R/Finance 2015: Applied Finance with R

May 29 & 30, Chicago, IL, USA

Revolution Analytics
University of Washington
Interactive Brokers
Ketchum Trading
> agenda(2015)
Friday, May 29th, 2015
08:00 - 09:00Optional Pre-Conference Tutorials
Ross Bennett: PortfolioAnalytics: Advanced Moment Estimation & Optimization (pdf)
Kris Boudt: High-frequency Price Data Analysis in R (pdf)
Dirk Eddelbuettel: Hands-on Introduction to Rcpp (pdf)
Guy Yollin: Getting Started with Quantstrat
Maria Belianina: An Introduction to OneTick
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 - 10:30Emanuel Derman: Understanding the World
10:30 - 10:54John Burkett: Portfolio Optimization: Price Predictability, Utility Functions, Computational Methods, and Applications (pdf)
Kyle Balkissoon: A Framework for Integrating Portfolio-level Backtesting with Price and Quantity Information (html)
Anthoney Tsou: Implementation of Quality Minus Junk (html)
Ilya Kipnis: Flexible Asset Allocation With Stepwise Correlation Rank (pptm)
10:54 - 11:20Break
11:20 - 11:40Sanjiv Das: Efficient Rebalancing of Taxable Portfolios (pdf)
11:40 - 12:00Marjan Wauters: Characteristic-based equity portfolios: economic value and dynamic style allocation (pdf)
12:00 - 12:20Bernhard Pfaff: The sequel of cccp: Solving cone constrained convex programs
12:20 - 13:40Lunch
13:40 - 14:00Markus Gesmann: Communicating risk - a perspective from an insurer (pdf)
14:00 - 14:20Doug Martin: Nonparametric vs Parametric Shortfall: What are the Differences?
14:20 - 14:40Matthew Dixon: Risk Decomposition for Fund Managers (pdf)
14:40 - 15:10Rohit Arora: Inefficiency of Modified VaR and ES (pdf)
Mark Bennett: Gaussian Mixture Models for Extreme Events (pdf)
Steven Pav: Portfolio Cramer-Rao Bounds (why bad things happen to good quants) (pdf)
Majeed Simaan: Global Minimum Variance Portfolio: a Horse Race of Volatilities (pdf)
Rob Krzyzanowski: Building Better Credit Models through Deployable Analytics in R (pptx)
15:10 - 15:40Break
15:40 - 16:00Rohini Grover: The informational role of algorithmic traders in the option market (pdf)
16:00 - 16:20Oleg Bondarenko: High-Frequency Trading Invariants for Equity Index Futures (pdf)
16:20 - 16:40Matt Brigida: Markov Regime-Switching (and some State Space) Models in Energy Markets (pdf)
16:40 - 16:58Jerzy Pawlowksi: Are High Frequency Traders Prudent and Temperate? (pdf)
Stephen Rush: Information Diffusion in Equity Markets (pdf)
Vincenzo Giordano: Quantifying the Risk and Price Impact of Energy Policy Events on Natural Gas Markets Using R (with Soumya Kalra) (pdf)
16:58 - 17:00Information about reception and dinner
17:00 - 19:00Conference Reception
19:00 - 19:20(Optional) Transfer to Conference Dinner
19:20 - Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 30th, 2015
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:29Yuanchu Dang: Credit Default Swaps with R (with Zijie Zhu) (html)
Dirk Eddelbuettel: Rblpapi: Connecting R to the data service that shall not be named (pdf)
Guy Yollin: Fundamental Factor Model DataBrowser using Tableau and R (pptx)
Matt Dowle: Fast automatic indexing with data.table (pdf)
09:29 - 09:49Marius Hofert: Parallel and other simulations in R made easy: An end-to-end study (pdf)
09:49 - 10:09Bryan Lewis: More thoughts on the SVD and Finance (html)
10:09 - 10:35Break
10:35 - 10:55Mark Seligman: The Arborist: a High-Performance Random Forest Implementation (pdf)
10:55 - 11:15Hadley Wickham: Data ingest in R (pdf)
11:15 - 12:05Louis Marascio: An Outsider's Education in Quantitative Trading  (pdf)
12:05 - 13:25Lunch
13:25 - 13:43Matthew Clegg: The partialAR Package for Modeling Time Series with both Permanent and Transient Components (pdf)
Michael Kapler: Follow the Leader - the application of time-lag series analysis to discover leaders in S&P 500 (pdf)
Chris Green: Detecting Multivariate Financial Data Outliers using Calibrated Robust Mahalanobis Distances (pdf)
13:43 - 14:03Eric Zivot: Price Discovery Share-An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds (pptx)
14:03 - 14:23Nicholas James: Efficient Multivariate Analysis of Change Points (pdf)
14:23 - 14:43William Nicholson: Structured Regularization for Large Vector Autoregression (pdf)
14:43 - 15:10Break
15:10 - 16:00Alexander McNeil: R Tools for Understanding Credit Risk Modelling  (pdf)
16:00 - 16:20Sanjiv Das: Matrix Metrics: Network-Based Systemic Risk Scoring (pdf)
16:20 - 16:40Gergely Daroczi: Network analysi‚Äčs of the Hungarian interbank lending market (pdf)
16:40 - 16:46Kresimir Kalafatic: Financial network analysis using SWIFT and R (pdf)
16:46 - 16:55Prizes and Feedback
16:55 - 17:00Conclusion
17:00 - 17:10Transition to Jak's
17:10 - Post-conference Drinks at Jak's Tap