R/Finance 2013: Applied Finance with R

May 17 & 18, Chicago, IL, USA

> agenda(2013)
Friday, May 17th, 2013
08:00 - 09:00Optional Pre-Conference Tutorials
Armstrong/Lewis: An Introduction to Distributed Computing in R (pdf)
Matthew Dowle: Advanced Tutorial on data.table (pdf)
Humme/Peterson: Using quantstrat to evaluate intraday trading strategies (pdf)
Dirk Eddelbuettel: Example-driven Introduction to Rcpp (pdf)
Jeff Ryan: R Programming for Financial Data (pdf)
09:00 - 09:30Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
09:30 - 09:35Welcome and Opening Remarks
09:35 - 09:45Introduction of Sponsors
09:45 - 10:35Ryan Sheftel: R on the Trading Desk (pdf)
10:35 - 10:55David Ardia: Implied expected returns and the choice of a mean-variance efficient portfolio proxy (pdf)
10:55 - 11:15Ronald Hochreiter: Financial Portfolio Optimization with (O)R (pdf)
11:15 - 11:45Break
11:45 - 12:05Bernhard Pfaff: Portfolio Selection with Probabilistic Utility: Revisited (pdf)
12:05 - 12:30Maria Belianina: OneTick and R: Handling High and Low Frequency Data (pdf)
Yang Lu: Performance Attribution for Equity Portfolios (pdf)
Michael Kapler: Portfolio Allocation with Cluster Risk Parity (pdf)
Tammer Kamel: Quandl: A new source of financial data for R users
12:30 - 13:50Lunch
13:50 - 14:10Doug Martin: Robust Covariances And Distances: Common Risk Factor Versus Idiosyncratic Outliers (pdf)
14:10 - 14:30Giles Heywood: Covariance forecasting for portfolio optimisation (pdf)
14:30 - 14:55Break
14:55 - 15:45Ruey Tsay: Multivariate Processes in R (pdf)
15:45 - 16:05Alexios Ghalanos: Time Varying Higher Moments and the Cost of GARCH (pdf)
16:05 - 16:25Kris Boudt: Regime Switches in Volatility and Correlation of Financial Institutions (pdf)
16:25 - 16:45David Matteson: Nonparametric Estimation of Stationarity and Change Points in Finance (pdf)
16:45 - 16:51Celine Sun: Estimating High Dimensional Covariance Matrices Using a Factor Model (ppt)
16:51 - 16:57Winston Chang: Shiny: Building interactive web applications with R
16:57 - 17:00Information About Reception, Dinner
17:00 - 18:55Conference Reception
18:55 - Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 18th, 2013
08:00 - 09:00Coffee / Breakfast
09:00 - 09:05Kickoff
09:05 - 09:24Christian Silva: Understanding moving averages strategies with the help of toy models using R (pdf)
Vyacheslav Arbuzov: Modeling and analysis of financial crashes using empirical market microstructure with parallel computations in R (pdf)
Stephen Rush: The Bond Coupon's Impact on Liquidity (pdf)
09:24 - 09:44Azzarello/Putnam: A Bayesian interpretation of the Federal Reserve's dual mandate and the Taylor Rule (pdf)
09:44 - 10:04Grant Cavanaugh: Using Markov Models in R to Understand the Lifecycle of Exchange-traded Derivatives (pdf)
10:04 - 10:40Break
10:40 - 11:00Jiahan Li: Efficient "Kitchen-Sink" Forecasts for Exchange Rates (pdf)
11:00 - 11:20Thomas Harte: Pricing FX Forwards: Tricks of the Trade (pdf)
11:20 - 12:10Sanjiv Das: R in Academic Finance: From Theory to Practice (with Applications) (pptx)
12:10 - 13:20Lunch
13:20 - 13:40Dirk Eddelbuettel: RcppArmadillo: Accelerating R with High-Performance C++ Linear Algebra (pdf)
13:40 - 14:00Klaus Spanderen: R/QuantLib Integration (pdf)
14:00 - 14:20Bryan Lewis: The scidb package: an R interface to SciDB (pdf)
14:20 - 14:40Matthew Dowle: Introduction to data.table (pdf)
Chris Blakely: Realizing the Future with C, Java, and R: A Multi-Language High-Frequency Volatility Modeling Environment (pdf)
Mathieu Lestel: Ex post risk analysis: How the GSoC contributed to PerformanceAnalytics (pdf)
14:40 - 15:10Break
15:10 - 16:00Attilio Meucci: Advanced Risk and Portfolio Management - A Visual Introduction
16:00 - 16:06Brian Peterson: Implementing Meucci's Work in R (pdf)
16:06 - 16:26Thomas Hanson: The Impact of Computational Error on the Volatility Smile (pdf)
16:26 - 16:38Kam Hamidieh: Recovering Risk Neutral Density from Traded Options Using R (pdf)
Jeffrey Ryan: Options Trading with R: An Introduction to the greeks Package (pdf)
16:38 - 16:40Feedback Forms
16:40 - 16:45Paper Awards
16:45 - 16:50Conclusion
16:50 - 17:00Transition to Jak's
17:00 - Post-conference Drinks at Jak's Tap
Download the printable agenda in pdf format.