R/Finance 2016: Applied Finance with R

May 20 & 21, Chicago, IL, USA

> agenda(2016)
Friday, May 20th, 2016
08:00 - 09:00Optional Pre-Conference Tutorials
Ross Bennett: Feasible Space Analysis and Hierarchical Optimization with PortfolioAnalytics (html)
Dirk Eddelbuettel: Introduction to Rcpp and RcppArmadillo (pdf)
Doug Service: Leveraging Azure Compute from R (pdf)
T. Harte + M. Weylandt: Modern Bayesian Tools for Time Series Analysis (html)
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 - 10:20Rishi Narang: Rage Against the Machine Learning (pptx)
10:20 - 10:50Robert McDonald: The derivmkts package (pdf)
Piotr OrÅ‚owski: Modeling Divergence Swap Rates (pdf)
Jerzy Pawlowski: Exploring Higher Order Risk Premia Using High Frequency Data (pdf)
Majeed Simaan: The Implicit Value of Tracking the Market (pdf)
Kris Boudt: Block rearranging elements within matrix columns to minimize the variability of the row sums (pdf)
10:50 - 11:20Break
11:20 - 11:40Brian Boonstra: Calibrating Parsimonious Models Of Equity-Linked Default Intensity (pdf)
11:40 - 12:00Matthew Ginley: Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation (pdf)
12:00 - 12:20Klaus Spanderen: Calibration of the Heston Local Stochastic Volatility Model (pdf)
12:20 - 13:25Lunch
13:25 - 14:05Tarek Eldin: Random Pricing Errors and Systematic Returns: The Flaw in Fundamental Prices (pptx)
14:05 - 14:25Sanjiv Das: An Index-Based Measure of Liquidity (pdf)
14:25 - 14:45Ryan Hafen: Interactively Exploring Financial Trades in R (html)
14:45 - 15:09Nidhi Aggarwal: The causal impact of algorithmic trading on market quality (pdf)
Chirag Anand: Liquidity provision in a high-frequency environment (pdf)
Maria Belianina: OneTick and R (pptx)
Patrick Howerter: Connecting QAI to R (pdf)
15:09 - 15:40Break
15:40 - 16:00Marc Wildi: Monitoring the US Economy: a System of Timely (Real-Time Daily Mixed-Frequency) Indicators (pdf)
16:00 - 16:18Sile Li: Constructing US Employment Google Search Index by Applying Principal Component Analysis (pdf)
Doug Martin: Information Ratio Maximizing Fundamental Factor Models (pdf)
Robert Franolic: Eyes on FX
16:18 - 16:58Frank Diebold: Estimating Global Bank Network Connectedness (pdf)
16:58 - 17:04Information about reception and dinner
17:04 - 19:04Conference Reception
19:04 - 19:24(Optional) Transfer to Conference Dinner
19:24 - (Optional) Conference Dinner (Riverside Room and Gallery at Trump Hotel)
Saturday, May 21st, 2016
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:35Hsiu-lang Chen: Do Mutual Funds Exploit Information from Option Prices for Equity Investment? (pptx)
Kyle Balkissoon: A Practitioners analysis of the overnight effect (pdf)
Mark Bennett: Measuring Income Statement Sharpe Ratios using R (pdf)
Mark Bennett: Implementation of Value Strategies using R (pdf)
Matt Brigida: Community Finance Teaching Resources with R/Shiny (html)
09:35 - 09:55Bernhard Pfaff: Portfolio Selection with Multiple Criteria Objectives (pdf)
09:55 - 10:15Douglas Service: Quantitative Analysis of Dual Moving Average Indicators in Automated Trading Systems (pdf)
10:15 - 10:45Marjan Wauters: Smart beta and portfolio insurance: A happy marriage? (pdf)
Michael Kapler: Tax Aware Backtest Framework (pdf)
Miller Zijie Zhu: Backtest Graphics (html)
Laura Vana: Portfolio Optimization Modeling (pdf)
Ilya Kipnis: Hypothesis Driven Development: An Understandable Example (pptx)
10:45 - 11:05Break
11:05 - 11:25Mark Seligman: Controlling for Monotonicity in Random Forest Regressors (pdf)
11:25 - 11:45Michael Kane: glmnetlib: A Low-level Library for Regularized Regression (html)
11:45 - 12:05Xiao Qiao: A Practitioner's Defense of Return Predictability (pdf)
12:05 - 13:05Lunch
13:05 - 13:45Patrick Burns: Some Linguistics of Quantitative Finance (pdf)
13:45 - 14:05Eran Raviv: Forecast combinations in R using the ForecastCombinations package (pdf)
14:05 - 14:35Kjell Konis: Comparing Fitted Factor Models with the fit.models Package (pdf)
Steven Pav: Madness: a package for Multivariate Automatic Differentiation (pdf)
Paul Teetor: Are You Trading Mean Reversion or Oscillation? (pdf)
Pedro Alexander: Portfolio Selection with Support Vector Regression (ppt)
Matthew Dixon: Seasonally-Adjusted Value-at-Risk (pdf)
14:35 - 15:05Break
15:05 - 15:25Bryan Lewis: R in Practice (html)
15:25 - 15:45Matt Dziubinski: Getting the most out of Rcpp: High-Performance C++ in Practice (pdf)
15:45 - 15:57Mario Annau: h5 - An Object Oriented Interface to HDF5 (pdf)
Dirk Eddelbuettel: Rblapi Revisited: One Year Later (pdf)
15:57 - 16:17Jason Foster: Multi-Asset Principal Component Regression using RcppParallel (pdf)
16:17 - 16:37Qiang Kou: Deep learning in R using MxNet (pdf)
16:37 - 16:49Prizes and Feedback
16:49 - 16:54Conclusion
16:54 - 17:04Transition to Jak's
17:04 - Post-conference Drinks at Jak's Tap