08:00 - 09:00 | Optional Pre-Conference Tutorials
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| 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 - 09:30 | Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
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| Transition between seminars
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09:30 - 09:35 | Kickoff
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09:35 - 09:40 | Sponsor Introduction
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09:40 - 10:30 | Luke Tierney
Some Performance Improvements for the R Engine
(pdf) |
10:30 - 11:00 | Karl 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 - 11:30 | Break
|
11:30 - 11:50 | Avery Moon
Tax Efficient Portfolios
(pdf) |
11:50 - 12:10 | Steven Pav
Portfolio Inference with this One Weird Trick
(pdf) |
12:10 - 12:30 | Tobias Setz
BCP Stability AnalyticsNew Directions in Tactical Asset Management
(pdf) |
12:30 - 13:40 | Lunch
|
13:40 - 14:10 | Paul 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 - 14:30 | Matthew Barry
Package pboProbability of Backtest Overfitting
(pdf) |
14:30 - 15:20 | Alexios Ghalanos
Twinkle, twinkle little STARSmooth Transition AR Models in R
(pdf) |
15:20 - 15:45 | Break
|
15:45 - 15:51 | Michael Kapler
Average Correlation and Adaptive Shrinkage Estimators
(pdf) |
15:51 - 16:11 | Steven Greiner
Stress Testing your way to Better Portfolio Management
(pptx) |
16:11 - 16:31 | Kris Boudt
Asset Allocation with Higher Order Moments and Factor Models
(pdf) |
16:31 - 16:51 | Marcello Colasante
Quantitative Portfolios, Trading Strategies via Factor Entropy Pooling
(pptx) |
16:51 - 17:00 | Information about reception and dinner
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17:00 - 19:00 | Conference Reception
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19:00 - | Optional Conference Dinner (The Terrace at The Trump)
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