R/Finance 2018

June 1 and 2, 2018

Friday, June 1st, 2018
08:00 - 09:00  Optional Pre-Conference Tutorials
  Dirk Eddelbuettel: Rcpp: From Simple Examples to Machine Learning (pdf)
  R. Douglas Martin: Tutorial on Robust Statistics in Quantitative Finance (pdf)
  Brian Peterson: Quantitative Strategy Evaluation with quantstrat/blotter (html)
  Dale Rosenthal: A Tour of Financial Modeling (pdf)
  M. Weylandt, L. Damiano: Bayesian Inference and Volatility Modeling Using Stan
09:00 - 09:30  Registration (2nd floor) & Continental Breakfast (3rd floor)
  Transition between seminars
09:30 - 09:35  Kickoff
09:35 - 09:40  Sponsor Introduction
09:40 - 10:04  Yu Li: Analysis of Predictive Power of Click Data on Fund Flow Using R (pptx)
  Daniel Melendez: Asset and Liability Management with R
  Daniel McKellar: Global Financial Communities: Geography and Industry Effects (pdf)
  Jonathan Regenstein: Shiny Fama French
10:04 - 10:24  Majeed Simaan: Rational Explanation for Rule-of-Thumb Practices in Asset Allocation (pdf)
10:24 - 10:44  Kris Boudt: The Minimum Regularized Covariance Determinant Estimator (pdf)
10:44 - 11:05  Break
11:05 - 11:55  Norm Matloff: Statistical Cinderella: Parallel Computation for the Rest of Us (pdf)
11:55 - 12:55  Lunch
12:55 - 13:15  Matthew Ginley: Approximations for Rare Events Forecasting Under Monotonic Constraints (pdf)
13:15 - 13:35  Rainer Hirk: A Credit Risk Application of Multivariate Ordinal Regression Models using the R package mvord (pdf)
13:35 - 13:59  Wilmer Pineda: Bayesian Estimation of Stock Market Value at Risk Using Vine-Copula models (pdf)
  Neil Hwang: Dynamic k-Partite Stochastic Block Model (pptx)
  Glenn Schultz: Fixed Income Analytics at Scale: Using R and Bond Lab to Improve the UST Securities Market (pptx)
  Dirk Hugen: Investment Analytics with R and PostgreSQL via the PL/R extension (pdf)
13:59 - 14:19  Michael Gordy: Spectral Backtests of Forecast Distributions with Application to Risk Management (pdf)
14:19 - 14:39  Break
14:39 - 15:09  Mario Annau: hdf5r - HDF5 for R Reloaded (html)
  David Smith: Speeding up R with Parallel Programming in the Cloud (pptx)
  Stephen Bronder: Stan (Almost!) Has GPU Capabilities Now! Example Performance of Gaussian Processes (pdf)
  XIn Chen: Generalized Linear Model Fitting with Elastic Net Regularization for Gamma Distributed Data using Rcpp (pdf)
  JJ Lay: Implementation of the stochastic volatility and interest rate model with multiple GPUs in R (pdf)
15:09 - 15:29  Michael Kane: Assessing Systemic Risk in the Bittrex Cryptocurrency Market (docx)
15:29 - 15:49  William Foote: Adventures in Extreme Finance: The Market Risk of Heavy Metal (docx)
15:49 - 16:13  Justin Shea: Economic Time Series Filtering: An Alternative Approach (pdf)
  Thomas Zakrzewski: Q-Gaussian Probability of Defaults Model (pdf)
  Paul Laux: The Timing of Variance Risk Premia around Macroeconomic News Events (pdf)
  Hernando Cortina: The Out-of-Sample Alpha of Just Stocks (pptx)
16:13 - 17:03  JJ Allaire: Machine Learning with TensorFlow and R (html)
17:03 - 17:08  Information about reception and dinner
17:08 - 18:38  Conference Reception
19:08 - 19:08  (Optional) Transfer to Conference Dinner
19:08 -   (Optional) Conference Dinner (Rooftop, Wyndham Hotel)
Saturday, June 2nd, 2018
08:00 - 09:00  Coffee/ Breakfast
09:00 - 09:05  Kickoff
09:05 - 09:35  Ilya Kipnis: A Primer on Volatility ETN Trading Strategies (pptx)
  Matt Dancho: A Time Series Platform For The Tidyverse (pptx)
  Carson Sievert: Building reactive web applications for finance with dash for R
  Michael Kapler: Interactively Exploring Seasonality Patterns in R (pdf)
  Bernhard Pfaff: The R Package rbtc: Implementation of the Core Bitcoin's API (pdf)
09:35 - 09:55  Eran Raviv: Forecast Combinations in R using the ForecastComb Package (html)
09:55 - 10:15  Leopoldo Catania: Predicting Cryptocurrencies Time-Series (pdf)
10:15 - 10:35  Break
10:35 - 10:55  Guanhao Feng: Deep Learning Alpha (pdf)
10:55 - 11:15  Xiao Qiao: Correlated Idiosyncratic Volatility Shocks (pdf)
11:15 - 12:05  Li Deng: AI In Finance (pptx)
12:05 - 12:35  Keven Bluteau: Abnormal Tone and Abnormal Returns: An Event Study Analysis (pdf)
  Samuel Borms: The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment (pdf)
  Kyle Balkissoon: Weather and Text Data for Investment Research (pdf)
  Petra Bakosova: Seasonal Effect, Trends and Pre-Announcement Drifts: From Anomalies to Trades (pdf)
  Che Guan: Machine Learning Application in Digital Currency Price Prediction (pdf)
12:35 - 13:40  Lunch
13:40 - 14:00  David Ardia: Questioning the News about Economic Growth: Sparse Forecasting Using Thousands of News-based Sentiment Values
14:00 - 14:20  Dries Cornilly: The rTrawl Package for Modeling High Frequency Financial Time Series (pptx)
14:20 - 14:40  Luis Damiano: Hierarchical Hidden Markov Models in High-Frequency Stock Markets (pdf)
14:40 - 15:10  Phillip Guerra: A Practitioner's Defense of the Use of Auto-Trading Algorithms (pdf)
  Krishna Kumar: Genetic Programming Applied to FX Trading
  Bryan Lewis: A Funny Thing Happened on the Way to the Banach Space
  Pedro Albuquergue: Conditional Autoregressive Value-at-Risk: all flavors of CAViaR. (pdf)
  Angela Li and Soumya Kalra: R-Ladies on Diversity (pptx)
15:10 - 15:30  Stephen Rush: Currency Risk and Information Diffusion (pdf)
15:30 - 15:50  Break
15:50 - 16:10  Jasen Mackie: Round Turn Trade Simulation (html)
16:10 - 16:30  Thomas Harte: Trading the Untradable: Pricing Derivatives When Prices Are Not Observable (pdf)
16:30 - 16:50  Conclusion
16:50 - 17:05  Transition to Cruz Blanca
17:05 - 21:20  Post-conference Reception at Cruz Blanca

The program is subject to change and may be updated as needed.

Call For Papers

The tenth annual R/Finance conference for applied finance using R will be held June 1 and 2, 2018 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.

Over the past nine years, R/Finance has included attendees from around the world. It has featured presentations from prominent academics and practitioners, and we anticipate another exciting line-up for 2018.

We invite you to submit complete papers in pdf format for consideration. We will also consider one-page abstracts (in txt or pdf format) although more complete papers are preferred. We welcome submissions for both full talks and abbreviated lightning talks. Both academic and practitioner proposals related to R are encouraged.

All slides will be made publicly available at conference time. Presenters are strongly encouraged to provide working R code to accompany the slides. Data sets should also be made public for the purposes of reproducibility (though we realize this may be limited due to contracts with data vendors). Preference may be given to presenters who have released R packages.

Please submit proposals online at go.uic.edu/rfinsubmit. Submissions will be reviewed and accepted on a rolling basis with a final submission deadline of February 2, 2018. Submitters will be notified via email by March 2, 2018 of acceptance, presentation length, and financial assistance (if requested).

Financial assistance for travel and accommodation may be available to presenters. Requests for financial assistance do not affect acceptance decisions. Requests should be made at the time of submission. Requests made after submission are much less likely to be fulfilled. Assistance will be granted at the discretion of the conference committee.

Additional details will be announced via this conference website as they become available. Information on previous years' presenters and their presentations are also at the conference website. We will make a separate announcement when registration opens.

For the program committee:

Gib Bassett, Peter Carl, Dirk Eddelbuettel, Brian Peterson,
Dale Rosenthal, Jeffrey Ryan, Joshua Ulrich

Chicago bean image under cc by-nc-sa 2.0: Credits

Registration Details

The main conference registration fees are listed below. The registration fee includes access to Friday and Saturday sessions, as well as lunch on Friday and Saturday. Optional pre-conference seminars, held early on Friday, are available for a separate fee.


Conference registration will increase by 50% at the end of early registration on May 21, 2018.

Conference Registration:
Seminar Registration
Industry/Academic/Student $75
Conference Dinner

Seminar Details

Several one-hour seminars are offered on Friday morning from 08:00 to 09:00am. The cost is $75, and the seminars are offered in parallel so only one can be selected per participant.
  1. Dirk Eddelbuettel: Rcpp: From Simple Examples to Machine Learning
  2. Michael Weylandt/Luis Damiano: Bayesian Inference and Volatility Modeling using Stan
  3. Brian Peterson: Quantitative Strategy Evaluation with quantstrat/blotter
  4. Doug Martin: Robust Statistics in Quantitative Finance
  5. Dale Rosenthal: A Tour of Financial Modeling
During registration for the conference, one may select either a seminar or none.

Pre-conference seminars are optional, as is the conference dinner.

The conference is limited to 300 attendees.

Seminars are limited to approximately 40 to 60 participants.

In previous years, the majority of seminars sold out early! Space for the conference dinner is also limited and expected to sell out early.

Chicago bean image under cc-by 2.0: Credits