets.


Books: Machine Learning in Finance


Machine Learning for Financial Engineering (!) - seems to be an edited collection of papers;
Neural Networks in Finance: Gaining Predictive Edge in the Market.


Books: Financial analysis with R


Statistical Analysis of Financial Data in R;
Statistics and Data Analysis for Financial Engineering;
Financial Risk Modelling and Portfolio Optimization with R
Statistics of Financial Markets: An Introduction (code in R and MATLAB).


Academic Journals


Algorithmic Finance (open access)


Web sites


RMetrics
Quantitative Finance on StackExchange


R Packages


the above-mentioned RMetrics site (see this page for general description);
CRAN Task Views, including Finance, Econometrics and several other Task Views.


Competitions


MODELOFF (The Financial Modeling World Championships)


Educational Programs


MS in Financial Engineering - Columbia University;
Computational Finance - Hong Kong University.


Blogs (Finance/R)


Timely Portfolio;
Systematic Investor;
Money-making Mankind.