Friday, May 29th, 2015
08:00 - 09:00Optional 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 - 09:30Registration (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 - 10:30Emanuel Derman Understanding the World
10:30 - 10:54John 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 - 11:20Break
11:20 - 11:40Sanjiv Das Efficient Rebalancing of Taxable Portfolios (pdf)
11:40 - 12:00Marjan Wauters Characteristic-based equity portfolioseconomic value and dynamic style allocation (pdf)
12:00 - 12:20Bernhard Pfaff The sequel of cccpSolving cone constrained convex programs
12:20 - 13:40Lunch
13:40 - 14:00Markus Gesmann Communicating risk - a perspective from an insurer (pdf)
14:00 - 14:20Doug Martin Nonparametric vs Parametric ShortfallWhat are the Differences?
14:20 - 14:40Matthew Dixon Risk Decomposition for Fund Managers (pdf)
14:40 - 15:10Rohit 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 - 15:40Break
15:40 - 16:00Rohini Grover The informational role of algorithmic traders in the option market (pdf)
16:00 - 16:20Oleg Bondarenko High-Frequency Trading Invariants for Equity Index Futures (pdf)
16:20 - 16:40Matt Brigida Markov Regime-Switching (and some State Space) Models in Energy Markets (pdf)
16:40 - 16:58Jerzy 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 - 17:00Information about reception and dinner
17:00 - 19:00Conference Reception
19:00 - 19:20(Optional) Transfer to Conference Dinner
19:20 -Optional Conference Dinner (The Terrace at The Trump)
Saturday, May 30th, 2015
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:29Yuanchu Dang Credit Default Swaps with R (with Zijie Zhu) (html)
Dirk Eddelbuettel RblpapiConnecting R to the data service that shall not be named (pdf)
Guy Yollin Fundamental Factor Model DataBrowser using Tableau and R (pptx)
Matt Dowle Fast automatic indexing with data.table (pdf)
09:29 - 09:49Marius Hofert Parallel and other simulations in R made easyAn end-to-end study (pdf)
09:49 - 10:09Bryan Lewis More thoughts on the SVD and Finance (html)
10:09 - 10:35Break
10:35 - 10:55Mark Seligman The Arborist a High-Performance Random Forest Implementation (pdf)
10:55 - 11:15Hadley Wickham Data ingest in R (pdf)
11:15 - 12:05Louis Marascio An Outsider's Education in Quantitative Trading (pdf)
12:05 - 13:25Lunch
13:25 - 13:43Matthew Clegg The partialAR Package for Modeling Time Series with both Permanent and Transient Components (pdf)
Michael Kapler Follow the Leader - the application of time-lag series analysis to discover leaders in S&P 500 (pdf)
Chris Green Detecting Multivariate Financial Data Outliers using Calibrated Robust Mahalanobis Distances (pdf)
13:43 - 14:03Eric Zivot Price Discovery Share-An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds (pptx)
14:03 - 14:23Nicholas James Efficient Multivariate Analysis of Change Points (pdf)
14:23 - 14:43William Nicholson Structured Regularization for Large Vector Autoregression (pdf)
14:43 - 15:10Break
15:10 - 16:00Alexander McNeil R Tools for Understanding Credit Risk Modelling (pdf)
16:00 - 16:20Sanjiv Das Matrix MetricsNetwork-Based Systemic Risk Scoring (pdf)
16:20 - 16:40Gergely Daroczi Network analysis of the Hungarian interbank lending market (pdf)
16:40 - 16:46Kresimir Kalafatic Financial network analysis using SWIFT and R (pdf)
16:46 - 16:55Prizes and Feedback
16:55 - 17:00Conclusion
17:00 - 17:10Transition to Jak's
17:10 -Post-conference Drinks at Jak's Tap