R/Finance 2017

May 19-20, 2017


Applied Finance with R

From the inaugural conference in 2009, the annual R/Finance conference in Chicago has become the primary meeting for academics and practioners interested in using R in Finance.

Participants from academia and industry mingle for two days to exchange ideas about current research, best practices and applications. A single-track program permits continued focus on a series of refereed submissions. A lively social program rounds out the event.

We are looking forward to another exciting event in Chicago on May 19 and 20, 2017.


From renowned industry practioners to key R developers to leading academics, the conference has consistently feature keynote speakers who engaged the audience -- more details at the Program tab.
Pre-conference workshops offer an opportunity for a longer, more in-depth presentation by key presenters.
The conference itself consists of reviewed full-length presentations as well as a number of shorter, highly-energetic lightning talks.
Friday, May 19th, 2017
08:00 - 09:00  Optional Pre-Conference Tutorials
  Ross Bennett: PortfolioAnalytics Tutorial
  Dirk Eddelbuettel: Rcpp: From Simple Examples to Machine learning
  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)
  Transition between seminars
09:30 - 09:35  Kickoff
09:35 - 09:40  Sponsor Introduction
09:40 - 10:10  Marcelo Perlin: GetHFData: An R package for downloading and aggregating high frequency trading data from Bovespa
  Jeffrey Mazar: The obmodeling Package
  Yuting Tan: Return Volatility, Market Microstructure Noise, and Institutional Investors: Evidence from High Frequency Market
  Stephen Rush: Adverse Selection and Broker Execution
  Jerzy Pawlowski: How Can Machines Learn to Trade?
10:10 - 10:30  Michael Hirsch: Revealing High-Frequency Trading Provisions of Liquidity with Visualization in R
10:30 - 10:50  Eric Glass: Equity Factor Portfolio Case Study
10:50 - 11:10  Break
11:10 - 11:30  Seoyoung Kim: Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News
11:30 - 12:10  Szilard Pafka: No-Bullshit Data Science
12:10 - 13:30  Lunch
13:30 - 14:00  Francesco Bianchi: Measuring Risk with Continuous Time Generalized Autoregressive Conditional Heteroscedasticity Models
  Eina Ooka: Bunched Random Forest in Monte Carlo Risk Simulation
  Matteo Crimella: Operational Risk Stress Testing: An Empirical Comparison of Machine Learning Algorithms and Time Series Forecasting Methods
  Thomas Zakrzewski: Using R for Regulatory Stress Testing Modeling
  Andy Tang: How much structure is best?
14:00 - 14:20  Robert McDonald: Ratings and Asset Allocation: An Experimental Analysis
14:20 - 14:50  Break
14:50 - 15:10  Dries Cornilly: Nearest Comoment Estimation with Unobserved Factors and Linear Shrinkage
15:10 - 15:30  Bernhard Pfaff: R package: mcrp: Multiple criteria risk contribution optimization
15:30 - 16:00  Oliver Haynold: Practical Options Modeling with the sn Package, Fat Tails, and How to Avoid the Ultraviolet Catastrophe
  Shuang Zhou: A Nonparametric Estimate of the Risk-Neutral Density and Its Applications
  Luis Damiano: A Quick Intro to Hidden Markov Models Applied to Stock Volatility
  Oleg Bondarenko: Rearrangement Algorithm and Maximum Entropy
  Xin Chen: Risk and Performance Estimator Standard Errors for Serially Correlated Returns
16:00 - 16:20  Qiang Kou: Text analysis using Apache MxNet
16:20 - 16:40  Robert Krzyzanowski: Syberia: A development framework for R
16:40 - 16:52  Matt Dancho: New Tools for Performing Financial Analysis Within the 'Tidy' Ecosystem
  Leonardo Silvestri: ztsdb, a time-series DBMS for R users
16:52 - 17:00  Information about reception and dinner
17:00 - 18:30  Conference Reception
18:30 - 19:00  (Optional) Transfer to Conference Dinner
19:00 -   (Optional) Conference Dinner (Rooftop, Wyndham Hotel)
Saturday, May 20th, 2017
08:00 - 09:00  Coffee/ Breakfast
09:00 - 09:05  Kickoff
09:05 - 09:35  Stephen Bronder: Integrating Forecasting and Machine Learning in the mlr Framework
  Leopoldo Catania: Generalized Autoregressive Score Models in R: The GAS Package
  Guanhao Feng: Regularizing Bayesian Predictive Regressions
  Jonas Rende: partialCI: An R package for the analysis of partially cointegrated time series
  Carson Sievert: Interactive visualization for multiple time series
09:35 - 09:55  Emanuele Guidotti: yuimaGUI: A graphical user interface for the yuima package
09:55 - 10:15  Daniel Kowal: A Bayesian Multivariate Functional Dynamic Linear Model
10:15 - 10:45  Break
10:45 - 11:05  Jason Foster: Scenario Analysis of Risk Parity using RcppParallel
11:05 - 11:35  Michael Weylandt: Convex Optimization for High-Dimensional Portfolio Construction
  Lukas Elmiger: Risk Parity Under Parameter Uncertainty
  Ilya Kipnis: Global Adaptive Asset Allocation, and the Possible End of Momentum
  Vyacheslav Arbuzov: Dividend strategy: towards the efficient market
  Nabil Bouamara: The Alpha and Beta of Equity Hedge UCITS Funds - Implications for Momentum Investing
11:35 - 12:15  Dave DeMers: Risk Fast and Slow
12:15 - 13:35  Lunch
13:35 - 13:55  Matthew Dixon: MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models
13:55 - 14:15  Jonathan Regenstein: Reproducible Finance with R: A Global ETF Map
14:15 - 14:35  David Ardia: Markov-Switching GARCH Models in R: The MSGARCH Package
14:35 - 14:55  Keven Bluteau: Forecasting Performance of Markov-Switching GARCH Models: A Large-Scale Empirical Study
14:55 - 15:07  Riccardo Porreca: Efficient, Consistent and Flexible Credit Default Simulation
  Maisa Aniceto: Machine Learning and the Analysis of Consumer Lending
15:07 - 15:27  David Smith: Detecting Fraud at 1 Million Transactions per Second
15:27 - 15:50  Break
15:50 - 16:10  Thomas Harte: The PE package: Modeling private equity in the 21st century
16:10 - 16:30  Guanhao Feng: The Market for English Premier League (EPL) Odds
16:30 - 16:50  Bryan Lewis: Project and conquer
16:50 - 17:00  Prizes and Feedback
17:00 - 17:05  Conclusion
17:05 - 17:15  Transition to Jak's
17:15 - 21:15  Post-conference Drinks at Jak's Tap

The program is subject to change and may be updated as needed.

Call For Papers

The ninth annual R/Finance conference for applied finance using R will be held on May 19 and 20, 2017 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.

Over the past eight years, R/Finance has included attendees from around the world. It has featured presentations from prominent academics and practitioners, and we anticipate another exciting line-up for 2017.

We invite you to submit complete papers in pdf format for consideration. We will also consider one-page abstracts (in txt or pdf format) although more complete papers are preferred. We welcome submissions for both full talks and abbreviated lightning talks. Both academic and practitioner proposals related to R are encouraged.

All slides will be made publicly available at conference time. Presenters are strongly encouraged to provide working R code to accompany the slides. Data sets should also be made public for the purposes of reproducibility (though we realize this may be limited due to contracts with data vendors). Preference may be given to presenters who have released R packages.

Financial assistance for travel and accommodation may be available to presenters, however requests must be made at the time of submission. Assistance will be granted at the discretion of the conference committee.

Please submit proposals online. Submissions will be reviewed and accepted on a rolling basis with a final deadline of February 28, 2017. Submitters will be notified via email by March 31, 2017 of acceptance, presentation length, and financial assistance (if requested).

Chicago bean image under cc by-nc-sa 2.0: Credits

Registration Details

The main conference registration fees are listed below. The registration fee includes access to Friday and Saturday sessions, as well as lunch on Friday and Saturday. Optional pre-conference seminars, held early on Friday, are available for a separate fee.


Conference registration will increase by 50% at the end of early registration on May 8, 2017.

Conference Registration:
Seminar Registration
Industry/Academic/Student $75
Conference Dinner

Seminar Details

Several one-hour seminars are offered on Friday morning from 08:00 to 09:00am. The cost is $75, and the seminars are offered in parallel so only one can be selected per participant.
  1. Dirk Eddelbuettel: Rcpp: From Simple Examples to Machine Learning
  2. Michael Weylandt: Advanced Bayesian Time Series Analysis using Stan
  3. Ross Bennett: Portfolio Simulation and Optimization with PortfolioAnalytics
  4. Doug Martin: Fundamental Factor Models in factorAnalytics
During registration for the conference, one may select either a seminar or none.

Pre-conference seminars are optional, as is the conference dinner.

The conference is limited to 300 attendees.

Seminars are limited to approximately 40 to 60 participants.

In previous years, the majority of seminars sold out early! Space for the conference dinner is also limited and expected to sell out early.

Chicago bean image under cc-by 2.0: Credits