R/Finance 2017: Applied Finance with R – May 19-20, 2017

R/Finance 2017: Applied Finance with R – May 19-20, 2017

Friday, May 19th, 2017
08:00 – 09:00 Optional Pre-Conference Tutorials
Ross Bennett: PortfolioAnalytics Tutorial
Dirk Eddelbuettel: Rcpp: From Simple Examples to Machine learning (pdf)
R. Douglas Martin: Fundamental Factor Models in FactorAnalytics
M. Weylandt + T. Harte: Advanced Bayesian Time Series Analysis using Stan
09:00 – 09:30 Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
Transition between seminars
09:30 – 09:35 Kickoff (video)
09:35 – 09:40 Sponsor Introduction
09:40 – 10:10 Marcelo Perlin: GetHFData: An R package for downloading and aggregating high frequency trading data from Bovespa (pdf) (video)
Jeffrey Mazar: The obmodeling Package (html)
Yuting Tan: Return Volatility, Market Microstructure Noise, and Institutional Investors: Evidence from High Frequency Market (pdf)
Stephen Rush: Adverse Selection and Broker Execution (pdf)
Jerzy Pawlowski: How Can Machines Learn to Trade? (html)
10:10 – 10:30 Michael Hirsch: Revealing High-Frequency Trading Provisions of Liquidity with Visualization in R (html) (video)
10:30 – 10:50 Eric Glass: Equity Factor Portfolio Case Study (html) (video)
10:50 – 11:10 Break
11:10 – 11:30 Seoyoung Kim: Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News (pdf) (video)
11:30 – 12:10 Szilard Pafka: No-Bullshit Data Science (pdf) (video)
12:10 – 13:30 Lunch
13:30 – 14:00 Francesco Bianchi: Measuring Risk with Continuous Time Generalized Autoregressive Conditional Heteroscedasticity Models (pdf) (video)
Eina Ooka: Bunched Random Forest in Monte Carlo Risk Simulation (pdf)
Matteo Crimella: Operational Risk Stress Testing: An Empirical Comparison of Machine Learning Algorithms and Time Series Forecasting Methods (pdf)
Thomas Zakrzewski: Using R for Regulatory Stress Testing Modeling (pdf)
Andy Tang: How much structure is best? (pptx)
14:00 – 14:20 Robert McDonald: Ratings and Asset Allocation: An Experimental Analysis (pdf)
14:20 – 14:50 Break
14:50 – 15:10 Dries Cornilly: Nearest Comoment Estimation with Unobserved Factors and Linear Shrinkage (pdf) (video)
15:10 – 15:30 Bernhard Pfaff: R package: mcrp: Multiple criteria risk contribution optimization (pdf) (video)
15:30 – 16:00 Oliver Haynold: Practical Options Modeling with the sn Package, Fat Tails, and How to Avoid the Ultraviolet Catastrophe (pdf) (video)
Shuang Zhou: A Nonparametric Estimate of the Risk-Neutral Density and Its Applications (pdf)
Luis Damiano: A Quick Intro to Hidden Markov Models Applied to Stock Volatility
Oleg Bondarenko: Rearrangement Algorithm and Maximum Entropy (pdf)
Xin Chen: Risk and Performance Estimator Standard Errors for Serially Correlated Returns (pdf)
16:00 – 16:20 Qiang Kou: Text analysis using Apache MxNet (pdf) (video)
16:20 – 16:40 Robert Krzyzanowski: Syberia: A development framework for R (pdf) (video)
16:40 – 16:52 Matt Dancho: New Tools for Performing Financial Analysis Within the ‘Tidy’ Ecosystem (pptx) (video)
Leonardo Silvestri: ztsdb, a time-series DBMS for R users (pdf)
16:52 – 17:00 Information about reception and dinner
17:00 – 18:30 Conference Reception
18:30 – 19:00 (Optional) Transfer to Conference Dinner
19:00 – (Optional) Conference Dinner (Rooftop, Wyndham Hotel)
Saturday, May 20th, 2017
08:00 – 09:00 Coffee/ Breakfast
09:00 – 09:05 Kickoff
09:05 – 09:35 Stephen Bronder: Integrating Forecasting and Machine Learning in the mlr Framework (pdf) (video)
Leopoldo Catania: Generalized Autoregressive Score Models in R: The GAS Package (pdf)
Guanhao Feng: Regularizing Bayesian Predictive Regressions (pdf)
Jonas Rende: partialCI: An R package for the analysis of partially cointegrated time series (pdf)
Carson Sievert: Interactive visualization for multiple time series (pdf)
09:35 – 09:55 Emanuele Guidotti: yuimaGUI: A graphical user interface for the yuima package (pptx) (video)
09:55 – 10:15 Daniel Kowal: A Bayesian Multivariate Functional Dynamic Linear Model (pdf) (video)
10:15 – 10:45 Break
10:45 – 11:05 Jason Foster: Scenario Analysis of Risk Parity using RcppParallel (pdf) (video)
11:05 – 11:35 Michael Weylandt: Convex Optimization for High-Dimensional Portfolio Construction (pdf) (video)
Lukas Elmiger: Risk Parity Under Parameter Uncertainty (pdf)
Ilya Kipnis: Global Adaptive Asset Allocation, and the Possible End of Momentum (pptx)
Vyacheslav Arbuzov: Dividend strategy: towards the efficient market (pdf)
Nabil Bouamara: The Alpha and Beta of Equity Hedge UCITS Funds – Implications for Momentum Investing (pdf)
11:35 – 12:15 Dave DeMers: Risk Fast and Slow (pdf) (video)
12:15 – 13:35 Lunch
13:35 – 13:55 Matthew Dixon: MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models (pdf) (video)
13:55 – 14:15 Jonathan Regenstein: Reproducible Finance with R: A Global ETF Map (html) (video)
14:15 – 14:35 David Ardia: Markov-Switching GARCH Models in R: The MSGARCH Package (pdf) (video)
14:35 – 14:55 Keven Bluteau: Forecasting Performance of Markov-Switching GARCH Models: A Large-Scale Empirical Study (pdf) (video)
14:55 – 15:07 Riccardo Porreca: Efficient, Consistent and Flexible Credit Default Simulation (pdf) (video)
Maisa Aniceto: Machine Learning and the Analysis of Consumer Lending (pdf)
15:07 – 15:27 David Smith: Detecting Fraud at 1 Million Transactions per Second (pdf) (video)
15:27 – 15:50 Break
15:50 – 16:10 Thomas Harte: The PE package: Modeling private equity in the 21st century (pdf) (video)
16:10 – 16:30 Guanhao Feng: The Market for English Premier League (EPL) Odds (pdf) (video)
16:30 – 16:50 Bryan Lewis: Project and conquer (html) (video)
16:50 – 17:00 Prizes and Feedback
17:00 – 17:05 Conclusion
17:05 – 17:15 Transition to Jak’s
17:15 – 21:15 Post-conference Drinks at Jak’s Tap


Trả lời

Mời bạn điền thông tin vào ô dưới đây hoặc kích vào một biểu tượng để đăng nhập:

WordPress.com Logo

Bạn đang bình luận bằng tài khoản WordPress.com Đăng xuất /  Thay đổi )

Google+ photo

Bạn đang bình luận bằng tài khoản Google+ Đăng xuất /  Thay đổi )

Twitter picture

Bạn đang bình luận bằng tài khoản Twitter Đăng xuất /  Thay đổi )

Facebook photo

Bạn đang bình luận bằng tài khoản Facebook Đăng xuất /  Thay đổi )


Connecting to %s

%d bloggers like this: