R/Finance 2010: Applied Finance with R
April 16 & 17, Chicago, IL, USA
| Friday, April 16th, 2010 | ||||
| University of Illinois at Chicago Student Center East Illinois Rooms (3rd floor) | ||||
| Optional Pre-Conference tutorials (Ft. Dearborn & Cardinal Rooms) | ||||
| 9:00am | - | 10:00am | Eddelbuettel: Rcpp / Rinside: Extending and Embedding R with C++ (pdf) | |
| Carl/Peterson/Boudt: Complex Portfolio Optimization with Generalized Business Objectives (pdf) | ||||
| 10:00am | - | 11:00am | Seligman: GPU Programming with R (pdf) | |
| Ryan: Trading with R: Idea to Execution in 50 Minutes with IBrokers and R (pdf) | ||||
| Opening remarks | ||||
| 12:30am | - | 1:30pm | Zeileis: Testing, Monitoring and Dating Structural Change in FX Regimes (pdf) | |
| 1:30pm | - | 2:00pm | Smith: Analysing Large-Scale Financial Data Sets in R (pdf) | |
| 2:00pm | - | 2:30pm | Plate: Mean-variance Portfolio Optimization: Do Historical Correlations Help or Hinder Risk Control in a Crisis ? (pdf) | |
| 2:30pm | - | 3:00pm | Break | |
| 3:00pm | - | 4:00pm | Vince/Macbeth: Leverage Space Portfolio Model | |
| 4:00pm | - | 4:30pm | Boudt: Portfolio Optimization with Conditional Value-at-Risk Budgets (pdf) | |
| 4:30pm | - | 5:00pm | Kane/Lewis: The esperr package and the Esper API (pdf) | |
| 5:00pm | - | 5:30pm | Carl: The blotter / instrument / strategy toolchain (pdf) | |
| Liu: Improved Generalized Gram-Charlier Expansions based on Multivariate Skew Distributions (pdf) | ||||
| Wang: Strategic Asset Allocation using Markov Switching (pdf) | ||||
| Long: Zen and the Art of Stochastic Dart Throwing (How I Build Insurance / Reinsurance Models with R) (pdf) | ||||
| 5:30pm | - | 7:30pm | Conference Reception (East Terrace) | |
| Saturday, April 17th, 2010 | ||||
| 8:00am | - | 9:00am | Continental Breakfast | |
| 9:00am | - | 9:30am | Buckner/Seligman: GPU computing with the gputools package (pdf) | |
| 9:30am | - | 10:00am | Guha: R and Hadoop Integrated Processing Environment (ppt) | |
| 10:00am | - | 10:30am | Theussl: Distributed Text Mining with tm (pdf) | |
| 10:30am | - | 11:00am | Break | |
| 11:00am | - | 12:00am | Pfaff: Risk Modeling with R (pdf) | |
| 12:00pm | - | 1:00pm | Lunch | |
| 1:00pm | - | 1:30pm | Cornelissen: RTAQ: Tools for Analysis of Trades and Quotes (pdf) | |
| Grossman: Running R over Clouds: Why There are So Many Choices and Why They Matter | ||||
| Christou/Diez: Statistical Finance for Investors Unfamiliar with Quantitative Methods (pdf) | ||||
| 1:30pm | - | 2:00pm | Belianina: Data Management Challenges for Quantitative Research (pdf) | |
| 2:00pm | - | 3:00pm | Wildi: Adapting the MDFA to `Financial Trading' (ppt) | |
| 3:00pm | - | 3:30pm | Break | |
| 3:30pm | - | 4:00pm | Zivot: Simulation-based Estimation of Continuous Time Models (pdf) | |
| 4:00pm | - | 4:30pm | Eddelbuettel/Nguyen: RQuantLib: Interfacing QuantLib from R (pdf) | |
| 4:30pm | - | 5:00pm | Ryan: Databasing without the Database: The indexing package (pdf) | |
| Ulrich: Fast and Flexible Technical Analysis with TTR (pdf) | ||||
| Koning: Thick Tails, Thin Tails, or Dependence? (pdf) | ||||
| North: R and Repast Simphony (pdf) | ||||
| Closing remarks | ||||
| Download printable agenda as pdf | ||||