Friday, May 19th, 2017
08:00 - 09:00Optional 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 - 09:30Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables)
Transition between seminars
09:30 - 09:35Kickoff  (video) (com/Events/RFinance/RFinance-2017/Kickoff-and-Lightning-Talks-I-Day-1)
09:35 - 09:40Sponsor Introduction
09:40 - 10:10Marcelo 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 - 10:30Michael Hirsch Revealing High-Frequency Trading Provisions of Liquidity with Visualization in R (html)
10:30 - 10:50Eric Glass Equity Factor Portfolio Case Study (html)
10:50 - 11:10Break
11:10 - 11:30Seoyoung Kim Zero-Revelation RegTechDetecting Risk through Linguistic Analysis of Corporate Emails and News (pdf)
11:30 - 12:10Szilard Pafka No-Bullshit Data Science (pdf)
12:10 - 13:30Lunch
13:30 - 14:00Francesco 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 - 14:20Robert McDonald Ratings and Asset AllocationAn Experimental Analysis (pdf)
14:20 - 14:50Break
14:50 - 15:10Dries Cornilly Nearest Comoment Estimation with Unobserved Factors and Linear Shrinkage (pdf)
15:10 - 15:30Bernhard Pfaff R packagemcrpMultiple criteria risk contribution optimization (pdf)
15:30 - 16:00Oliver 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 - 16:20Qiang Kou Text analysis using Apache MxNet (pdf)
16:20 - 16:40Robert Krzyzanowski SyberiaA development framework for R (pdf)
16:40 - 16:52Matt 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 - 17:00Information about reception and dinner
17:00 - 18:30Conference Reception
18:30 - 19:00(Optional) Transfer to Conference Dinner
19:00 -(Optional) Conference Dinner (Rooftop, Wyndham Hotel)
Saturday, May 20th, 2017
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:35Stephen Bronder Integrating Forecasting and Machine Learning in the mlr Framework (pdf)
Leopoldo Catania Generalized Autoregressive Score Models in RThe GAS Package (pdf)
Guanhao Feng Regularizing Bayesian Predictive Regressions (pdf)
Jonas Rende partialCIAn R package for the analysis of partially cointegrated time series (pdf)
Carson Sievert Interactive visualization for multiple time series (pdf)
09:35 - 09:55Emanuele Guidotti yuimaGUIA graphical user interface for the yuima package (pptx)
09:55 - 10:15Daniel Kowal A Bayesian Multivariate Functional Dynamic Linear Model (pdf)
10:15 - 10:45Break
10:45 - 11:05Jason Foster Scenario Analysis of Risk Parity using RcppParallel (pdf)
11:05 - 11:35Michael Weylandt Convex Optimization for High-Dimensional Portfolio Construction (pdf)
Lukas Elmiger Risk Parity Under Parameter Uncertainty (pdf)
Ilya Kipnis Global Adaptive Asset Allocation, and the Possible End of Momentum (pptx)
Vyacheslav Arbuzov Dividend strategytowards the efficient market (pdf)
Nabil Bouamara The Alpha and Beta of Equity Hedge UCITS Funds - Implications for Momentum Investing (pdf)
11:35 - 12:15Dave DeMers Risk Fast and Slow (pdf)
12:15 - 13:35Lunch
13:35 - 13:55Matthew Dixon MLEMVDA R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models (pdf)
13:55 - 14:15Jonathan Regenstein Reproducible Finance with RA Global ETF Map (html)
14:15 - 14:35David Ardia Markov-Switching GARCH Models in RThe MSGARCH Package (pdf)
14:35 - 14:55Keven Bluteau Forecasting Performance of Markov-Switching GARCH ModelsA Large-Scale Empirical Study (pdf)
14:55 - 15:07Riccardo Porreca Efficient, Consistent and Flexible Credit Default Simulation (pdf)
Maisa Aniceto Machine Learning and the Analysis of Consumer Lending (pdf)
15:07 - 15:27David Smith Detecting Fraud at 1 Million Transactions per Second (pptx)
15:27 - 15:50Break
15:50 - 16:10Thomas Harte The PE packageModeling private equity in the 21st century (pdf)
16:10 - 16:30Guanhao Feng The Market for English Premier League (EPL) Odds (pdf)
16:30 - 16:50Bryan Lewis Project and conquer (html)
16:50 - 17:00Prizes and Feedback
17:00 - 17:05Conclusion
17:05 - 17:15Transition to Jak's
17:15 - 21:15Post-conference Drinks at Jak's Tap