Machine Learning on financial big data Disclaimer: although I know some things about big data and am currently learning some other things about machine learning, the specific area that I wish to study is vague, or at least appears vague to me now. I'll do my best to describe it, but this question could still be categorised as too vague or not really a question. Hopefully, I'll be able to reword it more precisely once I get a reaction.

So,

I have some experience with Hadoop and the Hadoop stack (gained via using CDH), and I'm reading a book about Mahout, which is a collection of machine learning libraries. I also think I know enough statistics to be able to comprehend the math behind the machine learning algorithms, and I have some experience with R.
My ultimate goal is making a setup that would make trading predictions and deal with financial data in real time.

I wonder if there're any materials that I can further read to help me understand ways of managing that problem; books, video tutorials and exercises with example datasets are all welcome.
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.