08:00 - 09:00 | Optional 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 - 09:30 | Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
|
| Transition between seminars
|
09:30 - 09:35 | Kickoff
|
09:35 - 09:40 | Sponsor Introduction
|
09:40 - 10:20 | Rishi Narang
Rage Against the Machine Learning
(pptx) |
10:20 - 10:50 | Robert 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 - 11:20 | Break
|
11:20 - 11:40 | Brian Boonstra
Calibrating Parsimonious Models Of Equity-Linked Default Intensity
(pdf) |
11:40 - 12:00 | Matthew Ginley
Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation
(pdf) |
12:00 - 12:20 | Klaus Spanderen
Calibration of the Heston Local Stochastic Volatility Model
(pdf) |
12:20 - 13:25 | Lunch
|
13:25 - 14:05 | Tarek Eldin
Random Pricing Errors and Systematic ReturnsThe Flaw in Fundamental Prices
(pptx) |
14:05 - 14:25 | Sanjiv Das
An Index-Based Measure of Liquidity
(pdf) |
14:25 - 14:45 | Ryan Hafen
Interactively Exploring Financial Trades in R
(com/hafen/rinfinance2016#/) |
14:45 - 15:09 | Nidhi 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 - 15:40 | Break
|
15:40 - 16:00 | Marc Wildi
Monitoring the US Economya System of Timely (Real-Time Daily Mixed-Frequency) Indicators
(pdf) |
16:00 - 16:18 | Sile 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 - 16:58 | Frank Diebold
Estimating Global Bank Network Connectedness
(pdf) |
16:58 - 17:04 | Information about reception and dinner
|
17:04 - 19:04 | Conference Reception
|
19:04 - 19:24 | (Optional) Transfer to Conference Dinner
|
19:24 - | (Optional) Conference Dinner (Riverside Room and Gallery at Trump Hotel)
|