R/Finance 2011: Applied Finance with R
April 29 & 30, Chicago, IL, USA
| Thursday, April 28th, 2011 | ||||
| 9:00 | - | 17:00 | Optional Pre-Conference Workshop | |
| Eddelbuettel/Francois: R / C++ Integration with Rcpp and RInside | ||||
| Friday, April 29th, 2011 | ||||
| 9:00 | - | 11:00 | Optional Pre-Conference Tutorials | |
| Ryan: Automated Trading with R | ||||
| Yollin: High-Frequency Financial Data Analysis with R | ||||
| Zivot: Financial Risk Models with R | ||||
| 12:15 | - | 12:30 | Welcome and opening remarks | |
| 12:30 | - | 13:20 | Faber: Global Tactical Investing | |
| 13:20 | - | 13:40 | Boudt: Intraday Liquidity Dynamics Of The DJIA Around Price Jumps | |
| 13:40 | - | 14:00 | Dunand-Chatellet: Mutually Exciting Hawkes Processes for Microstructure Noise Modelling | |
| 14:00 | - | 14:20 | Kane: Evaluating the Effect of FINRA's New Circuit Breaker Regulation | |
| 14:20 | - | 14:50 | Break | |
| 14:50 | - | 15:40 | Iacus: Statistical Analysis of Financial Time Series and Option Pricing in R | |
| 15:40 | - | 16:00 | Switanek: The Impact of News Readability on Market Response Times | |
| 16:00 | - | 16:20 | Break | |
| 16:20 | - | 16:40 | Lewis: The betfair Package | |
| 16:40 | - | 17:00 | Kumar: Carry Trades - Don't Get Carried Away | |
| 17:00 | - | 17:30 | Nelson: Beyond Vignettes: Dexy for Documenting R and More | |
| Rothermich: Alt. Data Sources for Measuring Market Sentiment and Events | ||||
| Long: The Segue Package for R | ||||
| 17:30 | - | 22:00 | Conference Reception and optional Dinner (East Terrace and Rivers Restaurant) | |
| Saturday, April 30th, 2011 | ||||
| 8:00 | - | 9:00 | Continental Breakfast | |
| 9:00 | - | 9:30 | Rowe: A Beautiful Paradigm: Functional Programming in Finance | |
| Ryan: High Performance Time Series in R: xtime, xts, and indexing | ||||
| Peterson: Building and Testing Quantitative Strategy Models in R | ||||
| 9:30 | - | 9:50 | Zivot: Factor Risk and Performance Attribution | |
| 9:50 | - | 10:10 | Gramacy: Shrinkage Regression for Multivariate Inference with missing data ... | |
| 10:10 | - | 10:30 | Break | |
| 10:30 | - | 10:50 | Martin: Tail Risk Budgeting versus Modern Portfolio Theory | |
| 10:50 | - | 11:10 | Niemenmaa: Benchmarking Parallel Loops Without Data Dependency in R | |
| 11:10 | - | 12:00 | Bollinger: Yesterday, Today and Tomorrow: A Trip Through Computational Finance | |
| 12:00 | - | 13:30 | Sponsor Lunch with presentations by Revolution, OneTick and RStudio | |
| Yollin: Can you do better than cap-weighted equity benchmarks? | ||||
| Belianina: Solutions from OneTick and R | ||||
| Cheng: RStudio | ||||
| 13:30 | - | 14:00 | Teetor: Better Hedge Ratios | |
| Ang: The Impact of Oil Prices on the Houston Housing Market and Economy | ||||
| Yadav: Modeling Low Default Credit Portfolios in R | ||||
| 14:00 | - | 14:20 | Wildi: Multivariate DFA | |
| 14:20 | - | 14:40 | Matteson: Independent Component Analysis via Distance Covariance | |
| 14:40 | - | 15:00 | Break | |
| 15:00 | - | 15:50 | Kates: R and proto | |
| 15:50 | - | 16:10 | Vermes: Stochastic Volatility Models Massively Parallel in R | |
| 16:10 | - | 16:30 | Pfaff: Interfacing NEOS from R: The rneos Package | |
| 16:30 | - | 17:00 | Horner: Rack: A Web Server Interface for R | |
| Haynold:: RserveCLI: An Rserve Client Implementation for CLI/.NET | ||||
| North: Repast Simphony | ||||
| 17:00 | - | 17:15 | Closing remarks | |