08:00 - 09:00 | Optional 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 - 09:30 | Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables) |
09:30 - 09:35 | Welcome and Opening Remarks |
09:35 - 09:45 | Introduction of Sponsors |
09:45 - 10:35 | Ryan Sheftel R on the Trading Desk (pdf) |
10:35 - 10:55 | David Ardia Implied expected returns and the choice of a mean-variance efficient portfolio proxy (pdf) |
10:55 - 11:15 | Ronald Hochreiter Financial Portfolio Optimization with (O)R (pdf) |
11:15 - 11:45 | Break |
11:45 - 12:05 | Bernhard Pfaff Portfolio Selection with Probabilistic UtilityRevisited (pdf) |
12:05 - 12:30 | Maria 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 - 13:50 | Lunch |
13:50 - 14:10 | Doug Martin Robust Covariances And DistancesCommon Risk Factor Versus Idiosyncratic Outliers (pdf) |
14:10 - 14:30 | Giles Heywood Covariance forecasting for portfolio optimisation (pdf) |
14:30 - 14:55 | Break |
14:55 - 15:45 | Ruey Tsay Multivariate Processes in R (pdf) |
15:45 - 16:05 | Alexios Ghalanos Time Varying Higher Moments and the Cost of GARCH (pdf) |
16:05 - 16:25 | Kris Boudt Regime Switches in Volatility and Correlation of Financial Institutions (pdf) |
16:25 - 16:45 | David Matteson Nonparametric Estimation of Stationarity and Change Points in Finance (pdf) |
16:45 - 16:51 | Celine Sun Estimating High Dimensional Covariance Matrices Using a Factor Model (ppt) |
16:51 - 16:57 | Winston Chang ShinyBuilding interactive web applications with R |
16:57 - 17:00 | Information About Reception and Dinner |
17:00 - 18:55 | Conference Reception |
18:55 - | Optional Conference Dinner (The Terrace at The Trump) |
08:00 - 09:00 | Coffee / Breakfast |
09:00 - 09:05 | Kickoff |
09:05 - 09:24 | Christian 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 - 09:44 | Azzarello/Putnam A Bayesian interpretation of the Federal Reserve's dual mandate and the Taylor Rule (pdf) |
09:44 - 10:04 | Grant Cavanaugh Using Markov Models in R to Understand the Lifecycle of Exchange-traded Derivatives (pdf) |
10:04 - 10:40 | Break |
10:40 - 11:00 | Jiahan Li Efficient 'Kitchen-Sink' Forecasts for Exchange Rates (pdf) |
11:00 - 11:20 | Thomas Harte Pricing FX ForwardsTricks of the Trade (pdf) |
11:20 - 12:10 | Sanjiv Das R in Academic FinanceFrom Theory to Practice (with Applications (pptx) |
12:10 - 13:20 | Lunch |
13:20 - 13:40 | Dirk Eddelbuettel RcppArmadilloAccelerating R with High-Performance C++ Linear Algebra (pdf) |
13:40 - 14:00 | Klaus Spanderen R/QuantLib Integration (pdf) |
14:00 - 14:20 | Bryan Lewis The scidb packagean R interface to SciDB (pdf) |
14:20 - 14:40 | Matthew 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 - 15:10 | Break |
15:10 - 16:00 | Attilio Meucci Advanced Risk and Portfolio Management - A Visual Introduction |
16:00 - 16:06 | Brian Peterson Implementing Meucci's Work in R (pdf) |
16:06 - 16:26 | Thomas Hanson The Impact of Computational Error on the Volatility Smile (pdf) |
16:26 - 16:38 | Kam 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 - 16:40 | Feedback Forms |
16:40 - 16:45 | Paper Awards |
16:45 - 16:50 | Conclusion |
16:50 - 17:00 | Transition to Jak's |
17:00 - | Post-conference Drinks at Jak's Tap |