R/Finance 2015: Applied Finance with R

May 29 & 30, Chicago, IL, USA

Revolution Analytics
University of Washington
> agenda(2015)
Friday, May 29th, 2015
08:00 - 09:00Optional Pre-Conference Tutorials
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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 - 13:35Lunch
13:35 - 13:55Markus Gesmann: Communicating risk - a perspective from an insurer
13:55 - 14:15Doug Martin: Nonparametric vs Parametric Shortfall: What are the Differences?
14:15 - 14:35Matthew Dixon: Risk Decomposition for Hedge Fund Managers
14:35 - 14:41Rohit Arora: Inefficiency of Modified VaR and ES
14:41 - 14:47Mark Bennett: Gaussian Mixture Models for Extreme Events
14:47 - 14:53Steven Pav: Portfolio Cramer-Rao Bounds (why bad things happen to good quants)
14:53 - 14:59Majeed Simaan: Global Minimum Variance Portfolio: a Horse Race of Volatilities
14:59 - 15:05Rob Krzyzanowski: Building Better Credit Models through Deployable Analytics in R
15:05 - 15:30Break
15:30 - 16:20TBD:
16:20 - 16:40Sanjiv Das: Matrix Metrics: Network-Based Systemic Risk Scoring
16:40 - 17:00Gergely Daroczi: Network analysi‚Äčs of the Hungarian interbank lending market
17:00 - 17:06Kresimir Kalafatic: Financial network analysis using SWIFT and R
17:06 - 17:15Information about reception and dinner
17:15 - 19:15Conference Reception
19:15 - Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 30th, 2015
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:11Yuanchu Dang: Credit Default Swaps with R
09:11 - 09:17Dirk Eddelbuettel: Rblpapi: Connecting R to the data service that shall not be named
09:17 - 09:23Guy Yollin: Fundamental Factor model DataBrowser using Tableau and R
09:23 - 09:29Michael Kane: Interactively Exploring 2e+15 Financial Trades in R
09:29 - 09:35Matthew 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:
12:10 - 13:30Lunch
13:30 - 13:36Matthew Clegg: The partialAR Package for Modeling Time Series with both Permanent and Transient Components
13:36 - 13:42: Lunch
13:42 - 13:48Chris 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:
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 - 17:06Jerzy Pawlowksi: Are High Frequency Traders Prudent and Temperate?
17:06 - 17:12Stephen Rush: Information Diffusion in Equity Markets
17:12 - 17:18Vincenzo Giordano: Quantifying the Risk and Price Impact of Energy Policy Events on Natural Gas Markets Using R
17:18 - 17:30
17:30 - 17:35
17:35 - 17:45
17:45 - 20:45