R/Finance 2012: Applied Finance with R
May 11 & 12, Chicago, IL, USA

Revolution Analytics           University of Washington
Google     lemnica     OpenGamma     OneTick     RStudio     TickData

Friday, May 11th, 2012
8:00-9:00Optional Pre-Conference Tutorials
-Armstrong: Deathstar: Seamless Distributed Computing for R (pdf)
-Carl/Peterson: Evaluating Strategic Portfolios of Hedge Funds (pdf)
-Eddelbuettel: Rcpp and RInside for R and C++ Integration (pdf)
-Martin: Robust Statistics in Finance (pdf)
-Ryan: Market Scale Data: An Author-led Tour of xts, xtime, mmap, indexing, and More (pdf)
-Yollin/Zivot: Time Series Forecasting with State Space Models (pdf)
9:00-9:30Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
9:30-9:40Welcome and Opening Remarks
9:40-10:30Blair Hull: Examining the Revolution: How Technology is Changing the Trading Landscape (pdf)
10:30-10:50Pfaff: Diversification Reconsidered: Minimum Tail Dependence (pdf)
10:50-11:10Gesmann: Modelling Insurance Claim Reserves with R and the ChainLadder Package (pdf)
11:30-11:50Martin: Utility Function Based Spectral Risk Measures
11:50-12:15Cha: Risk Management in ERCOT Power Markets
-Kapler: Seasonality Analysis and Pattern Matching in R (pdf)
-Weylandt: A Short Introduction to Real-Time Portfolio/Market Monitoring with R (pdf)
-Wylie: Insanely Cool Stuff from OpenGamma+R (pptx)
13:15-13:35Packard: Semantic Genomes for Analysis of Large Text Streams
13:35-13:55Hoxsey/Wildi: Trader's DFA — A Practitioner's Introduction to the Direct Filter Approach (pptx)
13:55-14:20Cornelissen: The Sustainability of Mean-Variance and Mean-Tracking Error Efficient Portfolios (pdf)
-Pav: On the Maximization of Sharpe Ratio (pdf)
-Rush: Relative Return Momentum in Asset Allocation (pdf)
-Belianina: OneTick and R for Market Data Time Series Analysis (pdf)
14:45-15:35Rob McCulloch: Cholesky Stochastic Volatility (pdf)
15:35-15:55Theussl: ROI: The R Optimization Infrastructure Package (pdf)
15:55-16:15Boudt: The Peer Performance of Hedge Funds (pdf)
16:15-16:45Zivot: Estimating the Dynamics of Price Discovery (pptx)
16:45-17:00Information About Reception, Dinner
17:00-22:00Conference Reception and Optional Dinner (East Terrace and Market Bar)
Saturday, May 12th, 2012
9:05-9:30Eddelbuettel: Wittier Webapps with RInside (pdf)
-Gesmann: An Interactive Overview of Lloyd's Using R and the googleVis Package (pdf )
-Raattamaa: Carryover Costs in Zero Intelligence Double-Auction Markets
-Myers: Using Historical Market Data in R - Quality Models are Built from Quality Data
9:30-9:50Kumar: Is the Future Golden?
9:50-10:10King: Liquid Gold, Illiquid Assets: Hedging Event Risk in Fixed Income Securities — British Petroleum Bonds in the Spring/Summer of 2010
10:30-11:20Paul Gilbert: Lock-In Avoidance and Quality Assurance (pdf)
11:20-11:40Ang: Estimating the Market Value of Illiquid Debt Using WRDS TRACE Data (pdf)
11:40-12:00Li: Monetary Policy Analysis Based On Lasso-Assisted Vector Autoregression (LAVAR) (pptx)
13:30-13:50Nelson: Financial Reporting and Documentation using R and Dexy
13:50-14:10Gordy: Network Analysis in R of Derivatives Trade Repository Data
14:10-14:30Sinha: All Words Are Not Made Equal (pdf)
14:30-14:42Emerson: Towards Terrabytes of TAQ (pdf)
-Nagar: News Sentiment Analysis Using R to Predict Stock Market Data (pdf)
15:00-15:50Simon Urbanek: Visualizing Large Data with R
15:50-16:10Lewis: A Cointegration-Inspired Method for Large Scale Data (pdf)
16:10-16:30Armstrong: CppBugs: Native MCMC for R (pdf)
16:30-16:50Rohani: Large-Scale, Computationally Intensive Forecasting in R
16:50-17:02Humke: Achieving High-Performing, Simulation-Based Operational Risk Measurement with R and RevoScaleR (pdf)
-Teetor: Fast(er) R Code (pdf)
17:15-17:30Transition to Jak's
17:30-Post-Conference Drinks at Jak's Tap
Download printable agenda as pdf