08:00 - 09:00 | Optional Pre-Conference Tutorials
|
| Ross Bennett
PortfolioAnalyticsAdvanced Moment Estimation & Optimization
(pdf) |
| Kris Boudt
High-frequency Price Data Analysis in R
(pdf) |
| Dirk Eddelbuettel
Hands-on Introduction to Rcpp
(pdf) |
| Guy Yollin
Getting Started with Quantstrat |
| Maria Belianina
An Introduction to OneTick |
09:00 - 09:30 | Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
|
| Transition between seminars
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09:30 - 09:35 | Kickoff
|
09:35 - 09:40 | Sponsor Introduction
|
09:40 - 10:30 | Emanuel Derman
Understanding the World |
10:30 - 10:54 | John Burkett
Portfolio OptimizationPrice Predictability, Utility
Functions, Computational Methods, and Applications
(pdf) |
| Kyle Balkissoon
A Framework for Integrating Portfolio-level Backtesting with Price and Quantity Information
(html) |
| Anthoney Tsou
Implementation of Quality Minus Junk
(html) |
| Ilya Kipnis
Flexible Asset Allocation With Stepwise Correlation Rank
(pptm) |
10:54 - 11:20 | Break
|
11:20 - 11:40 | Sanjiv Das
Efficient Rebalancing of Taxable Portfolios
(pdf) |
11:40 - 12:00 | Marjan Wauters
Characteristic-based equity portfolioseconomic value and dynamic style allocation
(pdf) |
12:00 - 12:20 | Bernhard Pfaff
The sequel of cccpSolving cone constrained convex programs |
12:20 - 13:40 | Lunch
|
13:40 - 14:00 | Markus Gesmann
Communicating risk - a perspective from an insurer
(pdf) |
14:00 - 14:20 | Doug Martin
Nonparametric vs Parametric ShortfallWhat are the Differences? |
14:20 - 14:40 | Matthew Dixon
Risk Decomposition for Fund Managers
(pdf) |
14:40 - 15:10 | Rohit Arora
Inefficiency of Modified VaR and ES
(pdf) |
| Mark Bennett
Gaussian Mixture Models for Extreme Events
(pdf) |
| Steven Pav
Portfolio Cramer-Rao Bounds
(why bad things happen to good quants)
(pdf) |
| Majeed Simaan
Global Minimum Variance Portfolio:
a Horse Race of Volatilities
(pdf) |
| Rob Krzyzanowski
Building Better Credit Models through Deployable Analytics in R
(pptx) |
15:10 - 15:40 | Break
|
15:40 - 16:00 | Rohini Grover
The informational role of algorithmic traders in the option market
(pdf) |
16:00 - 16:20 | Oleg Bondarenko
High-Frequency Trading Invariants for Equity Index Futures
(pdf) |
16:20 - 16:40 | Matt Brigida
Markov Regime-Switching (and some State Space) Models in Energy Markets
(pdf) |
16:40 - 16:58 | Jerzy Pawlowksi
Are High Frequency Traders Prudent and Temperate?
(pdf) |
| Stephen Rush
Information Diffusion in Equity Markets
(pdf) |
| Vincenzo Giordano
Quantifying the Risk and Price Impact of Energy Policy Events on Natural Gas Markets Using R (with Soumya Kalra)
(pdf) |
16:58 - 17:00 | Information about reception and dinner
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17:00 - 19:00 | Conference Reception
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19:00 - 19:20 | (Optional) Transfer to Conference Dinner
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19:20 - | Optional Conference Dinner (The Terrace at The Trump)
|