Friday, May 20th, 2016
08:00 - 09:00Optional Pre-Conference Tutorials
Ross Bennett Feasible Space Analysis and Hierarchical Optimization with PortfolioAnalytics (io/PortfolioAnalyticsPresentation2016)
Dirk Eddelbuettel Introduction to Rcpp and RcppArmadillo (pdf)
Doug Service Leveraging Azure Compute from R (pdf)
T. Harte + M. Weylandt Modern Bayesian Tools for Time Series Analysis (io/mbt/)
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 - 10:20Rishi Narang Rage Against the Machine Learning (pptx)
10:20 - 10:50Robert McDonald The derivmkts package (pdf)
Piotr Orłowski Modeling Divergence Swap Rates (pdf)
Jerzy Pawlowski Exploring Higher Order Risk Premia Using High Frequency Data (pdf)
Majeed Simaan The Implicit Value of Tracking the Market (pdf)
Kris Boudt Block rearranging elements within matrix columns to minimize the variability of the row sums (pdf)
10:50 - 11:20Break
11:20 - 11:40Brian Boonstra Calibrating Parsimonious Models Of Equity-Linked Default Intensity (pdf)
11:40 - 12:00Matthew Ginley Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation (pdf)
12:00 - 12:20Klaus Spanderen Calibration of the Heston Local Stochastic Volatility Model (pdf)
12:20 - 13:25Lunch
13:25 - 14:05Tarek Eldin Random Pricing Errors and Systematic ReturnsThe Flaw in Fundamental Prices (pptx)
14:05 - 14:25Sanjiv Das An Index-Based Measure of Liquidity (pdf)
14:25 - 14:45Ryan Hafen Interactively Exploring Financial Trades in R (com/hafen/rinfinance2016#/)
14:45 - 15:09Nidhi Aggarwal The causal impact of algorithmic trading on market quality (pdf)
Chirag Anand Liquidity provision in a high-frequency environment (pdf)
Maria Belianina OneTick and R (pptx)
Patrick Howerter Connecting QAI to R (pdf)
15:09 - 15:40Break
15:40 - 16:00Marc Wildi Monitoring the US Economya System of Timely (Real-Time Daily Mixed-Frequency) Indicators (pdf)
16:00 - 16:18Sile Li Constructing US Employment Google Search Index by Applying Principal Component Analysis (pdf)
Doug Martin Information Ratio Maximizing Fundamental Factor Models (pdf)
Robert Franolic Eyes on FX
16:18 - 16:58Frank Diebold Estimating Global Bank Network Connectedness (pdf)
16:58 - 17:04Information about reception and dinner
17:04 - 19:04Conference Reception
19:04 - 19:24(Optional) Transfer to Conference Dinner
19:24 -(Optional) Conference Dinner (Riverside Room and Gallery at Trump Hotel)
Saturday, May 21th, 2016
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:35Hsiu-lang Chen Do Mutual Funds Exploit Information from Option Prices for Equity Investment? (pptx)
Kyle Balkissoon A Practitioners analysis of the overnight effect (pdf)
Mark Bennett Measuring Income Statement Sharpe Ratios using R (pdf)
Mark Bennett Implementation of Value Strategies using R (pdf)
Matt Brigida Community Finance Teaching Resources with R/Shiny (Rmd)
09:35 - 09:55Bernhard Pfaff Portfolio Selection with Multiple Criteria Objectives (pdf)
09:55 - 10:15Douglas Service Quantitative Analysis of Dual Moving Average Indicators in Automated Trading Systems (pdf)
10:15 - 10:45Marjan Wauters Smart beta and portfolio insuranceA happy marriage? (pdf)
Michael Kapler Tax Aware Backtest Framework (pdf)
Miller Zijie Zhu Backtest Graphics (io/slides/)
Laura Vana Portfolio Optimization Modeling (pdf)
Ilya Kipnis Hypothesis Driven DevelopmentAn Understandable Example (pptx)
10:45 - 11:05Break
11:05 - 11:25Mark Seligman Controlling for Monotonicity in Random Forest Regressors (pdf)
11:25 - 11:45Michael Kane glmnetlibA Low-level Library for Regularized Regression (com/michaelkane/deck-13#/)
11:45 - 12:05Xiao Qiao A Practitioner's Defense of Return Predictability (pdf)
12:05 - 13:05Lunch
13:05 - 13:45Patrick Burns Some Linguistics of Quantitative Finance (pdf)
13:45 - 14:05Eran Raviv Forecast combinations in R using the ForecastCombinations package (pdf)
14:05 - 14:35Kjell Konis Comparing Fitted Factor Models with the fit.models Package (pdf)
Steven Pav Madnessa package for Multivariate Automatic Differentiation (pdf)
Paul Teetor Are You Trading Mean Reversion or Oscillation? (pdf)
Pedro Alexander Portfolio Selection with Support Vector Regression (ppt)
Matthew Dixon Seasonally-Adjusted Value-at-Risk (pdf)
14:35 - 15:05Break
15:05 - 15:25Bryan Lewis R in Practice (html)
15:25 - 15:45Matt Dziubinski Getting the most out of RcppHigh-Performance C++ in Practice (pdf)
15:45 - 15:57Mario Annau h5 - An Object Oriented Interface to HDF5 (pdf)
Dirk Eddelbuettel Rblapi RevisitedOne Year Later (pdf)
15:57 - 16:17Jason Foster Multi-Asset Principal Component Regression using RcppParallel (pdf)
16:17 - 16:37Qiang Kou Deep learning in R using MxNet (pdf)
16:37 - 16:49Prizes and Feedback
16:49 - 16:54Conclusion
16:54 - 17:04Transition to Jak's
17:04 -Post-conference Drinks at Jak's Tap