08:00 - 09:00 | Optional Pre-Conference Tutorials
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| Armstrong
DeathstarSeamless Distributed Computing for R
(pdf) |
| Carl/Peterson
Evaluating Strategic Portfolios of Hedge Funds
(pdf) |
| Eddelbuettel
Rcpp and RInside for R and C++ Integration
(pdf) |
| Martin
Robust Statistics in Finance
(pdf) |
| Ryan
Market Scale DataAn Author-led Tour of xts, xtime, mmap, indexing, and More
(pdf) |
| Yollin/Zivot
Time Series Forecasting with State Space Models
(pdf) |
09:00 - 09:30 | Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
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09:30 - 09:40 | Welcome and Opening Remarks
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09:40 - 10:30 | Blair Hull
Examining the RevolutionHow Technology is Changing the Trading Landscape
(pdf) |
10:30 - 10:50 | Pfaff
Diversification ReconsideredMinimum Tail Dependence
(pdf) |
10:50 - 11:10 | Gesmann
Modelling Insurance Claim Reserves with R and the ChainLadder Package
(pdf) |
11:10 - 11:30 | Break
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11:30 - 11:50 | Martin
Utility Function Based Spectral Risk Measures |
11:50 - 12:15 | Cha
Risk Management in ERCOT Power Markets |
| Kapler
Seasonality Analysis and Pattern Matching in R
(pdf) |
| Weylandt
A Short Introduction to Real-Time Portfolio/Market Monitoring with R
(pdf) |
| Wylie
Insanely Cool Stuff from OpenGamma+R
(pptx) |
12:15 - 13:15 | Lunch
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13:15 - 13:35 | Packard
Semantic Genomes for Analysis of Large Text Streams |
13:35 - 13:55 | Hoxsey/Wildi
Trader's DFA — A Practitioner's Introduction to the Direct Filter Approach
(pptx) |
13:55 - 14:20 | Cornelissen
The Sustainability of Mean-Variance and Mean-Tracking Error Efficient Portfolios
(pdf) |
| Pav
On the Maximization of Sharpe Ratio
(pdf) |
| Rush
Relative Return Momentum in Asset Allocation
(pdf) |
| Belianina
OneTick and R for Market Data Time Series Analysis
(pdf) |
14:20 - 14:45 | Break
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14:45 - 15:35 | Rob McCulloch
Cholesky Stochastic Volatility
(pdf) |
15:35 - 15:55 | Theussl
ROIThe R Optimization Infrastructure Package
(pdf) |
15:55 - 16:15 | Boudt
The Peer Performance of Hedge Funds
(pdf) |
16:15 - 16:45 | Zivot
Estimating the Dynamics of Price Discovery
(pptx) |
16:45 - 17:00 | Information About Reception, Dinner
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17:00 - 22:00 | Conference Reception and Optional Dinner (East Terrace and Market Bar)
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