R/Finance 2014: Applied Finance with R

May 16 & 17, Chicago, IL, USA

Revolution Analytics
University of Washington

> agenda(2014)
Friday, May 16th, 2014
08:00 - 09:00Optional Pre-Conference Tutorials
Ross Bennett: Complex Portfolio Optimization with PortfolioAnalytics
Yi-An Chen: Estimating Factor Models and Managing Risk with FactorAnalytics
Matt Dowle: Introduction to data.table
Dirk Eddelbuettel: An Example-Driven Hands-on Introduction to Rcpp
09:30 - 09:35Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
09:00 - 09:30Transition between seminars
09:30 - 09:35Kickoff
09:35 - 09:40Sponsor Intro
09:40 - 10:30Luke Tierney: Some Performance Improvements for the R Engine
10:30 - 10:55Karl Polen: Private Equity Performance Analytics Implemented in R
Mark Bennett : Data Mining with Markowitz Portfolio Optimization in Higher Dimensions
John Burkett: Portfolio Optimization: Utility, Computaton, Equities Applications
Yang Lu: Re-Evaluation of the Low-Risk Anomaly in Finance via Matching
Maria Belianina : Multi-Factor Models and Analytics with R, OneTick, and OneQuantData
10:55 - 11:20Break
11:20 - 11:40Celine Sun: Tax Efficient Portfolios
11:40 - 12:00Stephen Pav: Portfolio Inference with this One Weird Trick
12:00 - 12:20Tobias Setz: BCP Stability Analytics: New Directions in Tactical Asset Management
12:20 - 13:20Lunch
13:20 - 13:40Samit Ahlawat: Unified Framework for Momentum and Contrarian Strategies
Paul Teetor: Bootstrapping Seasonal Spreads
Matthew Clegg: On the Persistence of Cointegration in Pairs Trading
Kent Hoxsey: Exploring Trading System Expectation
13:40 - 14:00Matthew Barry: Package pbo: Probability of Backtest Overfitting
14:00 - 14:20Bernhard Pfaff: The R package cccp: Solving Cone Constrained Convex Programs
14:20 - 14:45Break
14:45 - 15:35Alexios Ghalanos: TBA
15:35 - 15:55Christopher Green: Multivariate Data Outliers using Calibrated Robust Mahalanobis Distances
Michael Kapler: Average Correlation and Adaptive Shrinkage Estimators
Kjell Konis: The FlexBayes Package
Doug Martin: Tests for Robust versus Least Squares Factor Model Fits
15:55 - 16:15Steven Greiner: Stress Testing your way to Better Portfolio Management
16:15 - 16:35Kris Boudt: Asset Allocation with Higher Order Moments and Factor Models
16:35 - 16:55David Ardia: Quantitative Portfolios, Trading Strategies via Factor Entropy Pooling
16:55 - 17:00Info about reception, dinner
17:00 - 19:00Conference Reception
19:00 - Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 17th, 2014
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:25Chirag Anand: eventstudies: An R Package for Conducting Event Studies
Vyacheslav Arbuzov: Microstructure of Fin. Markets. HFT, Regulation and Structural Changes
Heidi Chen: An R Package on Credit Default Swaps
James Thewissen: Sentiment Dynamics and Information Content within CEO Letters
09:25 - 09:45David Matteson: Identifying Recessions in Real-Time Using Time-Freq. Functional Models
09:45 - 10:05Casey King: Anti-Money Laundering and Suspicious Activity Reporting: A New Hope
10:05 - 10:25Bryan Lewis: New Ideas for Large Network Analysis, Implemented in R
10:25 - 10:55Break
10:55 - 11:15Stephen Rush: Twenty Years of VPIN
11:15 - 12:05Bob McDonald: TBA
12:05 - 12:20Krishna Kumar: A Greeks Tour with R in Greektown
Karl-Kuno Kunze: Package 'Intermediate and Long Memory Time Series' (ILMTS)
Eric Zivot: Modeling Financial Time Series with R
12:20 - 13:40Lunch
13:40 - 14:00Rohini Grover: The Imprecision of Volatility Indexes
14:00 - 14:20Gregor Kastner: stochvol: Dealing with Stochastic Volatility in Time Series
14:20 - 14:50Break
14:50 - 15:40Bill Cleveland: TBA
15:40 - 16:00Matthew Dixon: gpusvcalibration: Fast Stochastic Volatility Model Calibration using GPUs
16:00 - 16:20Michael Kane: Distributed Data Structures in R for General, Large-scale Computing
16:20 - 16:25Dirk Eddelbuettel: Building Simple Redis Data Caches
16:25 - 16:40Prizes and Feedback
16:40 - 16:50Conclusion
17:00 - Post-conference Drinks at Jak's Tap
Download the printable agenda in pdf format.