R/Finance 2018

June 1 and 2, 2018


Applied Finance with R

From the inaugural conference in 2009, the annual R/Finance conference in Chicago has become the primary meeting for academics and practioners interested in using R in Finance.

Participants from academia and industry mingle for two days to exchange ideas about current research, best practices and applications. A single-track program permits continued focus on a series of refereed submissions. A lively social program rounds out the event.

We are looking forward to another exciting event in Chicago on June 1 and 2, 2018.

Registration is now open. We expect the program to be finalized very soon.


From renowned industry practioners to key R developers to leading academics, the conference has consistently featured keynote speakers who engaged the audience -- more details at the Program tab.
Pre-conference workshops offer an opportunity for a longer, more in-depth presentation by key presenters.
The conference itself consists of reviewed full-length presentations as well as a number of shorter, highly-energetic lightning talks.
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 (pptx) (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

The program is subject to change and may be updated as needed.

Call For Papers

The tenth annual R/Finance conference for applied finance using R will be held June 1 and 2, 2018 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.

Over the past nine years, R/Finance has included attendees from around the world. It has featured presentations from prominent academics and practitioners, and we anticipate another exciting line-up for 2018.

We invite you to submit complete papers in pdf format for consideration. We will also consider one-page abstracts (in txt or pdf format) although more complete papers are preferred. We welcome submissions for both full talks and abbreviated lightning talks. Both academic and practitioner proposals related to R are encouraged.

All slides will be made publicly available at conference time. Presenters are strongly encouraged to provide working R code to accompany the slides. Data sets should also be made public for the purposes of reproducibility (though we realize this may be limited due to contracts with data vendors). Preference may be given to presenters who have released R packages.

Please submit proposals online at go.uic.edu/rfinsubmit. Submissions will be reviewed and accepted on a rolling basis with a final submission deadline of February 2, 2018. Submitters will be notified via email by March 2, 2018 of acceptance, presentation length, and financial assistance (if requested).

Financial assistance for travel and accommodation may be available to presenters. Requests for financial assistance do not affect acceptance decisions. Requests should be made at the time of submission. Requests made after submission are much less likely to be fulfilled. Assistance will be granted at the discretion of the conference committee.

Additional details will be announced via this conference website as they become available. Information on previous years' presenters and their presentations are also at the conference website. We will make a separate announcement when registration opens.

For the program committee:

Gib Bassett, Peter Carl, Dirk Eddelbuettel, Brian Peterson,
Dale Rosenthal, Jeffrey Ryan, Joshua Ulrich

Chicago bean image under cc by-nc-sa 2.0: Credits

Registration Details

The main conference registration fees are listed below. The registration fee includes access to Friday and Saturday sessions, as well as lunch on Friday and Saturday. Optional pre-conference seminars, held early on Friday, are available for a separate fee.


Conference registration will increase by 50% at the end of early registration on May 21, 2018.

Conference Registration:
Seminar Registration
Industry/Academic/Student $75
Conference Dinner

Seminar Details

Several one-hour seminars are offered on Friday morning from 08:00 to 09:00am. The cost is $75, and the seminars are offered in parallel so only one can be selected per participant.
  1. Dirk Eddelbuettel: Rcpp: From Simple Examples to Machine Learning
  2. Michael Weylandt/Luis Damiano: Bayesian Inference and Volatility Modeling using Stan
  3. Brian Peterson: Quantitative Strategy Evaluation with quantstrat/blotter
  4. Doug Martin: Robust Statistics in Quantitative Finance
  5. Dale Rosenthal: A Tour of Financial Modeling
During registration for the conference, one may select either a seminar or none.

Pre-conference seminars are optional, as is the conference dinner.

The conference is limited to 300 attendees.

Seminars are limited to approximately 40 to 60 participants.

In previous years, the majority of seminars sold out early! Space for the conference dinner is also limited and expected to sell out early.

Chicago bean image under cc-by 2.0: Credits