R/Finance 2017

May 19-20, 2017

Welcome

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 May 19 and 20, 2017.

Highlights

Keynotes
From renowned industry practioners to key R developers to leading academics, the conference has consistently feature keynote speakers who engaged the audience -- more details at the Program tab.
Workshops
Pre-conference workshops offer an opportunity for a longer, more in-depth presentation by key presenters.
Conference
The conference itself consists of reviewed full-length presentations as well as a number of shorter, highly-energetic lightning talks.
Note that this page is currently a stub which still shows last year's program.
Friday, May 20th, 2016
08:00 - 09:00Optional 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 (pdf)
T. Harte + M. Weylandt: Modern Bayesian Tools for Time Series Analysis (html)
09:00 - 09:30Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
Transition between seminars
09:30 - 09:35Kickoff
09:35 - 09:40Sponsor Introduction
09:40 - 10:20Rishi Narang: Rage Against the Machine Learning (pptx)
10:20 - 10:50Robert McDonald: The derivmkts package (pdf)
Piotr OrÅ‚owski: 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 - 11:20Break
11:20 - 11:40Brian Boonstra: Calibrating Parsimonious Models Of Equity-Linked Default Intensity (pdf)
11:40 - 12:00Matthew Ginley: Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation (pdf)
12:00 - 12:20Klaus Spanderen: Calibration of the Heston Local Stochastic Volatility Model (pdf)
12:20 - 13:25Lunch
13:25 - 14:05Tarek Eldin: Random Pricing Errors and Systematic Returns: The Flaw in Fundamental Prices (pptx)
14:05 - 14:25Sanjiv Das: An Index-Based Measure of Liquidity (pdf)
14:25 - 14:45Ryan Hafen: Interactively Exploring Financial Trades in R (html)
14:45 - 15:09Nidhi 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 - 15:40Break
15:40 - 16:00Marc Wildi: Monitoring the US Economy: a System of Timely (Real-Time Daily Mixed-Frequency) Indicators (pdf)
16:00 - 16:18Sile 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 - 16:58Frank Diebold: Estimating Global Bank Network Connectedness (pdf)
16:58 - 17:04Information about reception and dinner
17:04 - 19:04Conference 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 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:35Hsiu-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 - 09:55Bernhard Pfaff: Portfolio Selection with Multiple Criteria Objectives (pdf)
09:55 - 10:15Douglas Service: Quantitative Analysis of Dual Moving Average Indicators in Automated Trading Systems (pdf)
10:15 - 10:45Marjan 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 - 11:05Break
11:05 - 11:25Mark Seligman: Controlling for Monotonicity in Random Forest Regressors (pdf)
11:25 - 11:45Michael Kane: glmnetlib: A Low-level Library for Regularized Regression (html)
11:45 - 12:05Xiao Qiao: A Practitioner's Defense of Return Predictability (pdf)
12:05 - 13:05Lunch
13:05 - 13:45Patrick Burns: Some Linguistics of Quantitative Finance (pdf)
13:45 - 14:05Eran Raviv: Forecast combinations in R using the ForecastCombinations package (pdf)
14:05 - 14:35Kjell 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 - 15:05Break
15:05 - 15:25Bryan Lewis: R in Practice (html)
15:25 - 15:45Matt Dziubinski: Getting the most out of Rcpp: High-Performance C++ in Practice (pdf)
15:45 - 15:57Mario Annau: h5 - An Object Oriented Interface to HDF5 (pdf)
Dirk Eddelbuettel: Rblapi Revisited: One Year Later (pdf)
15:57 - 16:17Jason Foster: Multi-Asset Principal Component Regression using RcppParallel (pdf)
16:17 - 16:37Qiang Kou: Deep learning in R using MxNet (pdf)
16:37 - 16:49Prizes and Feedback
16:49 - 16:54Conclusion
16:54 - 17:04Transition to Jak's
17:04 - Post-conference Drinks at Jak's Tap

Call For Papers

The ninth annual R/Finance conference for applied finance using R will be held on May 19 and 20, 2017 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 eight 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 2017.

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.

Financial assistance for travel and accommodation may be available to presenters, however requests must be made at the time of submission. Assistance will be granted at the discretion of the conference committee.

Please submit proposals online. Submissions will be reviewed and accepted on a rolling basis with a final deadline of February 28, 2017. Submitters will be notified via email by March 31, 2017 of acceptance, presentation length, and financial assistance (if requested).

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

Registration Details

This page still holds the 2016 content ...

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.

Fees

Conference registration will increase by 50% at the end of early registration on May 6, 2016.

Conference Registration:
Industry$300
Academic$200
Student$100
Seminar Registration
Industry/Academic/Student $75
Conference Dinner
Industry/Academic/Student$125

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. Ross Bennett: Feasible Space Analysis + Hierarchical Optimization with PortfolioAnalytics
  2. Dirk Eddelbuettel: Introduction to Rcpp and RcppArmadillo
  3. Doug Service: Leveraging Azure Compute from R
  4. Michael Weylandt: Modern Bayesian Tools for Time Series Analysis
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. We have reached capacity, and have opened a waitlist.

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