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