08:00 - 09:00 | Optional Pre-Conference Tutorials
|
| Ross Bennett
PortfolioAnalytics Tutorial |
| Dirk Eddelbuettel
RcppFrom Simple Examples to Machine learning
(pdf) |
| R. Douglas Martin
Fundamental Factor Models in FactorAnalytics |
| M. Weylandt + T. Harte
Advanced Bayesian Time Series Analysis using Stan |
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
(video)
(com/Events/RFinance/RFinance-2017/Kickoff-and-Lightning-Talks-I-Day-1) |
09:35 - 09:40 | Sponsor Introduction
|
09:40 - 10:10 | Marcelo Perlin
GetHFDataAn R package for downloading and aggregating high frequency trading data from Bovespa
(pdf) |
| Jeffrey Mazar
The obmodeling Package
(html) |
| Yuting Tan
Return Volatility, Market Microstructure Noise, and Institutional InvestorsEvidence from High Frequency Market
(pdf) |
| Stephen Rush
Adverse Selection and Broker Execution
(pdf) |
| Jerzy Pawlowski
How Can Machines Learn to Trade
(html) |
10:10 - 10:30 | Michael Hirsch
Revealing High-Frequency Trading Provisions of Liquidity with Visualization in R
(html) |
10:30 - 10:50 | Eric Glass
Equity Factor Portfolio Case Study
(html) |
10:50 - 11:10 | Break
|
11:10 - 11:30 | Seoyoung Kim
Zero-Revelation RegTechDetecting Risk through Linguistic Analysis of Corporate Emails and News
(pdf) |
11:30 - 12:10 | Szilard Pafka
No-Bullshit Data Science
(pdf) |
12:10 - 13:30 | Lunch
|
13:30 - 14:00 | Francesco Bianchi
Measuring Risk with Continuous Time Generalized Autoregressive Conditional Heteroscedasticity Models
(pdf) |
| Eina Ooka
Bunched Random Forest in Monte Carlo Risk Simulation
(pdf) |
| Matteo Crimella
Operational Risk Stress TestingAn Empirical Comparison of Machine Learning Algorithms and Time Series Forecasting Methods
(pdf) |
| Thomas Zakrzewski
Using R for Regulatory Stress Testing Modeling
(pdf) |
| Andy Tang
How much structure is best
(pptx) |
14:00 - 14:20 | Robert McDonald
Ratings and Asset AllocationAn Experimental Analysis
(pdf) |
14:20 - 14:50 | Break
|
14:50 - 15:10 | Dries Cornilly
Nearest Comoment Estimation with Unobserved Factors and Linear Shrinkage
(pdf) |
15:10 - 15:30 | Bernhard Pfaff
R packagemcrpMultiple criteria risk contribution optimization
(pdf) |
15:30 - 16:00 | Oliver Haynold
Practical Options Modeling with the sn Package, Fat Tails, and How to Avoid the Ultraviolet Catastrophe
(pdf) |
| Shuang Zhou
A Nonparametric Estimate of the Risk-Neutral Density and Its Applications
(pdf) |
| Luis Damiano
A Quick Intro to Hidden Markov Models Applied to Stock Volatility |
| Oleg Bondarenko
Rearrangement Algorithm and Maximum Entropy
(pdf) |
| Xin Chen
Risk and Performance Estimator Standard Errors for Serially Correlated Returns
(pdf) |
16:00 - 16:20 | Qiang Kou
Text analysis using Apache MxNet
(pdf) |
16:20 - 16:40 | Robert Krzyzanowski
SyberiaA development framework for R
(pdf) |
16:40 - 16:52 | Matt Dancho
New Tools for Performing Financial Analysis Within the 'Tidy' Ecosystem
(pptx) |
| Leonardo Silvestri
ztsdb, a time-series DBMS for R users
(pdf) |
16:52 - 17:00 | Information about reception and dinner
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17:00 - 18:30 | Conference Reception
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18:30 - 19:00 | (Optional) Transfer to Conference Dinner
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19:00 - | (Optional) Conference Dinner (Rooftop, Wyndham Hotel)
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