Friday, May 17th, 2013
08:00 - 09:00Optional Pre-Conference Tutorials
Armstrong/Lewis An Introduction to Distributed Computing in R (pdf)
Matthew Dowle Advanced Tutorial on data.table (pdf)
Humme/Peterson Using quantstrat to evaluate intraday trading strategies (pdf)
Dirk Eddelbuettel Example-driven Introduction to Rcpp (pdf)
Jeff Ryan R Programming for Financial Data (pdf)
09:00 - 09:30Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
09:30 - 09:35Welcome and Opening Remarks
09:35 - 09:45Introduction of Sponsors
09:45 - 10:35Ryan Sheftel R on the Trading Desk (pdf)
10:35 - 10:55David Ardia Implied expected returns and the choice of a mean-variance efficient portfolio proxy (pdf)
10:55 - 11:15Ronald Hochreiter Financial Portfolio Optimization with (O)R (pdf)
11:15 - 11:45Break
11:45 - 12:05Bernhard Pfaff Portfolio Selection with Probabilistic UtilityRevisited (pdf)
12:05 - 12:30Maria Belianina OneTick and RHandling High and Low Frequency Data (pdf)
Yang Lu Performance Attribution for Equity Portfolios (pdf)
Michael Kapler Portfolio Allocation with Cluster Risk Parity (pdf)
Tammer Kamel QuandlA new source of financial data for R users
12:30 - 13:50Lunch
13:50 - 14:10Doug Martin Robust Covariances And DistancesCommon Risk Factor Versus Idiosyncratic Outliers (pdf)
14:10 - 14:30Giles Heywood Covariance forecasting for portfolio optimisation (pdf)
14:30 - 14:55Break
14:55 - 15:45Ruey Tsay Multivariate Processes in R (pdf)
15:45 - 16:05Alexios Ghalanos Time Varying Higher Moments and the Cost of GARCH (pdf)
16:05 - 16:25Kris Boudt Regime Switches in Volatility and Correlation of Financial Institutions (pdf)
16:25 - 16:45David Matteson Nonparametric Estimation of Stationarity and Change Points in Finance (pdf)
16:45 - 16:51Celine Sun Estimating High Dimensional Covariance Matrices Using a Factor Model (ppt)
16:51 - 16:57Winston Chang ShinyBuilding interactive web applications with R
16:57 - 17:00Information About Reception and Dinner
17:00 - 18:55Conference Reception
18:55 -Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 18th, 2013
08:00 - 09:00Coffee / Breakfast
09:00 - 09:05Kickoff
09:05 - 09:24Christian Silva Understanding moving averages strategies with the help of toy models using R (pdf)
Vyacheslav Arbuzov Modeling and analysis of financial crashes using empirical market microstructure with parallel computations in R (pdf)
Stephen Rush The Bond Coupon's Impact on Liquidity (pdf)
09:24 - 09:44Azzarello/Putnam A Bayesian interpretation of the Federal Reserve's dual mandate and the Taylor Rule (pdf)
09:44 - 10:04Grant Cavanaugh Using Markov Models in R to Understand the Lifecycle of Exchange-traded Derivatives (pdf)
10:04 - 10:40Break
10:40 - 11:00Jiahan Li Efficient 'Kitchen-Sink' Forecasts for Exchange Rates (pdf)
11:00 - 11:20Thomas Harte Pricing FX ForwardsTricks of the Trade (pdf)
11:20 - 12:10Sanjiv Das R in Academic FinanceFrom Theory to Practice (with Applications (pptx)
12:10 - 13:20Lunch
13:20 - 13:40Dirk Eddelbuettel RcppArmadilloAccelerating R with High-Performance C++ Linear Algebra (pdf)
13:40 - 14:00Klaus Spanderen R/QuantLib Integration (pdf)
14:00 - 14:20Bryan Lewis The scidb packagean R interface to SciDB (pdf)
14:20 - 14:40Matthew Dowle Introduction to data.table (pdf)
Chris Blakely Realizing the Future with C, Java, and RA Multi-Language High-Frequency Volatility Modeling Environment (pdf)
Mathieu Lestel Ex post risk analysisHow the GSoC contributed to PerformanceAnalytics (pdf)
14:40 - 15:10Break
15:10 - 16:00Attilio Meucci Advanced Risk and Portfolio Management - A Visual Introduction
16:00 - 16:06Brian Peterson Implementing Meucci's Work in R (pdf)
16:06 - 16:26Thomas Hanson The Impact of Computational Error on the Volatility Smile (pdf)
16:26 - 16:38Kam Hamidieh Recovering Risk Neutral Density from Traded Options Using R (pdf)
Jeffrey Ryan Options Trading with RAn Introduction to the greeks Package (pdf)
16:38 - 16:40Feedback Forms
16:40 - 16:45Paper Awards
16:45 - 16:50Conclusion
16:50 - 17:00Transition to Jak's
17:00 -Post-conference Drinks at Jak's Tap