R/Finance 2010: Applied Finance with R
April 16 & 17, Chicago, IL, USA

UIC ICFD     REvolution Computing     OneMarketData     Insight Algorithmics
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Friday, April 16th, 2010
University of Illinois at Chicago Student Center East Illinois Rooms (3rd floor)
Optional Pre-Conference tutorials (Ft. Dearborn & Cardinal Rooms)
9:00am10:00amEddelbuettel: Rcpp / Rinside: Extending and Embedding R with C++ (pdf)
Carl/Peterson/Boudt: Complex Portfolio Optimization with Generalized Business Objectives (pdf)
10:00am11:00amSeligman: GPU Programming with R (pdf)
Ryan: Trading with R: Idea to Execution in 50 Minutes with IBrokers and R (pdf)
  Opening remarks
12:30am- 1:30pm Zeileis: Testing, Monitoring and Dating Structural Change in FX Regimes (pdf)
1:30pm - 2:00pm Smith: Analysing Large-Scale Financial Data Sets in R (pdf)
2:00pm - 2:30pm Plate: Mean-variance Portfolio Optimization: Do Historical Correlations Help or Hinder Risk Control in a Crisis ? (pdf)
2:30pm - 3:00pm Break
3:00pm - 4:00pm Vince/Macbeth: Leverage Space Portfolio Model
4:00pm - 4:30pm Boudt: Portfolio Optimization with Conditional Value-at-Risk Budgets (pdf)
4:30pm - 5:00pm Kane/Lewis: The esperr package and the Esper API (pdf)
5:00pm - 5:30pm Carl: The blotter / instrument / strategy toolchain (pdf)
Liu: Improved Generalized Gram-Charlier Expansions based on Multivariate Skew Distributions (pdf)
Wang: Strategic Asset Allocation using Markov Switching (pdf)
Long: Zen and the Art of Stochastic Dart Throwing (How I Build Insurance / Reinsurance Models with R) (pdf)
5:30pm - 7:30pm Conference Reception (East Terrace)
Saturday, April 17th, 2010
8:00am - 9:00am Continental Breakfast
9:00am - 9:30am Buckner/Seligman: GPU computing with the gputools package (pdf)
9:30am - 10:00am Guha: R and Hadoop Integrated Processing Environment (ppt)
10:00am - 10:30am Theussl: Distributed Text Mining with tm (pdf)
10:30am - 11:00am Break
11:00am - 12:00am Pfaff: Risk Modeling with R (pdf)
12:00pm - 1:00pm Lunch
1:00pm - 1:30pm Cornelissen: RTAQ: Tools for Analysis of Trades and Quotes (pdf)
Grossman: Running R over Clouds: Why There are So Many Choices and Why They Matter
Christou/Diez: Statistical Finance for Investors Unfamiliar with Quantitative Methods (pdf)
1:30pm - 2:00pm Belianina: Data Management Challenges for Quantitative Research (pdf)
2:00pm - 3:00pm Wildi: Adapting the MDFA to `Financial Trading' (ppt)
3:00pm - 3:30pm Break
3:30pm - 4:00pm Zivot: Simulation-based Estimation of Continuous Time Models (pdf)
4:00pm - 4:30pm Eddelbuettel/Nguyen: RQuantLib: Interfacing QuantLib from R (pdf)
4:30pm - 5:00pm Ryan: Databasing without the Database: The indexing package (pdf)
Ulrich: Fast and Flexible Technical Analysis with TTR (pdf)
Koning: Thick Tails, Thin Tails, or Dependence? (pdf)
North: R and Repast Simphony (pdf)
Closing remarks
Download printable agenda as pdf