Friday, May 11th, 2012
08:00 - 09:00Optional Pre-Conference Tutorials
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 - 09:30Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
09:30 - 09:40Welcome and Opening Remarks
09:40 - 10:30Blair Hull Examining the RevolutionHow Technology is Changing the Trading Landscape (pdf)
10:30 - 10:50Pfaff Diversification ReconsideredMinimum Tail Dependence (pdf)
10:50 - 11:10Gesmann Modelling Insurance Claim Reserves with R and the ChainLadder Package (pdf)
11:10 - 11:30Break
11:30 - 11:50Martin Utility Function Based Spectral Risk Measures
11:50 - 12:15Cha 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 - 13:15Lunch
13:15 - 13:35Packard Semantic Genomes for Analysis of Large Text Streams
13:35 - 13:55Hoxsey/Wildi Trader's DFA — A Practitioner's Introduction to the Direct Filter Approach (pptx)
13:55 - 14:20Cornelissen 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 - 14:45Break
14:45 - 15:35Rob McCulloch Cholesky Stochastic Volatility (pdf)
15:35 - 15:55Theussl ROIThe R Optimization Infrastructure Package (pdf)
15:55 - 16:15Boudt The Peer Performance of Hedge Funds (pdf)
16:15 - 16:45Zivot Estimating the Dynamics of Price Discovery (pptx)
16:45 - 17:00Information About Reception, Dinner
17:00 - 22:00Conference Reception and Optional Dinner (East Terrace and Market Bar)
Saturday, May 12th, 2012
08:00 - 09:00Coffee/Breakfast
09:00 - 09:05Kickoff
09:05 - 09:30Eddelbuettel Wittier Webapps with RInside (pdf)
Gesmann An Interactive Overview of Lloyd's Using R and the googleVis Package (pdf ) (pdf )
Raattamaa Carryover Costs in Zero Intelligence Double-Auction Markets
Myers Using Historical Market Data in R - Quality Models are Built from Quality Data
09:30 - 09:50Kumar Is the Future Golden?
09:50 - 10:10King Liquid Gold, Illiquid AssetsHedging Event Risk in Fixed Income Securities — British Petroleum Bonds in the Spring/Summer of 2010
10:10 - 10:30Break
10:30 - 11:20Paul Gilbert Lock-In Avoidance and Quality Assurance (pdf)
11:20 - 11:40Ang Estimating the Market Value of Illiquid Debt Using WRDS TRACE Data (pdf)
11:40 - 12:00Li Monetary Policy Analysis Based On Lasso-Assisted Vector Autoregression (LAVAR (pptx)
12:00 - 13:30Lunch
13:30 - 13:50Nelson Financial Reporting and Documentation using R and Dexy
13:50 - 14:10Gordy Network Analysis in R of Derivatives Trade Repository Data
14:10 - 14:30Sinha All Words Are Not Made Equal (pdf)
14:30 - 14:42Emerson Towards Terrabytes of TAQ (pdf)
Nagar News Sentiment Analysis Using R to Predict Stock Market Data (pdf)
14:42 - 15:00Break
15:00 - 15:50Simon Urbanek Visualizing Large Data with R
15:50 - 16:10Lewis A Cointegration-Inspired Method for Large Scale Data (pdf)
16:10 - 16:30Armstrong CppBugsNative MCMC for R (pdf)
16:30 - 16:50Rohani Large-Scale, Computationally Intensive Forecasting in R
16:50 - 17:02Humke Achieving High-Performing, Simulation-Based Operational Risk Measurement with R and RevoScaleR (pdf)
Teetor Fast(er) R Code (pdf)
17:02 - 17:15Conclusion
17:15 - 17:30Transition to Jak's
17:30 -Post-Conference Drinks at Jak's Tap