R/Finance 2014: Applied Finance with R

May 16 & 17, Chicago, IL, USA

Revolution Analytics
University of Washington

> agenda(2014)
Friday, May 16th, 2014
08:00 - 09:00Optional Pre-Conference Tutorials
Ross Bennett: Complex Portfolio Optimization with PortfolioAnalytics (pdf)
Yi-An Chen: Estimating Factor Models and Managing Risk with FactorAnalytics (pdf)
Matt Dowle: Introduction to data.table (pdf)
Dirk Eddelbuettel: An Example-Driven Hands-on Introduction to Rcpp (pdf)
09:00 - 09:30Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
Transition between seminars
09:30 - 09:35Kickoff
09:35 - 09:40Sponsor Introduction
09:40 - 10:30Luke Tierney: Some Performance Improvements for the R Engine (pdf)
10:30 - 11:00Karl Polen: Private Equity Performance Analytics Implemented in R (pdf)
Mark Bennett: Data Mining with Markowitz Portfolio Optimization in Higher Dimensions (pdf)
John Burkett: Portfolio Optimization: Utility, Computaton, Equities Applications (pdf)
Yang Lu: Re-Evaluation of the Low-Risk Anomaly in Finance via Matching (pdf)
Maria Belianina: Multi-Factor Models and Analytics with R, OneTick, and OneQuantData (pdf)
11:00 - 11:30Break
11:30 - 11:50Avery Moon: Tax Efficient Portfolios (pdf)
11:50 - 12:10Steven Pav: Portfolio Inference with this One Weird Trick (pdf)
12:10 - 12:30Tobias Setz: BCP Stability Analytics: New Directions in Tactical Asset Management (pdf)
12:30 - 13:40Lunch
13:40 - 14:10Paul Teetor: Bootstrapping Seasonal Spreads (pdf)
Matthew Clegg: On the Persistence of Cointegration in Pairs Trading (pdf)
Kent Hoxsey: Exploring Trading System Expectation (pdf)
Doug Martin: Tests for Robust versus Least Squares Factor Model Fits (pptx)
Bernhard Pfaff: The R package cccp: Solving Cone Constrained Convex Programs (pdf)
14:10 - 14:30Matthew Barry: Package pbo: Probability of Backtest Overfitting (pdf)
14:30 - 15:20Alexios Ghalanos: Twinkle, twinkle little STAR: Smooth Transition AR Models in R (pdf)
15:20 - 15:45Break
15:45 - 15:51Michael Kapler: Average Correlation and Adaptive Shrinkage Estimators (pdf)
15:51 - 16:11Steven Greiner: Stress Testing your way to Better Portfolio Management (pptx)
16:11 - 16:31Kris Boudt: Asset Allocation with Higher Order Moments and Factor Models (pdf)
16:31 - 16:51Marcello Colasante: Quantitative Portfolios, Trading Strategies via Factor Entropy Pooling (pptx)
16:51 - 17:00Information about reception and dinner
17:00 - 19:00Conference Reception
19:00 - Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 17th, 2014
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:29Chirag Anand: eventstudies: An R Package for Conducting Event Studies (pdf)
Vyacheslav Arbuzov: Microstructure of Fin. Markets. HFT, Regulation and Structural Changes (pdf)
Heidi Chen: An R Package on Credit Default Swaps (pdf)
James Thewissen: Sentiment Dynamics and Information Content within CEO Letters (pdf)
09:29 - 09:49Casey King: Anti-Money Laundering and Suspicious Activity Reporting: A New Hope (pptx)
09:49 - 10:09Bryan Lewis: New Ideas for Large Network Analysis, Implemented in R (pdf)
10:09 - 10:29David Matteson: Identifying Recessions in Real-Time Using Time-Freq. Functional Models (pdf)
10:29 - 10:54Break
10:54 - 11:14Stephen Rush: Twenty Years of VPIN (pdf)
11:14 - 12:04Bob McDonald: Using R in a Business School (pdf)
12:04 - 12:22Krishna Kumar: A Greeks Tour with R in Greektown
Karl-Kuno Kunze: Package 'Intermediate and Long Memory Time Series' (ILMTS) (pdf)
Eric Zivot: Modeling Financial Time Series with R (pdf)
12:22 - 13:42Lunch
13:42 - 14:02Rohini Grover: The Imprecision of Volatility Indexes (pdf)
14:02 - 14:22Gregor Kastner: stochvol: Dealing with Stochastic Volatility in Time Series (pdf)
14:22 - 14:52Break
14:52 - 15:42Bill Cleveland: Divide and Recombine for the Analysis of Large Complex Data with R (pdf)
15:42 - 16:02Matthew Dixon: gpusvcalibration: Fast Stochastic Volatility Model Calibration using GPUs (pdf)
16:02 - 16:22Michael Kane: Distributed Data Structures in R for General, Large-scale Computing
16:22 - 16:34Kjell Konis: The FlexBayes Package (pdf)
Dirk Eddelbuettel: Building Simple Redis Data Caches (pdf)
16:34 - 16:49Prizes and Feedback
16:49 - 17:00Conclusion
17:00 - Post-conference Drinks at Jak's Tap
Download the printable agenda in pdf format.