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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