R/Finance 2016: Applied Finance with R

May 20 & 21, Chicago, IL, USA

> agenda(2016)
Friday, May 20th, 2016
08:00 - 09:00Optional Pre-Conference Tutorials
Ross Bennett: Feasible Space Analysis and Hierarchical Optimization with PortfolioAnalytics
Dirk Eddelbuettel: Introduction to Rcpp and RcppArmadillo
Doug Service: Leveraging Azure Compute from R
T. Harte + M. Weylandt: Modern Bayesian Tools for Time Series Analysis
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
10:20 - 10:50Robert McDonald: The derivmkts package
Piotr Orłowski: Modeling Divergence Swap Rates
Jerzy Pawlowski: Exploring Higher Order Risk Premia Using High Frequency Data
Majeed Simaan: The Implicit Value of Tracking the Market
Kris Boudt: Block rearranging elements within matrix columns to minimize the variability of the row sums
10:50 - 11:20Break
11:20 - 11:40Brian Boonstra: Calibrating Parsimonious Models Of Equity-Linked Default Intensity
11:40 - 12:00Matthew Ginley: Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation
12:00 - 12:20Klaus Spanderen: Calibration of the Heston Local Stochastic Volatility Model
12:20 - 13:15Lunch
13:15 - 13:55Tarek Eldin: Random Pricing Errors and Systematic Returns: The Flaw in Fundamental Prices
13:55 - 14:15Sanjiv Das: An Index-Based Measure of Liquidity
14:15 - 14:35Ryan Hafen: Interactively Exploring Financial Trades in R
14:35 - 14:55Philip Stubbings: Visualizing Algorithmic Trading in Limit Order Books
14:55 - 15:07Nidhi Aggarwal: The causal impact of algorithmic trading on market quality
Chirag Anand: Liquidity provision in a high-frequency environment
15:07 - 15:37Break
15:37 - 15:57Marc Wildi: Monitoring the US Economy: a System of Timely (Real-Time Daily Mixed-Frequency) Indicators
15:57 - 16:03Shannon Callan: Constructing US Employment Google Search Index by Applying Principal Component Analysis
16:03 - 16:09Doug Martin: Information Ratio Maximizing Fundamental Factor Models
16:09 - 16:15Robert Franolic: Eyes on FX
16:15 - 16:21Warren Durrett: Comparing Private Equity Managers Using an Objective, Data-Driven Approach
16:21 - 17:01Frank Diebold: Estimating Global Bank Network Connectedness
17:01 - 17:09Information about reception and dinner
17:09 - 19:09Conference Reception
19:09 - 19:29(Optional) Transfer to Conference Dinner
19:29 - (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?
Kyle Balkissoon: A Practitioners analysis of the overnight effect
Mark Bennett: Measuring Income Statement Sharpe Ratios using R
Dirk Hugen: Implementation of Value Strategies using R
Colin Swaney: Evaluating Fund Manager Skill: A Mixture Model Approach
09:35 - 09:55Bernhard Pfaff: Portfolio Selection with Multiple Criteria Objectives
09:55 - 10:15Douglas Service: Quantitative Analysis of Dual Moving Average Indicators in Automated Trading Systems
10:15 - 10:45Marjan Wauters: Smart beta and portfolio insurance: A happy marriage?
Michael Kapler: Tax Aware Backtest Framework
Miller Zijie Zhu: Backtest Graphics
Laura Vana: Portfolio Optimization Modeling
Ilya Kipnis: Hypothesis Driven Development: An Understandable Example
10:45 - 11:05Break
11:05 - 11:25Mark Seligman: Controlling for Monotonicity in Random Forest Regressors
11:25 - 11:45Michael Kane: glmnetlib: A Low-level Library for Regularized Regression
11:45 - 12:05Xiao Qiao: A Practitioner's Defense of Return Predictability
12:05 - 13:05Lunch
13:05 - 13:45Patrick Burns: Some Linguistics of Quantitative Finance
13:45 - 14:05Eran Raviv: Forecast combinations in R using the ForecastCombinations package
14:05 - 14:41Kjell Konis: Comparing Fitted Factor Models with the fit.models Package
Steven Pav: Madness: a package for Multivariate Automatic Differentiation
Sida Yang: Discovering financial news topic distributions with Latent Dirichlet Allocation
Paul Teetor: Are You Trading Mean Reversion or Oscillation?
Pedro Alexander: Portfolio Selection with Support Vector Regression
Maria Belianina: OneTick and R
14:41 - 15:10Break
15:10 - 15:30Bryan Lewis: R in Practice
15:30 - 15:50Matt Dziubinski: Getting the most out of Rcpp: High-Performance C++ in Practice
15:50 - 16:20Mario Annau: h5 - An Object Oriented Interface to HDF5
Robert Krzyzanowski: Syberia: A development framework for R
Dirk Eddelbuettel: Rblapi Revisited: One Year Later
Mido Shammaa: Connecting QAI to R
Matt Brigida: Community Finance Teaching Resources with R/Shiny
16:20 - 16:40Jason Foster: Multi-Asset Principal Component Regression using RcppParallel
16:40 - 17:00Qiang Kou: Deep learning in R using MxNet
17:00 - 17:15Prizes and Feedback
17:15 - 17:20Conclusion
17:20 - 17:30Transition to Jak's
17:30 - Post-conference Drinks at Jak's Tap