R/Finance 2015: Applied Finance with R

May 29 & 30, Chicago, IL, USA

Revolution Analytics
University of Washington
Interactive Brokers
Ketchum Trading
> 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
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.
Anthoney Tsou: Implementation of Quality Minus Junk
Ilya Kipnis: Flexible Asset Allocation With Stepwise Correlation Rank
10:54 - 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 - 13:40Lunch
13:40 - 14:00Markus Gesmann: Communicating risk - a perspective from an insurer
14:00 - 14:20Doug Martin: Nonparametric vs Parametric Shortfall: What are the Differences?
14:20 - 14:40Matthew Dixon: Risk Decomposition for Hedge Fund Managers
14:40 - 15:10Rohit 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
15:10 - 15:40Break
15:40 - 16:00Rohini Grover: The informational role of algorithmic traders in the option market
16:00 - 16:20Oleg Bondarenko: High-Frequency Trading Invariants for Equity Index Futures
16:20 - 16:40Eric Zivot: Price Discovery Share-An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds
16:40 - 16:58Jerzy 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
16:58 - 17:00Information about reception and dinner
17:00 - 19:00Conference Reception
19:00 - 19:20(Optional) Transfer to Conference Dinner
19:20 - 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 - 10:45Break
10:45 - 11:05Mark Seligman: The Arborist: a High-Performance Random Forest Implementation
11:05 - 11:25Hadley Wickham: Data ingest in R
11:25 - 12:15Louis Marascio: TBA
12:15 - 13:35Lunch
13:35 - 13:53Matthew 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
13:53 - 14:13Matt Brigida: Markov Regime-Switching (and some State Space) Models in Energy Markets
14:13 - 14:33Nicholas James: Efficient Multivariate Analysis of Change Points
14:33 - 14:53William Nicholson: Structured Regularization for Large Vector Autoregression
14:53 - 15:20Break
15:20 - 16:10Alexander McNeil: TBA
16:10 - 16:30Sanjiv Das: Matrix Metrics: Network-Based Systemic Risk Scoring
16:30 - 16:50Gergely Daroczi: Network analysi‚Äčs of the Hungarian interbank lending market
16:50 - 16:56Kresimir Kalafatic: Financial network analysis using SWIFT and R
16:56 - 17:05Prizes and Feedback
17:05 - 17:10Conclusion
17:10 - 17:20Transition to Jak's
17:20 - Post-conference Drinks at Jak's Tap