| 08:00 - 09:00 | Continental Breakfast
|
| 09:00 - 09:30 | Rowe
A Beautiful ParadigmFunctional Programming in Finance
(pdf) |
| Ryan
High Performance Time Series in Rxtime, xts, and indexing
(pdf) |
| Peterson
Building and Testing Quantitative Strategy Models in R
(pdf) |
| 09:30 - 09:50 | Zivot
Factor Risk and Performance Attribution
(pptx) |
| 09:50 - 10:10 | Gramacy
Shrinkage Regression for Multivariate Inference with missing data
(pdf) |
| 10:10 - 10:30 | Break
|
| 10:30 - 10:50 | Martin
Tail Risk Budgeting versus Modern Portfolio Theory
(pptx) |
| 10:50 - 11:10 | Niemenmaa
Benchmarking Parallel Loops Without Data Dependency in R
(ppt) |
| 11:10 - 12:00 | Bollinger
Yesterday, Today and TomorrowA Trip Through Computational Finance
(ppt) |
| 12:00 - 13:30 | Sponsor Lunch with presentations by Revolution, OneTick and RStudio
|
| Yollin
Can you do better than cap-weighted equity benchmarks
(pdf) |
| Belianina
Solutions from OneTick and R
(pptx) |
| Cheng
RStudio
(pdf) |
| 13:30 - 14:00 | Teetor
Better Hedge Ratios
(pdf) |
| Ang
The Impact of Oil Prices on the Houston Housing Market and Economy
(ppt) |
| Yadav
Modeling Low Default Credit Portfolios in R
(pdf) |
| 14:00 - 14:20 | Wildi
Multivariate DFA |
| 14:20 - 14:40 | Matteson
Independent Component Analysis via Distance Covariance
(pdf) |
| 14:40 - 15:00 | Break
|
| 15:00 - 15:50 | Kates
R and proto
(pptx) |
| 15:50 - 16:10 | Vermes
Stochastic Volatility Models Massively Parallel in R
(pdf) |
| 16:10 - 16:30 | Pfaff
Interfacing NEOS from RThe rneos Package
(pdf) |
| 16:30 - 17:00 | Horner
RackA Web Server Interface for R
(pdf) |
| Haynold:
RserveCLIAn Rserve Client Implementation for CLI/.NET
(pdf) |
| North
Repast Simphony
(ppt) |
| 17:00 - 17:15 | Closing remarks
|
