R/Finance 2011: Applied Finance with R
April 29 & 30, Chicago, IL, USA

UIC ICFD             Revolution Analytics
OneMarketData         RStudio         lemnica

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