R/Finance 2016: Applied Finance with R – May 20 & 21, Chicago, IL, USA

R/Finance 2016: Applied Finance with R – May 20 & 21, Chicago, IL, USA

Friday, May 20th, 2016
08:00 – 09:00 Optional Pre-Conference Tutorials
Ross Bennett: Feasible Space Analysis and Hierarchical Optimization with PortfolioAnalytics (html)
Dirk Eddelbuettel: Introduction to Rcpp and RcppArmadillo (pdf)
Doug Service: Leveraging Azure Compute from R
T. Harte + M. Weylandt: Modern Bayesian Tools for Time Series Analysis
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 – 10:20 Rishi Narang: Rage Against the Machine Learning (pptx)
10:20 – 10:50 Robert McDonald: The derivmkts package (pdf)
Piotr Orłowski: Modeling Divergence Swap Rates (pdf)
Jerzy Pawlowski: Exploring Higher Order Risk Premia Using High Frequency Data (pdf)
Majeed Simaan: The Implicit Value of Tracking the Market (pdf)
Kris Boudt: Block rearranging elements within matrix columns to minimize the variability of the row sums (pdf)
10:50 – 11:20 Break
11:20 – 11:40 Brian Boonstra: Calibrating Parsimonious Models Of Equity-Linked Default Intensity (pdf)
11:40 – 12:00 Matthew Ginley: Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation (pdf)
12:00 – 12:20 Klaus Spanderen: Calibration of the Heston Local Stochastic Volatility Model (pdf)
12:20 – 13:25 Lunch
13:25 – 14:05 Tarek Eldin: Random Pricing Errors and Systematic Returns: The Flaw in Fundamental Prices (pptx)
14:05 – 14:25 Sanjiv Das: An Index-Based Measure of Liquidity (pdf)
14:25 – 14:45 Ryan Hafen: Interactively Exploring Financial Trades in R
14:45 – 15:09 Nidhi Aggarwal: The causal impact of algorithmic trading on market quality (pdf)
Chirag Anand: Liquidity provision in a high-frequency environment (pdf)
Maria Belianina: OneTick and R (pptx)
Patrick Howerter: Connecting QAI to R (pdf)
15:09 – 15:40 Break
15:40 – 16:00 Marc Wildi: Monitoring the US Economy: a System of Timely (Real-Time Daily Mixed-Frequency) Indicators (pdf)
16:00 – 16:18 Sile Li: Constructing US Employment Google Search Index by Applying Principal Component Analysis (pdf)
Doug Martin: Information Ratio Maximizing Fundamental Factor Models (pdf)
Robert Franolic: Eyes on FX
16:18 – 16:58 Frank Diebold: Estimating Global Bank Network Connectedness (pdf)
16:58 – 17:04 Information about reception and dinner
17:04 – 19:04 Conference Reception
19:04 – 19:24 (Optional) Transfer to Conference Dinner
19:24 – (Optional) Conference Dinner (Riverside Room and Gallery at Trump Hotel)
Saturday, May 21st, 2016
08:00 – 09:00 Coffee/ Breakfast
09:00 – 09:05 Kickoff
09:05 – 09:35 Hsiu-lang Chen: Do Mutual Funds Exploit Information from Option Prices for Equity Investment? (pptx)
Kyle Balkissoon: A Practitioners analysis of the overnight effect (pdf)
Mark Bennett: Measuring Income Statement Sharpe Ratios using R (pdf)
Mark Bennett: Implementation of Value Strategies using R (pdf)
Matt Brigida: Community Finance Teaching Resources with R/Shiny (html)
09:35 – 09:55 Bernhard Pfaff: Portfolio Selection with Multiple Criteria Objectives (pdf)
09:55 – 10:15 Douglas Service: Quantitative Analysis of Dual Moving Average Indicators in Automated Trading Systems (pdf)
10:15 – 10:45 Marjan Wauters: Smart beta and portfolio insurance: A happy marriage? (pdf)
Michael Kapler: Tax Aware Backtest Framework (pdf)
Miller Zijie Zhu: Backtest Graphics (html)
Laura Vana: Portfolio Optimization Modeling (pdf)
Ilya Kipnis: Hypothesis Driven Development: An Understandable Example (pptx)
10:45 – 11:05 Break
11:05 – 11:25 Mark Seligman: Controlling for Monotonicity in Random Forest Regressors (pdf)
11:25 – 11:45 Michael Kane: glmnetlib: A Low-level Library for Regularized Regression (html)
11:45 – 12:05 Xiao Qiao: A Practitioner’s Defense of Return Predictability (pdf)
12:05 – 13:05 Lunch
13:05 – 13:45 Patrick Burns: Some Linguistics of Quantitative Finance
13:45 – 14:05 Eran Raviv: Forecast combinations in R using the ForecastCombinations package (pdf)
14:05 – 14:35 Kjell Konis: Comparing Fitted Factor Models with the fit.models Package (pdf)
Steven Pav: Madness: a package for Multivariate Automatic Differentiation (pdf)
Paul Teetor: Are You Trading Mean Reversion or Oscillation? (pdf)
Pedro Alexander: Portfolio Selection with Support Vector Regression (ppt)
Matthew Dixon: Seasonally-Adjusted Value-at-Risk (pdf)
14:35 – 15:05 Break
15:05 – 15:25 Bryan Lewis: R in Practice (html)
15:25 – 15:45 Matt Dziubinski: Getting the most out of Rcpp: High-Performance C++ in Practice (pdf)
15:45 – 15:57 Mario Annau: h5 – An Object Oriented Interface to HDF5 (pdf)
Dirk Eddelbuettel: Rblapi Revisited: One Year Later (pdf)
15:57 – 16:17 Jason Foster: Multi-Asset Principal Component Regression using RcppParallel (pdf)
16:17 – 16:37 Qiang Kou: Deep learning in R using MxNet (pdf)
16:37 – 16:49 Prizes and Feedback
16:49 – 16:54 Conclusion
16:54 – 17:04 Transition to Jak’s
17:04 – Post-conference Drinks at Jak’s Tap

Joseph Rickert: Some Impressions from R Finance 2016  (http://blog.revolutionanalytics.com/)

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