08:00 - 09:00 | Optional Pre-Conference Tutorials
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| 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 - 09:30 | Registration (2nd floor) & Continental Breakfast (3rd floor)
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| Transition between seminars
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09:30 - 09:35 | Kickoff
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09:35 - 09:40 | Sponsor Introduction
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09:40 - 10:04 | Yu 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 - 10:24 | Majeed Simaan
Rational Explanation for Rule-of-Thumb Practices in Asset Allocation
(pdf) |
10:24 - 10:44 | Kris Boudt
The Minimum Regularized Covariance Determinant Estimator
(pdf) |
10:44 - 11:05 | Break
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11:05 - 11:55 | Norm Matloff
Statistical CinderellaParallel Computation for the Rest of Us
(pdf) |
11:55 - 12:55 | Lunch
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12:55 - 13:15 | Matthew Ginley
Approximations for Rare Events Forecasting Under Monotonic Constraints
(pdf) |
13:15 - 13:35 | Rainer Hirk
A Credit Risk Application of Multivariate Ordinal Regression Models using the R package mvord
(pdf) |
13:35 - 13:59 | Wilmer 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 - 14:19 | Michael Gordy
Spectral Backtests of Forecast Distributions with Application to Risk Management
(pdf) |
14:19 - 14:39 | Break
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14:39 - 15:09 | Mario 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 - 15:29 | Michael Kane
Assessing Systemic Risk in the Bittrex Cryptocurrency Market
(docx) |
15:29 - 15:49 | William Foote
Adventures in Extreme FinanceThe Market Risk of Heavy Metal
(docx) |
15:49 - 16:13 | Justin 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 - 17:03 | JJ Allaire
Machine Learning with TensorFlow and R
(html) |
17:03 - 17:08 | Information about reception and dinner
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17:08 - 18:38 | Conference Reception
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19:08 - 19:08 | (Optional) Transfer to Conference Dinner
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19:08 - | (Optional) Conference Dinner (Rooftop, Wyndham Hotel)
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