| Optional Pre-Conference tutorials (Ft. Dearborn & Cardinal Rooms)
|
09:00 - 10:00 | Eddelbuettel
Rcpp / RinsideExtending and Embedding R with C
(pdf) |
| Carl/Peterson/Boudt
Complex Portfolio Optimization with Generalized Business Objectives
(pdf) |
10:00 - 11:00 | Seligman
GPU Programming with R
(pdf) |
| Ryan
Trading with RIdea to Execution in 50 Minutes with IBrokers and R
(pdf) |
| Opening Remarks
|
12:30 - 13:30 | Zeileis
Testing, Monitoring and Dating Structural Change in FX Regimes
(pdf) |
13:30 - 14:00 | Smith
Analysing Large-Scale Financial Data Sets in R
(pdf) |
14:00 - 14:30 | Plate
Mean-variance Portfolio OptimizationDo Historical Correlations Help or Hinder Risk Control in a Crisis
(pdf) |
14:30 - 15:00 | Break
|
15:00 - 16:00 | Vince/Macbeth
Leverage Space Portfolio Model |
16:00 - 16:30 | Boudt
Portfolio Optimization with Conditional Value-at-Risk Budgets
(pdf) |
16:30 - 17:00 | Kane/Lewis
The esperr package and the Esper API
(pdf) |
17:00 - 17:30 | Carl
The blotter / instrument / strategy toolchain
(pdf) |
| Liu
Improved Generalized Gram-Charlier Expansions based on Multivariate Skew Distributions
(pdf) |
| Wang
Strategic Asset Allocation using Markov Switching
(pdf) |
| Long
Zen and the Art of Stochastic Dart Throwing (How I Build Insurance / Reinsurance Models with R
(pdf) |
17:30 - 19:30 | Conference Reception (East Terrace)
|