He barely mentiones R in that video, in only a few words. He mostly talks about HFT and even as an HFT guy says that HFT are often bad for the investor. Amazing isn't it.
He also mentions not being able to figure out information flow Options to Securities. Not sure how old this (edit, it's May 2012, very new) is but I've read one or two very interesting papers about how Options information can be used in reverse to price Securities. It's just that the statistical models required to measure the validity are not the same standard ones used in Securities > Options path.
Interesting vid anyway.
As for R, i'm not sure what you mean "for neural networks". They (or any other system or data mining or whatever) should give you data that you should know how to analyze if you know what you want. There isn't a standard "output" for neural networks or SVMs that would warrant a separate package. If there was, it would probably be very limiting due to the designer's idea of application, so it's probably a good thing there isn't one. R is all about using the broader toolset to work on your own models, not coerce you into models with assumptions that you might not agree with. Still, maybe I'm wrong, i use Matlab more often so i'm no expert on R.