Friday, May 17th, 2019
08:00 - 09:00Kris Boudt Multivariate GARCH models in R (pdf)
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 (pdf)
09:00 - 09:30 Registration (2nd floor) & Continental Breakfast (3rd floor)
09:30 - 09:35Gib Bassett Kickoff
09:35 - 09:40Peter Carl Sponsor Introduction
09:40 - 10:00David Ardia Change-point segmentation: The Bayesian bridge
10:00 - 10:20Luis Damiano Augmenting Trading Systems with Hidden Markov Models using BayesHMM (pdf)
10:20 - 10:40R. Andrew Butters State Space Modeling for Mixed Frequency Time Series Applications (pdf)
10:40 - 10:55 Break
10:55 - 11:15Oleg Bondarenko Option Implied Dependence
11:15 - 12:05Matt Taddy Measuring Innovation
12:05 - 12:55 Lunch
12:55 - 13:15Svetlana Levitan and Jerome Nilmeier Open Standards for Time Series Model Deployment (pptx)
13:15 - 13:35Norm Matloff Extension of the Tower Method for Missing Values to Time Series (pdf)
13:35 - 13:41Phillip Guerra Things that make you go Hmm...: Getting dependent mixture models all mixed up
13:41 - 13:47Aakriti Mittal Correlations in asynchronous markets
13:47 - 13:53JD Long Lessons Learned from 10 years of Ultra Low Frequency Finance: Risk Modeling in a Global Reinsurer
13:53 - 13:59Michael Kapler Importance of Calendar Patterns (pdf)
13:59 - 14:05Justin Shea Getting BLISfully BLASted
14:05 - 14:25Renato Staub Collinearity Visualized (pptx)
14:25 - 14:40 Break
14:40 - 15:00Brian Boonstra Empirical Statistics of Cryptocurrency Returns (pdf)
15:00 - 15:20Dries Cornilly mvskPortfolios: portfolio tilting to harvest higher moment gains (pdf)
15:20 - 15:26Jerzy Pawlowski Efficient Portfolio Optimization Under Large Skewness and Fat Tails (pdf)
15:26 - 15:32Daniel Palomar Risk Parity Portfolios with the package riskParityPortfolio (pdf)
15:32 - 15:38Vincent Fuentes Large scale portfolio optimization: which sigma works? (pdf)
15:38 - 15:44Ilya Kipnis KDA Asset Allocation: An Ensemble Tactical Asset Allocation Strategy (pptx)
15:44 - 15:50Matt Dancho Portfolio Analysis With tidyquant
15:50 - 15:56Mido Shammaa Refactoring Factor Analytics (pdf)
15:56 - 16:16Jingyu He Factor Investing: Hierarchical Ensemble Learning (pdf)
16:16 - 16:30 Break
16:30 - 16:50Robert McDonald The Effect of Default Target Date Funds on Retirement Savings Allocations
16:50 - 17:10Majeed Simaan Tactical Asset Allocation using Machine Learning (pdf)
17:10 - 17:30Terry Leitch Alternative Investing with R
17:40 - 17:46Steven Pav Inference on the asset with maximal Sharpe ratio (pdf)
17:46 - 17:50 Information about reception and dinner
17:50 - 19:20 Conference Reception
19:20 - 19:50 (Optional) Transfer to Conference Dinner
19:50 - 22:20 (Optional) Conference Dinner (Rooftop, Wyndham Hotel)
Saturday, May 18th, 2019
08:00 - 09:00 Coffee/ Breakfast
09:00 - 09:05 Kickoff
09:05 - 09:11Dean Markwick Hierarchical nonparametric Hawkes processes with applications to finance (pdf)
09:11 - 09:17Wadim Djatschenko BondValuation: An R Package for Fixed Coupon Bond Analysis (pptx)
09:17 - 09:23Smitha Shivakumar R-view on Prepayment and Interest rate risk in MBS (pdf)
09:23 - 09:29Maisa Aniceto Stroll Through the Forest: Applying Random Forest to Predict Credit Risk (pdf)
09:29 - 09:49Benjamin Christoffersen Modeling Frailty Correlated Defaults: An Application of the dynamic hazard Package
09:49 - 10:09Francisco Azeredo and Chris Price A study of the time series behavior of securities lending fees (pdf)
10:09 - 10:25 Break
10:25 - 10:31Che Guan Cryptocurrency Volatility Models: Realized, Predicted and Implied Volatilities
10:31 - 10:37Yingyi Gu Multilinear Principal Component Analysis on Implied Volatility Surface (pdf)
10:37 - 10:43Joseph Loss Options Pricing in Levy Models (pptx)
10:43 - 10:49Hongyu Zhang Improved Corwin-Schultz estimation (pptx)
10:49 - 10:55Vyacheslav Arbuzov Rusquant: another way of trading with R (pdf)
10:55 - 11:15Sandra Rolnicki Banking on Sentiment: How Natural Language Processing Selected a Portfolio of Bank Stocks that Outperformed a Bank Stock Index by 15% (pdf)
11:15 - 12:05Genevera Allen Tensor Decompositions for Time-Varying Networks with Applications to Finance and Neuroscience
12:05 - 12:55 Lunch
12:55 - 13:15Abena Owusu Do Analysts Reports Still Have Value? Evidence from Machine Learning
13:15 - 13:35Tiffany Jiang Using Statistical Learning to Analyze Merger Activity (pdf)
13:35 - 13:55Thomas Harte Hedging the Unhedgeable: Hedging Risk When Prices Are Not Observable
13:55 - 14:10 Break
14:10 - 14:30Andrew Nguyen DELPHI-BR: Data-driven Early-warning Learning-based system Prognosticating High-Impact Banking Risks (pdf)
14:30 - 14:50Soumya Kalra and Brian Peterson Diversity in Quant Finance
14:50 - 14:56Fernando Anselmo Filho Mergers and acquisitions: Influence of competition on the target company evaluation. (pdf)
14:56 - 15:02Larissa Adamiec Contrasting GARCH daily variance predictions between foreign exchange returns and carry trade strategy returns
15:02 - 15:08Yimeng Yin Analyzing the Interplay Between Public Pension Finances and Governmental Finances: Lessons from Linking an Economic Model to a Pension Fund Model (pptx)
15:08 - 15:14Jay Emerson Financial Meta-Analyses: Making the Most of ESG Metrics
15:14 - 15:20Rochelle March Quantifying Company Impact on the UN Sustainable Development Goals (pdf)
15:20 - 16:10Art Steinmetz Confessions of an Accidental Quant
16:10 - 16:25 Break
16:25 - 16:45Hong Anh Luu Food price inflation at risk (pdf)
16:45 - 17:05Joan Zhang An Application in Machine Learning - This Time Will Never Be Different (pptx)
17:05 - 17:25Hernando Cortina Transmission Mechanisms of Corporate Responsibility to Investor Returns
17:25 - 17:35Organizers Conclusion
17:35 - 17:50 Transition to Cruz Blanca
17:50 - 22:05 Post-conference Reception at Cruz Blanca