Friday, April 16th, 2010
Optional Pre-Conference tutorials (Ft. Dearborn & Cardinal Rooms)
09:00 - 10:00Eddelbuettel Rcpp / RinsideExtending and Embedding R with C (pdf)
Carl/Peterson/Boudt Complex Portfolio Optimization with Generalized Business Objectives (pdf)
10:00 - 11:00Seligman GPU Programming with R (pdf)
Ryan Trading with RIdea to Execution in 50 Minutes with IBrokers and R (pdf)
Opening Remarks
12:30 - 13:30Zeileis Testing, Monitoring and Dating Structural Change in FX Regimes (pdf)
13:30 - 14:00Smith Analysing Large-Scale Financial Data Sets in R (pdf)
14:00 - 14:30Plate Mean-variance Portfolio OptimizationDo Historical Correlations Help or Hinder Risk Control in a Crisis (pdf)
14:30 - 15:00Break
15:00 - 16:00Vince/Macbeth Leverage Space Portfolio Model
16:00 - 16:30Boudt Portfolio Optimization with Conditional Value-at-Risk Budgets (pdf)
16:30 - 17:00Kane/Lewis The esperr package and the Esper API (pdf)
17:00 - 17:30Carl 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 - 19:30Conference Reception (East Terrace)
Saturday, April 17th, 2010
08:00 - 09:00Continental Breakfast
09:00 - 09:30Buckner/Seligman GPU computing with the gputools package (pdf)
09:30 - 10:00Guha R and Hadoop Integrated Processing Environment (ppt)
10:00 - 10:30Theussl Distributed Text Mining with tm (pdf)
10:30 - 11:00Break
11:00 - 12:00Pfaff Risk Modeling with R (pdf)
12:00 - 13:00Lunch
13:00 - 13:30Cornelissen RTAQTools for Analysis of Trades and Quotes (pdf)
Grossman Running R over CloudsWhy There are So Many Choices and Why They Matter
Christou/Diez Statistical Finance for Investors Unfamiliar with Quantitative Methods (pdf)
13:30 - 14:00Belianina Data Management Challenges for Quantitative Research (pdf)
14:00 - 15:00Wildi Adapting the MDFA to `Financial Trading (ppt)
15:00 - 15:30Break
15:30 - 16:00Zivot Simulation-based Estimation of Continuous Time Models (pdf)
16:00 - 16:30Eddelbuettel/Nguyen RQuantLibInterfacing QuantLib from R (pdf)
16:30 - 17:00Ryan Databasing without the DatabaseThe indexing package (pdf)
Ulrich Fast and Flexible Technical Analysis with TTR (pdf)
Koning Thick Tails, Thin Tails, or Dependence (pdf)
North R and Repast Simphony (pdf)
Closing remarks