what I've learned so far is that econometrics are not usefull for short-term prediction (forget ARMA etc.), but Matlab is the way to go if you want to gain an edge, if you have all toolboxes and a good theoretical background it's a lot of fun.
Nonlinear methods (like NN, SOM's,...) are great, but don't try to predict anything: I think it's a bridge too far for today's technology, but prediction is not necessary: you are perfectly model the final bar of a timeseries in function of the past bars to see if you are close to a relative extreme value or not.
But the learning curve is not steep. I lost track of how much I spent on amazon for books filled with greek-letter-financial-math
