R/Finance 2015: Applied Finance with R

R/Finance 2015: Applied Finance with R

(May 29 & 30, Chicago, IL, USA)

Friday, May 29th, 2015
08:00 – 09:00 Optional Pre-Conference Tutorials
Ross Bennett: PortfolioAnalytics: Advanced Moment Estimation & Optimization (pdf)
Kris Boudt: High-frequency Price Data Analysis in R
Dirk Eddelbuettel: Hands-on Introduction to Rcpp (pdf)
Guy Yollin: Getting Started with Quantstrat
Maria Belianina: An Introduction to OneTick
09:00 – 09:30 Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
Transition between seminars
09:30 – 09:35 Kickoff
09:35 – 09:40 Sponsor Introduction
09:40 – 10:30 Emanuel Derman: Understanding the World
10:30 – 10:54 John Burkett: Portfolio Optimization: Price Predictability, Utility Functions, Computational Methods, and Applications (pdf)
Kyle Balkissoon: A Framework for Integrating Portfolio-level Backtesting with Price and Quantity Information (html)
Anthoney Tsou: Implementation of Quality Minus Junk
Ilya Kipnis: Flexible Asset Allocation With Stepwise Correlation Rank (pptm)
10:54 – 11:20 Break
11:20 – 11:40 Sanjiv Das: Efficient Rebalancing of Taxable Portfolios (pdf)
11:40 – 12:00 Marjan Wauters: Characteristic-based equity portfolios: economic value and dynamic style allocation (pdf)
12:00 – 12:20 Bernhard Pfaff: The sequel of cccp: Solving cone constrained convex programs
12:20 – 13:40 Lunch
13:40 – 14:00 Markus Gesmann: Communicating risk – a perspective from an insurer (pdf)
14:00 – 14:20 Doug Martin: Nonparametric vs Parametric Shortfall: What are the Differences?
14:20 – 14:40 Matthew Dixon: Risk Decomposition for Fund Managers (pdf)
14:40 – 15:10 Rohit Arora: Inefficiency of Modified VaR and ES (pdf)
Mark Bennett: Gaussian Mixture Models for Extreme Events (pdf)
Steven Pav: Portfolio Cramer-Rao Bounds (why bad things happen to good quants) (pdf)
Majeed Simaan: Global Minimum Variance Portfolio: a Horse Race of Volatilities (pdf)
Rob Krzyzanowski: Building Better Credit Models through Deployable Analytics in R (pptx)
15:10 – 15:40 Break
15:40 – 16:00 Rohini Grover: The informational role of algorithmic traders in the option market (pdf)
16:00 – 16:20 Oleg Bondarenko: High-Frequency Trading Invariants for Equity Index Futures (pdf)
16:20 – 16:40 Matt Brigida: Markov Regime-Switching (and some State Space) Models in Energy Markets (pdf)
16:40 – 16:58 Jerzy Pawlowksi: Are High Frequency Traders Prudent and Temperate? (pdf)
Stephen Rush: Information Diffusion in Equity Markets (pdf)
Vincenzo Giordano: Quantifying the Risk and Price Impact of Energy Policy Events on Natural Gas Markets Using R (with Soumya Kalra) (pdf)
16:58 – 17:00 Information about reception and dinner
17:00 – 19:00 Conference Reception
19:00 – 19:20 (Optional) Transfer to Conference Dinner
19:20 – Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 30th, 2015
08:00 – 09:00 Coffee/ Breakfast
09:00 – 09:05 Kickoff
09:05 – 09:29 Yuanchu Dang: Credit Default Swaps with R (with Zijie Zhu) (html)
Dirk Eddelbuettel: Rblpapi: Connecting R to the data service that shall not be named (pdf)
Guy Yollin: Fundamental Factor Model DataBrowser using Tableau and R (pptx)
Matt Dowle: Fast automatic indexing with data.table (pdf)
09:29 – 09:49 Marius Hofert: Parallel and other simulations in R made easy: An end-to-end study (pdf)
09:49 – 10:09 Bryan Lewis: More thoughts on the SVD and Finance (html)
10:09 – 10:35 Break
10:35 – 10:55 Mark Seligman: The Arborist: a High-Performance Random Forest Implementation (pdf)
10:55 – 11:15 Hadley Wickham: Data ingest in R (pdf)
11:15 – 12:05 Louis Marascio: An Outsider’s Education in Quantitative Trading  (pdf)
12:05 – 13:25 Lunch
13:25 – 13:43 Matthew Clegg: The partialAR Package for Modeling Time Series with both Permanent and Transient Components (pdf)
Michael Kapler: Follow the Leader – the application of time-lag series analysis to discover leaders in S&P 500 (pdf)
Chris Green: Detecting Multivariate Financial Data Outliers using Calibrated Robust Mahalanobis Distances (pdf)
13:43 – 14:03 Eric Zivot: Price Discovery Share-An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds (pptx)
14:03 – 14:23 Nicholas James: Efficient Multivariate Analysis of Change Points (pdf)
14:23 – 14:43 William Nicholson: Structured Regularization for Large Vector Autoregression (pdf)
14:43 – 15:10 Break
15:10 – 16:00 Alexander McNeil: R Tools for Understanding Credit Risk Modelling  (pdf)
16:00 – 16:20 Sanjiv Das: Matrix Metrics: Network-Based Systemic Risk Scoring (pdf)
16:20 – 16:40 Gergely Daroczi: Network analysis of the Hungarian interbank lending market (pdf)
16:40 – 16:46 Kresimir Kalafatic: Financial network analysis using SWIFT and R (pdf)
16:46 – 16:55 Prizes and Feedback
16:55 – 17:00 Conclusion
17:00 – 17:10 Transition to Jak’s
17:10 – Post-conference Drinks at Jak’s Tap

Joseph Rickert: Some Impressions from R Finance 2015 (Nguồn: http://blog.revolutionanalytics.com/2015/06/r-finance-2015.html)


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