April 24 & 25, 2009

Tutorials

• Peter Carl: PerformanceAnalytics
• Dirk Eddelbuettel: High Performance Computing with R
• Brian Peterson: PerformanceAnalytics
• Dale Rosenthal: Market Microstructure
• Jeffrey Ryan: xts/quantmod

Keynote Presenters

• Patrick Burns: Random Portfolios: Theory and Practice
• Robert Grossman: Cloud-based Architectures for Financial Applications using R
• David Kane: Matching Portfolios
• Roger Koenker: Quantile Regression in R: For Fin and Fun
• David Ruppert: Statistics for Financial Engineering: Some Examples
• Diethelm Wuertz: Portfolio Analysis and Optimization with R/Rmetrics
• Eric Zivot: Making the Transition from S-PLUS and S+Finmetrics and Using R in a Hedge Fund of Funds Environment

Contributing Presenters

• Yohan Chalabi: Econometrics and Practice: Mind the Gap
• Hedibert Lopes: Particle Learning and Smoothing
• Krishna Kumar: Numerical Integration and Exotics
• Christoph Leitner and Paul Hofmarcher: Latent Variable Approach to Validate Credit Rating
• Wei-han Liu: Detecting Structural Breaks
• Bryan Lewis: Backtesting Trading Rules with ParallelR
• David Matteson: ICA for Multivariate Nonlinear Financial Time Series
• Klaus Rheinberger: VEC and GVAR Models using R
• Brian Rowe: Filtering noise in correlation matrics
• Guy Yollin: R tools for Portfolio Optimization
• Joon-Hui Yoon: Event Study: Change-Point Model