Friday, June 3rd, 2022
09:00 - 09:30 Registration (2nd floor) & Continental Breakfast (3rd floor)
09:30 - 09:35 Kickoff
09:35 - 09:40 Sponsor Introduction and Thanks
09:40 - 10:00 Kris Boudt Estimation of Factors Using Higher-Order Multi-cumulants in Weak Factor Models (pdf)
10:00 - 10:20 David Ardia Hedge Fund Performance under Misspecified Models (pptx)
10:20 - 10:40 Michael Kane Approaches to Evaluating Pre-revenue Clinical Drug Development Portfolios
10:40 - 11:00 Break
11:00 - 11:50 Matthew Dixon Deep Partial Least Squares for Factor Modeling (pdf)
11:50 - 12:10 Majeed Simaan Pricing Model Complexity: The Case for Volatility-Managed Portfolios (pdf)
12:10 - 13:05 Lunch
13:05 - 13:25 Emiel Lemahieu Portfolio drawdown optimization with generative machine learning: opportunities and pitfalls (pptx)
13:25 - 13:45 Rex Macey Optimization for Wealth Management via Linear Programming (pdf)
13:45 - 14:05 Steven Pav Performance Estimation with the Sharpe Ratio (html)
14:05 - 14:25 Break
14:25 - 14:31 Ilya Kipnis Significantly Reduce Turnover in TAA Strategies Without Sacrificing Performance With This One Weird Trick
14:31 - 14:37 Seth Therrien Code Architecture of a Mid-Term Trading Strategy (pptx)
14:37 - 14:57 Jerzy Pawlowski Package backpack for Fast Backtest Simulations of Trading Strategies (pdf)
14:57 - 15:17 Ryan Brown Portfolio Performance Attribution: A Machine Learning Based Approach (pptx)
15:17 - 15:40 Break
15:40 - 16:30 Veronika Rockova Bayesian Sparsity
16:30 - 16:40 Transition to reception downstairs (East Terrace)
16:40 - 19:40 Conference Reception at East Terrace
Saturday, June 4th, 2022
08:00 - 09:30 Coffee/Breakfast
09:30 - 09:35 Kickoff
09:35 - 09:55 William Foote Volatility and Spillover: Facts of Market Life
09:55 - 10:15 Paul Laux Learning by lending in the interbank market (pdf)
10:15 - 10:21 Shilin Zhang Bankruptcy court competition: Pro-debtor bias and Forum Shopping (pptx)
10:21 - 10:27 Zubin Dowlaty US Financial Markets States Identification Using Computational Geometry
10:27 - 10:33 Haider Almohri Expected Return on Investment Time of Interest-Free Loans using Absorbing Markov Chain
10:33 - 10:55 Break
10:55 - 11:15 Eden Luvishis and Leonid Maksymenko Financial Applications of Linear Risk Management via Non-linear Machine Learning (pdf)
11:15 - 11:35 Leopoldo Catania Dynamic Multiple Quantile Models (pdf)
11:35 - 11:55 Paul Teetor Taming of Portfolio of Spreads (pdf)
11:55 - 13:00 Lunch
13:00 - 13:50 Thomas Harte Treezer Goode: The Curious Tale of a Wood that Needed the Trees (html)
13:50 - 14:10 Chris Thomas Pricing Copper Better Than Bloomberg: Better than KOSPI Levels? (pptx)
14:10 - 14:30 Break
14:30 - 14:50 Bryan Rodriguez and Luis Arreola Trading Commodities in Lower Earth Orbit
14:50 - 15:10 Kyle Balkissoon Assessing the impact of extreme specific news events on forward returns (pdf)
15:10 - 15:16 David Ardia Landscape of Academic Finance with the Structural Topic Model (pdf)
15:16 - 15:22 Matt Dancho M6 Financial Forecasting Competition: What we've learned (pdf)
15:22 - 15:45 Break
15:45 - 16:05 Oliver Delmarcelle sentopics: An R package for joint sentiment and topic analysis of textual data
16:05 - 16:25 Jay Panchal qicR: Quantum Information & Computation in R - Bringing quantum computing to the R ecosystem (pdf)
16:25 - 16:45 Jeff Ryan Repeating R (and more!) with rpeat
16:45 - 16:55 Conclusion
16:55 - 17:10 Transition to reception downstairs (West Terrace)
17:10 - 21:25 Post-conference Reception at West Terrace