Friday, May 17th, 2019
08:00 - 09:00 Kris Boudt Multivariate GARCH models in R
Dirk Eddelbuettel Rcpp: From Simple Examples to Machine Learning
R. D. Martin, A. Christidis Standard Errors for Risk and Performance Estimators
Dale Rosenthal The Dark Arts of Selecting and Diagnosing Models
Justin Shea Introduction to Quantitative Finance with R: Best Practices
M. Weylandt, L. Damiano Bayesian Inference and Volatility Modeling Using Stan
09:00 - 09:30 Registration (2nd floor) & Continental Breakfast (3rd floor)
09:30 - 09:35 Gib Bassett Kickoff
09:35 - 09:40 Peter Carl Sponsor Introduction
09:40 - 10:00 David Ardia Change-point segmentation: The Bayesian bridge
10:00 - 10:20 Luis Damiano Augmenting Trading Systems with Hidden Markov Models using BayesHMM
10:20 - 10:40 R. Andrew Butters State Space Modeling for Mixed Frequency Time Series Applications
10:40 - 10:55 Break
10:55 - 11:15 Oleg Bondarenko Option Implied Dependence
11:15 - 12:05 Matt Taddy Measuring Innovation
12:05 - 12:55 Lunch
12:55 - 13:15 Svetlana Levitan and Jerome Nilmeier Open Standards for Time Series Model Deployment
13:15 - 13:35 Norm Matloff Extension of the Tower Method for Missing Values to Time Series
13:35 - 13:41 Phillip Guerra Things that make you go Hmm...: Getting dependent mixture models all mixed up
13:41 - 13:47 Aakriti Mittal Correlations in asynchronous markets
13:47 - 13:53 JD Long Lessons Learned from 10 years of Ultra Low Frequency Finance: Risk Modeling in a Global Reinsurer
13:53 - 13:59 Michael Kapler Importance of Calendar Patterns
13:59 - 14:05 Justin Shea Getting BLISfully BLASted
14:05 - 14:25 Renato Staub Collinearity Visualized
14:25 - 14:40 Break
14:40 - 15:00 Brian Boonstra Empirical Statistics of Cryptocurrency Returns
15:00 - 15:20 Dries Cornilly mvskPortfolios: portfolio tilting to harvest higher moment gains
15:20 - 15:26 Jerzy Pawlowski Efficient Portfolio Optimization Under Large Skewness and Fat Tails
15:26 - 15:32 Daniel Palomar Risk Parity Portfolios with the package riskParityPortfolio
15:32 - 15:38 Vincent Fuentes Large scale portfolio optimization: which sigma works?
15:38 - 15:44 Ilya Kipnis KDA Asset Allocation: An Ensemble Tactical Asset Allocation Strategy
15:44 - 15:50 Matt Dancho Portfolio Analysis With tidyquant
15:50 - 15:56 Mido Shammaa Refactoring Factor Analytics
15:56 - 16:16 Jingyu He Factor Investing: Hierarchical Ensemble Learning
16:16 - 16:30 Break
16:30 - 16:50 Robert McDonald The Effect of Default Target Date Funds on Retirement Savings Allocations
16:50 - 17:10 Majeed Simaan Tactical Asset Allocation using Machine Learning
17:10 - 17:30 Terry Leitch Alternative Investing with R
17:30 - 17:35 Information about reception and dinner
17:35 - 19:05 Conference Reception
19:05 - 19:35 (Optional) Transfer to Conference Dinner
19:35 - 22:05 (Optional) Conference Dinner (Rooftop, Wyndham Hotel)
Saturday, May 18th, 2019
08:00 - 09:00 Coffee/ Breakfast
09:00 - 09:05 Kickoff
09:05 - 09:11 Dean Markwick Hierarchical nonparametric Hawkes processes with applications to finance
09:11 - 09:17 Wadim Djatschenko BondValuation: An R Package for Fixed Coupon Bond Analysis
09:17 - 09:23 Smitha Shivakumar R-view on Prepayment and Interest rate risk in MBS
09:23 - 09:29 Maisa Aniceto Stroll Through the Forest: Applying Random Forest to Predict Credit Risk
09:29 - 09:49 Benjamin Christoffersen Modeling Frailty Correlated Defaults: An Application of the dynamic hazard Package
09:49 - 10:09 Francisco Azeredo and Chris Price A study of the time series behavior of securities lending fees
10:09 - 10:25 Break
10:25 - 10:31 Che Guan Cryptocurrency Volatility Models: Realized, Predicted and Implied Volatilities
10:31 - 10:37 Yingyi Gu Multilinear Principal Component Analysis on Implied Volatility Surface
10:37 - 10:43 Joseph Loss Options Pricing in Levy Models
10:43 - 10:49 Hongyu Zhang Improved Corwin-Schultz estimation
10:49 - 10:55 Vyacheslav Arbuzov Rusquant: another way of trading with R
10:55 - 11:15 Sandra Rolnicki Banking on Sentiment: How Natural Language Processing Selected a Portfolio of Bank Stocks that Outperformed a Bank Stock Index by 15%
11:15 - 12:05 Genevera Allen Tensor Decompositions for Time-Varying Networks with Applications to Finance and Neuroscience
12:05 - 12:55 Lunch
12:55 - 13:15 Abena Owusu Do Analysts Reports Still Have Value? Evidence from Machine Learning
13:15 - 13:35 Tiffany Jiang Using Statistical Learning to Analyze Merger Activity
13:35 - 13:55 Thomas Harte Hedging the Unhedgeable: Hedging Risk When Prices Are Not Observable
13:55 - 14:10 Break
14:10 - 14:30 Andrew Nguyen DELPHI-BR: Data-driven Early-warning Learning-based system Prognosticating High-Impact Banking Risks
14:30 - 14:50 Soumya Kalra and Brian Peterson Diversity in Quant Finance
14:50 - 14:56 Fernando Anselmo Filho Mergers and acquisitions: Influence of competition on the target company evaluation.
14:56 - 15:02 Larissa Adamiec Contrasting GARCH daily variance predictions between foreign exchange returns and carry trade strategy returns
15:02 - 15:08 Yimeng Yin Analyzing the Interplay Between Public Pension Finances and Governmental Finances: Lessons from Linking an Economic Model to a Pension Fund Model
15:08 - 15:14 Jay Emerson Financial Meta-Analyses: Making the Most of ESG Metrics
15:14 - 15:20 Rochelle March Quantifying Company Impact on the UN Sustainable Development Goals
15:20 - 16:10 Art Steinmetz Confessions of an Accidental Quant
16:10 - 16:25 Break
16:25 - 16:45 Hong Anh Luu Food price inflation at risk
16:45 - 17:05 Joan Zhang An Application in Machine Learning - This Time Will Never Be Different
17:05 - 17:25 Hernando Cortina Transmission Mechanisms of Corporate Responsibility to Investor Returns
17:25 - 17:35 Organizers Conclusion
17:35 - 17:50 Transition to Cruz Blanca
17:50 - 22:05 Post-conference Reception at Cruz Blanca