R/Finance 2015: Applied Finance with R

May 29 & 30, Chicago, IL, USA

Revolution Analytics
University of Washington
Avant
Interactive Brokers
Ketchum Trading
OneTick
RStudio
SYMMYS
> agenda(2015)
Friday, May 29th, 2015
08:00 - 09:00Optional Pre-Conference Tutorials
Ross Bennett: PortfolioAnalytics: Advanced Moment Estimation & Optimization
Kris Boudt: High-frequency Price Data Analysis in R
Dirk Eddelbuettel: Hands-on Introduction to Rcpp
Guy Yollin: Getting Started with Quantstrat
Maria Belianina: An Introduction to OneTick
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 - 10:30Emmanuel Derman: TBA
10:30 - 11:00Gregory Guilmin: The Effective Combination of Risk-Based Strategies with Momentum and Trend Following
John Burkett: Portfolio Optimization: Price Predictability, Utility Functions, Computational Methods, and Applications
Kyle Balkissoon: A Framework for Integrating Portfolio-level Backtesting with Price and Quantity Information.
Ryan Kwon: Implementation of Quality Minus Junk
Ilya Kipnis: Flexible Asset Allocation With Stepwise Correlation Rank
11:00 - 11:20Break
11:20 - 11:40Sanjiv Das: Efficient Rebalancing of Taxable Portfolios
11:40 - 12:00Marjan Wauters: Characteristic-based equity portfolios: economic value and dynamic style allocation
12:00 - 12:20Bernhard Pfaff: The sequel of cccp: Solving cone constrained convex programs
12:20 - 13:50Lunch
13:50 - 14:10Markus Gesmann: Communicating risk - a perspective from an insurer
14:10 - 14:30Doug Martin: Nonparametric vs Parametric Shortfall: What are the Differences?
14:30 - 14:50Matthew Dixon: Risk Decomposition for Hedge Fund Managers
14:50 - 15:20Rohit Arora: Inefficiency of Modified VaR and ES
Mark Bennett: Gaussian Mixture Models for Extreme Events
Steven Pav: Portfolio Cramer-Rao Bounds (why bad things happen to good quants)
Majeed Simaan: Global Minimum Variance Portfolio: a Horse Race of Volatilities
Rob Krzyzanowski: Building Better Credit Models through Deployable Analytics in R
15:20 - 15:45Break
15:45 - 16:05Sanjiv Das: Matrix Metrics: Network-Based Systemic Risk Scoring
16:05 - 16:25Gergely Daroczi: Network analysi‚Äčs of the Hungarian interbank lending market
16:25 - 16:31Kresimir Kalafatic: Financial network analysis using SWIFT and R
16:31 - 16:37Information about reception and dinner
16:37 - 18:37Conference Reception
18:37 - 19:00(Optional) Transfer to Conference Dinner
19:00 - Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 30th, 2015
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:35Yuanchu Dang: Credit Default Swaps with R
Dirk Eddelbuettel: Rblpapi: Connecting R to the data service that shall not be named
Guy Yollin: Fundamental Factor model DataBrowser using Tableau and R
Michael Kane: Interactively Exploring 2e+15 Financial Trades in R
Matthew Dowle: Fast automatic indexing with data.table
09:35 - 09:55Marius Hofert: Parallel and other simulations in R made easy: An end-to-end study
09:55 - 10:15Bryan Lewis: More thoughts on the SVD and Finance
10:15 - 10:40Break
10:40 - 11:00Mark Seligman: The Arborist: a High-Performance Random Forest Implementation
11:00 - 11:20Hadley Wickham: Data ingest in R
11:20 - 12:10Louis Marascio: TBA
12:10 - 13:30Lunch
13:30 - 13:48Matthew Clegg: The partialAR Package for Modeling Time Series with both Permanent and Transient Components
Michael Kapler: Follow the Leader - the application of time-lag series analysis to discover leaders in S&P 500
Chris Green: Detecting Multivariate Financial Data Outliers using Calibrated Robust Mahalanobis Distances
13:48 - 14:08Matt Brigida: Markov Regime-Switching (and some State Space) Models in Energy Markets
14:08 - 14:28Nicholas James: Efficient Multivariate Analysis of Change Points
14:28 - 14:48William Nicholson: Structured Regularization for Large Vector Autoregression
14:48 - 15:10Break
15:10 - 16:00Alexander McNeil: TBA
16:00 - 16:20Rohini Grover: The informational role of algorithmic traders in the option market
16:20 - 16:40Eric Zivot: Price Discovery Share-An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds
16:40 - 17:00Oleg Bondarenko: High-Frequency Trading Invariants for Equity Index Futures
17:00 - 17:18Jerzy Pawlowksi: Are High Frequency Traders Prudent and Temperate?
Stephen Rush: Information Diffusion in Equity Markets
Vincenzo Giordano: Quantifying the Risk and Price Impact of Energy Policy Events on Natural Gas Markets Using R
17:18 - 17:45Prizes and Feedback
Conclusion
Transition to Jak's
17:45 - 20:45Post-conference Drinks at Jak's Tap