Friday, May 16th, 2014
08:00 - 09:00Optional Pre-Conference Tutorials
Ross Bennett Complex Portfolio Optimization with PortfolioAnalytics (pdf)
Yi-An Chen Estimating Factor Models and Managing Risk with FactorAnalytics (pdf)
Matt Dowle Introduction to data.table (pdf)
Dirk Eddelbuettel An Example-Driven Hands-on Introduction to Rcpp (pdf)
09:00 - 09:30Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
Transition between seminars
09:30 - 09:35Kickoff
09:35 - 09:40Sponsor Introduction
09:40 - 10:30Luke Tierney Some Performance Improvements for the R Engine (pdf)
10:30 - 11:00Karl Polen Private Equity Performance Analytics Implemented in R (pdf)
Mark Bennett Data Mining with Markowitz Portfolio Optimization in Higher Dimensions (pdf)
John Burkett Portfolio OptimizationUtility, Computaton, Equities Applications (pdf)
Yang Lu Re-Evaluation of the Low-Risk Anomaly in Finance via Matching (pdf)
Maria Belianina Multi-Factor Models and Analytics with R, OneTick, and OneQuantData (pdf)
11:00 - 11:30Break
11:30 - 11:50Avery Moon Tax Efficient Portfolios (pdf)
11:50 - 12:10Steven Pav Portfolio Inference with this One Weird Trick (pdf)
12:10 - 12:30Tobias Setz BCP Stability AnalyticsNew Directions in Tactical Asset Management (pdf)
12:30 - 13:40Lunch
13:40 - 14:10Paul Teetor Bootstrapping Seasonal Spreads (pdf)
Matthew Clegg On the Persistence of Cointegration in Pairs Trading (pdf)
Kent Hoxsey Exploring Trading System Expectation (pdf)
Doug Martin Tests for Robust versus Least Squares Factor Model Fits (pptx)
Bernhard Pfaff The R package cccpSolving Cone Constrained Convex Programs (pdf)
14:10 - 14:30Matthew Barry Package pboProbability of Backtest Overfitting (pdf)
14:30 - 15:20Alexios Ghalanos Twinkle, twinkle little STARSmooth Transition AR Models in R (pdf)
15:20 - 15:45Break
15:45 - 15:51Michael Kapler Average Correlation and Adaptive Shrinkage Estimators (pdf)
15:51 - 16:11Steven Greiner Stress Testing your way to Better Portfolio Management (pptx)
16:11 - 16:31Kris Boudt Asset Allocation with Higher Order Moments and Factor Models (pdf)
16:31 - 16:51Marcello Colasante Quantitative Portfolios, Trading Strategies via Factor Entropy Pooling (pptx)
16:51 - 17:00Information about reception and dinner
17:00 - 19:00Conference Reception
19:00 -Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 17th, 2014
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:29Chirag Anand eventstudiesAn R Package for Conducting Event Studies (pdf)
Vyacheslav Arbuzov Microstructure of Fin. Markets. HFT, Regulation and Structural Changes (pdf)
Heidi Chen An R Package on Credit Default Swaps (pdf)
James Thewissen Sentiment Dynamics and Information Content within CEO Letters (pdf)
09:29 - 09:49Casey King Anti-Money Laundering and Suspicious Activity ReportingA New Hope (pptx)
09:49 - 10:09Bryan Lewis New Ideas for Large Network Analysis, Implemented in R (pdf)
10:09 - 10:29David Matteson Identifying Recessions in Real-Time Using Time-Freq. Functional Models (pdf)
10:29 - 10:54Break
10:54 - 11:14Stephen Rush Twenty Years of VPIN (pdf)
11:14 - 12:04Bob McDonald Using R in a Business School (pdf)
12:04 - 12:22Krishna Kumar A Greeks Tour with R in Greektown
Karl-Kuno Kunze Package 'Intermediate and Long Memory Time Series' (ILMTS) (pdf)
Eric Zivot Modeling Financial Time Series with R (pdf)
12:22 - 13:42Lunch
13:42 - 14:02Rohini Grover The Imprecision of Volatility Indexes (pdf)
14:02 - 14:22Gregor Kastner stochvolDealing with Stochastic Volatility in Time Series (pdf)
14:22 - 14:52Break
14:52 - 15:42Bill Cleveland Divide and Recombine for the Analysis of Large Complex Data with R (pdf)
15:42 - 16:02Matthew Dixon gpusvcalibrationFast Stochastic Volatility Model Calibration using GPUs (pdf)
16:02 - 16:22Michael Kane Distributed Data Structures in R for General, Large-scale Computing
16:22 - 16:34Kjell Konis The FlexBayes Package (pdf)
Dirk Eddelbuettel Building Simple Redis Data Caches (pdf)
16:34 - 16:49Prizes and Feedback
16:49 - 17:00Conclusion
17:00 -Post-conference Drinks at Jak's Tap