Friday, June 1st, 2018
08:00 - 09:00Optional Pre-Conference Tutorials
Dirk Eddelbuettel RcppFrom Simple Examples to Machine Learning (pdf)
R. Douglas Martin Tutorial on Robust Statistics in Quantitative Finance (pdf)
Brian Peterson Quantitative Strategy Evaluation with quantstrat/blotter (html)
Dale Rosenthal A Tour of Financial Modeling (pdf)
M. Weylandt, L. Damiano Bayesian Inference and Volatility Modeling Using Stan
09:00 - 09:30Registration (2nd floor) & Continental Breakfast (3rd floor)
Transition between seminars
09:30 - 09:35Kickoff
09:35 - 09:40Sponsor Introduction
09:40 - 10:04Yu Li Analysis of Predictive Power of Click Data on Fund Flow Using R (pptx)
Daniel Melendez Asset and Liability Management with R
Daniel McKellar Global Financial CommunitiesGeography and Industry Effects (pdf)
Jonathan Regenstein Shiny Fama French
10:04 - 10:24Majeed Simaan Rational Explanation for Rule-of-Thumb Practices in Asset Allocation (pdf)
10:24 - 10:44Kris Boudt The Minimum Regularized Covariance Determinant Estimator (pdf)
10:44 - 11:05Break
11:05 - 11:55Norm Matloff Statistical CinderellaParallel Computation for the Rest of Us (pdf)
11:55 - 12:55Lunch
12:55 - 13:15Matthew Ginley Approximations for Rare Events Forecasting Under Monotonic Constraints (pdf)
13:15 - 13:35Rainer Hirk A Credit Risk Application of Multivariate Ordinal Regression Models using the R package mvord (pdf)
13:35 - 13:59Wilmer Pineda Bayesian Estimation of Stock Market Value at Risk Using Vine-Copula models (pdf)
Neil Hwang Dynamic k-Partite Stochastic Block Model (pptx)
Glenn Schultz Fixed Income Analytics at ScaleUsing R and Bond Lab to Improve the UST Securities Market (pptx)
Dirk Hugen Investment Analytics with R and PostgreSQL via the PL/R extension (pdf)
13:59 - 14:19Michael Gordy Spectral Backtests of Forecast Distributions with Application to Risk Management (pdf)
14:19 - 14:39Break
14:39 - 15:09Mario Annau hdf5r - HDF5 for R Reloaded (html)
David Smith Speeding up R with Parallel Programming in the Cloud (pptx)
Stephen Bronder Stan (Almost!) Has GPU Capabilities Now! Example Performance of Gaussian Processes (pdf)
XIn Chen Generalized Linear Model Fitting with Elastic Net Regularization for Gamma Distributed Data using Rcpp (pdf)
JJ Lay Implementation of the stochastic volatility and interest rate model with multiple GPUs in R (pdf)
15:09 - 15:29Michael Kane Assessing Systemic Risk in the Bittrex Cryptocurrency Market (docx)
15:29 - 15:49William Foote Adventures in Extreme FinanceThe Market Risk of Heavy Metal (docx)
15:49 - 16:13Justin Shea Economic Time Series FilteringAn Alternative Approach (pdf)
Thomas Zakrzewski Q-Gaussian Probability of Defaults Model (pdf)
Paul Laux The Timing of Variance Risk Premia around Macroeconomic News Events (pdf)
Hernando Cortina The Out-of-Sample Alpha of Just Stocks (pptx)
16:13 - 17:03JJ Allaire Machine Learning with TensorFlow and R (html)
17:03 - 17:08Information about reception and dinner
17:08 - 18:38Conference Reception
19:08 - 19:08(Optional) Transfer to Conference Dinner
19:08 -(Optional) Conference Dinner (Rooftop, Wyndham Hotel)
Saturday, June 2nd, 2018
08:00 - 09:00Coffee/ Breakfast
09:00 - 09:05Kickoff
09:05 - 09:35Ilya Kipnis A Primer on Volatility ETN Trading Strategies (pptx)
Matt Dancho A Time Series Platform For The Tidyverse (pptx)
Carson Sievert Building reactive web applications for finance with dash for R
Michael Kapler Interactively Exploring Seasonality Patterns in R (pdf)
Bernhard Pfaff The R Package rbtcImplementation of the Core Bitcoin's API (pdf)
09:35 - 09:55Eran Raviv Forecast Combinations in R using the ForecastComb Package (com/agenda/2018/EranRaviv/#/)
09:55 - 10:15Leopoldo Catania Predicting Cryptocurrencies Time-Series (pdf)
10:15 - 10:35Break
10:35 - 10:55Guanhao Feng Deep Learning Alpha (pdf)
10:55 - 11:15Xiao Qiao Correlated Idiosyncratic Volatility Shocks (pdf)
11:15 - 12:05Li Deng AI In Finance (pptx)
12:05 - 12:35Keven Bluteau Abnormal Tone and Abnormal ReturnsAn Event Study Analysis (pdf)
Samuel Borms The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment (pdf)
Kyle Balkissoon Weather and Text Data for Investment Research (pdf)
Petra Bakosova Seasonal Effect, Trends and Pre-Announcement DriftsFrom Anomalies to Trades (pdf)
Che Guan Machine Learning Application in Digital Currency Price Prediction (pdf)
12:35 - 13:40Lunch
13:40 - 14:00David Ardia Questioning the News about Economic GrowthSparse Forecasting Using Thousands of News-based Sentiment Values
14:00 - 14:20Dries Cornilly The rTrawl Package for Modeling High Frequency Financial Time Series (pptx)
14:20 - 14:40Luis Damiano Hierarchical Hidden Markov Models in High-Frequency Stock Markets (pdf)
14:40 - 15:10Phillip Guerra A Practitioner's Defense of the Use of Auto-Trading Algorithms (pdf)
Krishna Kumar Genetic Programming Applied to FX Trading
Bryan Lewis A Funny Thing Happened on the Way to the Banach Space
Pedro Albuquergue Conditional Autoregressive Value-at-Riskall flavors of CAViaR (pdf)
Angela Li and Soumya Kalra R-Ladies on Diversity (pptx)
15:10 - 15:30Stephen Rush Currency Risk and Information Diffusion (pdf)
15:30 - 15:50Break
15:50 - 16:10Jasen Mackie Round Turn Trade Simulation (html)
16:10 - 16:30Thomas Harte Trading the UntradablePricing Derivatives When Prices Are Not Observable (pdf)
16:30 - 16:50Conclusion
16:50 - 17:05Transition to Cruz Blanca
17:05 - 21:20Post-conference Reception at Cruz Blanca