08:00 - 09:00 | Optional Pre-Conference Tutorials |
Kris Boudt Multivariate GARCH models in R (pdf) | |
Dirk Eddelbuettel Rcpp: From Simple Examples to Machine Learning | |
R. D. Martin, A. Christidis Standard Errors for Risk and Performance Estimators | |
Dale Rosenthal The Dark Arts of Selecting and Diagnosing Models | |
Justin Shea Introduction to Quantitative Finance with R: Best Practices | |
M. Weylandt, L. Damiano Bayesian Inference and Volatility Modeling Using Stan (pdf) | |
09:00 - 09:30 | Registration (2nd floor) & Continental Breakfast (3rd floor) |
09:30 - 09:35 | Gib Bassett Kickoff |
09:35 - 09:40 | Peter Carl Sponsor Introduction |
09:40 - 10:00 | David Ardia Change-point segmentation: The Bayesian bridge |
10:00 - 10:20 | Luis Damiano Augmenting Trading Systems with Hidden Markov Models using BayesHMM (pdf) |
10:20 - 10:40 | R. Andrew Butters State Space Modeling for Mixed Frequency Time Series Applications (pdf) |
10:40 - 10:55 | Break |
10:55 - 11:15 | Oleg Bondarenko Option Implied Dependence |
11:15 - 12:05 | Matt Taddy Measuring Innovation |
12:05 - 12:55 | Lunch |
12:55 - 13:15 | Svetlana Levitan and Jerome Nilmeier Open Standards for Time Series Model Deployment (pptx) |
13:15 - 13:35 | Norm Matloff Extension of the Tower Method for Missing Values to Time Series (pdf) |
13:35 - 13:41 | Phillip Guerra Things that make you go Hmm...: Getting dependent mixture models all mixed up |
13:41 - 13:47 | Aakriti Mittal Correlations in asynchronous markets |
13:47 - 13:53 | JD Long Lessons Learned from 10 years of Ultra Low Frequency Finance: Risk Modeling in a Global Reinsurer |
13:53 - 13:59 | Michael Kapler Importance of Calendar Patterns (pdf) |
13:59 - 14:05 | Justin Shea Getting BLISfully BLASted |
14:05 - 14:25 | Renato Staub Collinearity Visualized (pptx) |
14:25 - 14:40 | Break |
14:40 - 15:00 | Brian Boonstra Empirical Statistics of Cryptocurrency Returns (pdf) |
15:00 - 15:20 | Dries Cornilly mvskPortfolios: portfolio tilting to harvest higher moment gains (pdf) |
15:20 - 15:26 | Jerzy Pawlowski Efficient Portfolio Optimization Under Large Skewness and Fat Tails (pdf) |
15:26 - 15:32 | Daniel Palomar Risk Parity Portfolios with the package riskParityPortfolio (pdf) |
15:32 - 15:38 | Vincent Fuentes Large scale portfolio optimization: which sigma works? (pdf) |
15:38 - 15:44 | Ilya Kipnis KDA Asset Allocation: An Ensemble Tactical Asset Allocation Strategy (pptx) |
15:44 - 15:50 | Matt Dancho Portfolio Analysis With tidyquant |
15:50 - 15:56 | Mido Shammaa Refactoring Factor Analytics (pdf) |
15:56 - 16:16 | Jingyu He Factor Investing: Hierarchical Ensemble Learning (pdf) |
16:16 - 16:30 | Break |
16:30 - 16:50 | Robert McDonald The Effect of Default Target Date Funds on Retirement Savings Allocations |
16:50 - 17:10 | Majeed Simaan Tactical Asset Allocation using Machine Learning (pdf) |
17:10 - 17:30 | Terry Leitch Alternative Investing with R |
17:40 - 17:46 | Steven Pav Inference on the asset with maximal Sharpe ratio (pdf) |
17:46 - 17:50 | Information about reception and dinner |
17:50 - 19:20 | Conference Reception |
19:20 - 19:50 | (Optional) Transfer to Conference Dinner |
19:50 - 22:20 | (Optional) Conference Dinner (Rooftop, Wyndham Hotel) |
08:00 - 09:00 | Coffee/ Breakfast |
09:00 - 09:05 | Kickoff |
09:05 - 09:11 | Dean Markwick Hierarchical nonparametric Hawkes processes with applications to finance (pdf) |
09:11 - 09:17 | Wadim Djatschenko BondValuation: An R Package for Fixed Coupon Bond Analysis (pptx) |
09:17 - 09:23 | Smitha Shivakumar R-view on Prepayment and Interest rate risk in MBS (pdf) |
09:23 - 09:29 | Maisa Aniceto Stroll Through the Forest: Applying Random Forest to Predict Credit Risk (pdf) |
09:29 - 09:49 | Benjamin Christoffersen Modeling Frailty Correlated Defaults: An Application of the dynamic hazard Package |
09:49 - 10:09 | Francisco Azeredo and Chris Price A study of the time series behavior of securities lending fees (pdf) |
10:09 - 10:25 | Break |
10:25 - 10:31 | Che Guan Cryptocurrency Volatility Models: Realized, Predicted and Implied Volatilities |
10:31 - 10:37 | Yingyi Gu Multilinear Principal Component Analysis on Implied Volatility Surface (pdf) |
10:37 - 10:43 | Joseph Loss Options Pricing in Levy Models (pptx) |
10:43 - 10:49 | Hongyu Zhang Improved Corwin-Schultz estimation (pptx) |
10:49 - 10:55 | Vyacheslav Arbuzov Rusquant: another way of trading with R (pdf) |
10:55 - 11:15 | Sandra Rolnicki Banking on Sentiment: How Natural Language Processing Selected a Portfolio of Bank Stocks that Outperformed a Bank Stock Index by 15% (pdf) |
11:15 - 12:05 | Genevera Allen Tensor Decompositions for Time-Varying Networks with Applications to Finance and Neuroscience |
12:05 - 12:55 | Lunch |
12:55 - 13:15 | Abena Owusu Do Analysts Reports Still Have Value? Evidence from Machine Learning |
13:15 - 13:35 | Tiffany Jiang Using Statistical Learning to Analyze Merger Activity (pdf) |
13:35 - 13:55 | Thomas Harte Hedging the Unhedgeable: Hedging Risk When Prices Are Not Observable (pdf) |
13:55 - 14:10 | Break |
14:10 - 14:30 | Andrew Nguyen DELPHI-BR: Data-driven Early-warning Learning-based system Prognosticating High-Impact Banking Risks (pdf) |
14:30 - 14:50 | Soumya Kalra and Brian Peterson Diversity in Quant Finance |
14:50 - 14:56 | Fernando Anselmo Filho Mergers and acquisitions: Influence of competition on the target company evaluation. (pdf) |
14:56 - 15:02 | Larissa Adamiec Contrasting GARCH daily variance predictions between foreign exchange returns and carry trade strategy returns |
15:02 - 15:08 | Yimeng Yin Analyzing the Interplay Between Public Pension Finances and Governmental Finances: Lessons from Linking an Economic Model to a Pension Fund Model (pptx) |
15:08 - 15:14 | Jay Emerson Financial Meta-Analyses: Making the Most of ESG Metrics |
15:14 - 15:20 | Rochelle March Quantifying Company Impact on the UN Sustainable Development Goals (pdf) |
15:20 - 16:10 | Art Steinmetz Confessions of an Accidental Quant |
16:10 - 16:25 | Break |
16:25 - 16:45 | Hong Anh Luu Food price inflation at risk (pdf) |
16:45 - 17:05 | Joan Zhang An Application in Machine Learning - This Time Will Never Be Different (pptx) |
17:05 - 17:25 | Hernando Cortina Transmission Mechanisms of Corporate Responsibility to Investor Returns |
17:25 - 17:35 | Organizers Conclusion |
17:35 - 17:50 | Transition to Cruz Blanca |
17:50 - 22:05 | Post-conference Reception at Cruz Blanca |