Friday, May 19th, 2023
09:00 - 09:30 Registration (2nd floor) & Continental Breakfast (3rd floor)
09:30 - 09:35 Kickoff
09:35 - 09:40 Thank UIC; Mention Sponsorships
09:40 - 10:00 Brian Peterson Design and Analysis of (Backtest) Experiments
10:00 - 10:20 Stephen Rush Non-Standard Errors
10:20 - 10:40 Marc Wildi A Time Series Approach to Explainability for Neural Nets with Applications to Risk Management
10:40 - 11:00 Break
11:00 - 11:50 Carlos Carvalho Bayesian Time Series
11:50 - 12:10 Olivier Delmarcelle News-based Factor Zoo for Portfolio Management
12:10 - 13:05 Lunch
13:05 - 13:25 Raymond Micaletti The Complementarity of Trend Following and Relative Sentiment
13:25 - 13:45 Tarun Sanghi Using Credit Risk in Equity Selection
13:45 - 14:05 Andy Tang Equity Duration Based on Bayesian Hierarchical Model
14:05 - 14:12 Ilya Kipnis Ex Ante vs. Ex Post Tracking Error
14:12 - 14:19 Hernando Cortina Hockeystick: Visualizing Global Warming with R
14:19 - 14:26 Hamid Shafiezadeh fedz1 Package: An Easier Access to Financial Accounts of the U.S. (Z.1)
14:26 - 14:33 Sou-Cheng Choi Python Package, IMFDataPy
14:33 - 14:40 Christopher Thomas Geopolitics and Trade: Analysing Commodity Flows In the Aftermath of Russia's Invasion of Ukraine
14:40 - 15:00 Break
15:00 - 15:20 Lizbeth Tlatenchi Emerging Markets: The Relationship Between Corruption and Governance Practices
15:20 - 16:10 Chandni Bhan Early Warning Indicators
16:10 - 16:30 Break
16:30 - 16:50 Cheng Lu Non-Myopic Equity Risk Premium
16:50 - 17:10 Arno De Block A media news-based economic clock for state-based nowcasting of GDP growth
17:10 - 17:30 Kris Boudt The consumption response to labour income changes
17:30 - 17:40 Transition to reception downstairs (East Terrace)
17:40 - 20:40 Conference Reception at East Terrace
Saturday, May 20th, 2023
08:00 - 09:15 Coffee/ Breakfast
09:15 - 09:20 Kickoff
09:20 - 09:40 Ryan Brown Risk Management Challenges in Sustainability Themed Portfolios
09:40 - 10:00 Stefan Theußl fPortfolio 4.0 or the Rmetrics Reloaded
10:00 - 10:20 Francois Cocquemas Deep Implied Volatility Surfaces
10:20 - 10:40 Break
10:40 - 11:30 Sam Savage Chancification – The Probability Power Grid
11:30 - 11:37 Daniel Palomar Estimation of Heavy-Tailed Distributions for Portfolio Design
11:37 - 11:44 José Vinícius de Miranda Cardoso Graphs Meet Stock Market Sectors: Theory and Practice in R
11:44 - 11:51 Roberto Delgado Castro Pivot Tables in R for Financial Analysis
11:51 - 12:11 Michael Kane Integrating Technical Risk into Phase 2 Drug Trial Pricing Models
12:11 - 13:05 Lunch
13:05 - 13:25 Oleg Bondarenko How Common is Insider Trading? Evidence from the Options Market
13:25 - 13:45 Nika Juszczak Detecting Fraud in Financial Services Applications Over Time
13:45 - 14:05 Kyle Balkissoon Values Aligned: ESG Screens and Investment Selection Skill
14:05 - 14:25 Break
14:25 - 14:45 Mark Bennett No Mystery: Synthetic Limit Order Books and Accelerated Training for Market Direction Prediction
14:45 - 15:05 Majeed Simaan Buy the Dip?
15:05 - 15:25 Paul Laux Machine Learning for Multi-Market Factor Timing
15:25 - 15:45 Break
15:45 - 15:52 Jason Cho Non-Fungible Token Transactions: Data and Challenges
15:52 - 15:59 Cyril De Lavergne Technology Option Forecasting Ensemble Strategy
15:59 - 16:06 Jay Panchal TBA: Quantum Computing Update
16:06 - 16:26 Leonardo Silvestri dtts: Time-series functionality based on nanotime and data.table
16:26 - 16:46 Troy Hernandez Embracing Serverless for Efficient Data Science and MLOps with IBM Code Engine
16:46 - 17:05 Break
17:05 - 17:25 Thomas Harte A Cunning Plan... The Lambda Calculus, Lisp, Scheme, and R
17:25 - 18:15 Peter Cotton Why is R Beating Python at Microprediction?
18:15 - 18:25 Conclusion
18:25 - 18:35 Transition to reception downstairs (West Terrace)
18:35 - 22:50 Post-conference Reception at West Terrace