R/Finance 2012: Applied Finance with R
May 11 & 12, Chicago, IL, USA
| Friday, May 11th, 2012 | ||||
| 8:00 | - | 9:00 | Optional Pre-Conference Tutorials | |
| - | Armstrong: Deathstar: Seamless Distributed Computing for R | |||
| - | Carl/Peterson: Evaluating Strategic Portfolios of Hedge Funds | |||
| - | Eddelbuettel: Rcpp and RInside for R and C++ Integration | |||
| - | Martin: Robust Statistics in Finance | |||
| - | Ryan: Market Scale Data: An Author-led Tour of xts, xtime, mmap, indexing, and More | |||
| - | Yollin/Zivot: Time Series Forecasting with State Space Models | |||
| 9:00 | - | 9:30 | Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables) | |
| 9:30 | - | 9:40 | Welcome and Opening Remarks | |
| 9:40 | - | 10:30 | Blair Hull: Examining the Revolution: How Technology is Changing the Trading Landscape | |
| 10:30 | - | 10:50 | Pfaff: Diversification Reconsidered: Minimum Tail Dependence | |
| 10:50 | - | 11:10 | Gesmann: Modelling Insurance Claim Reserves with R and the ChainLadder Package | |
| 11:10 | - | 11:30 | Break | |
| 11:30 | - | 11:50 | Martin: Utility Function Based Spectral Risk Measures | |
| 11:50 | - | 12:15 | Cha: Risk Management in ERCOT Power Markets | |
| - | Kapler: Seasonality Analysis and Pattern Matching in R | |||
| - | Weylandt: A Short Introduction to Real-Time Portfolio/Market Monitoring with R | |||
| - | Wylie: Insanely Cool Stuff from OpenGamma+R | |||
| 12:15 | - | 13:15 | Lunch | |
| 13:15 | - | 13:35 | Packard: Semantic Genomes for Analysis of Large Text Streams | |
| 13:35 | - | 13:55 | Hoxsey/Wildi: Trader's DFA — A Practitioner's Introduction to the Direct Filter Approach | |
| 13:55 | - | 14:20 | Cornelissen: The Sustainability of Mean-Variance and Mean-Tracking Error Efficient Portfolios | |
| - | Pav: On the Maximization of Sharpe Ratio | |||
| - | Rush: Relative Return Momentum in Asset Allocation | |||
| - | Belianina: OneTick and R for Market Data Time Series Analysis | |||
| 14:20 | - | 14:45 | Break | |
| 14:45 | - | 15:35 | Rob McCulloch: Cholesky Stochastic Volatility | |
| 15:35 | - | 15:55 | Theussl: ROI: The R Optimization Infrastructure Package | |
| 15:55 | - | 16:15 | Boudt: The Peer Performance of Hedge Funds | |
| 16:15 | - | 16:45 | Zivot: Estimating the Dynamics of Price Discovery | |
| 16:45 | - | 17:00 | Information About Reception, Dinner | |
| 17:00 | - | 22:00 | Conference Reception and Optional Dinner (East Terrace and Market Bar) | |
| Saturday, May 12th, 2012 | ||||
| 8:00 | - | 9:00 | Coffee/Breakfast | |
| 9:00 | - | 9:05 | Kickoff | |
| 9:05 | - | 9:30 | Eddelbuettel: Wittier Webapps with RInside | |
| - | Gesmann: An Interactive Overview of Lloyd's Using R and the googleVis Package | |||
| - | Raattamaa: Carryover Costs in Zero Intelligence Double-Auction Markets | |||
| - | Myers: Using Historical Market Data in R - Quality Models are Built from Quality Data | |||
| 9:30 | - | 9:50 | Kumar: Is the Future Golden? | |
| 9:50 | - | 10:10 | King: Liquid Gold, Illiquid Assets: Hedging Event Risk in Fixed Income Securities — British Petroleum Bonds in the Spring/Summer of 2010 | |
| 10:10 | - | 10:30 | Break | |
| 10:30 | - | 11:20 | Paul Gilbert: Lock-In Avoidance and Quality Assurance | |
| 11:20 | - | 11:40 | Ang: Estimating the Market Value of Illiquid Debt Using WRDS TRACE Data | |
| 11:40 | - | 12:00 | Li: Monetary Policy Analysis Based On Lasso-Assisted Vector Autoregression (LAVAR) | |
| 12:00 | - | 13:30 | Lunch | |
| 13:30 | - | 13:50 | Nelson: Financial Reporting and Documentation using R and Dexy | |
| 13:50 | - | 14:10 | Gordy: Network Analysis in R of Derivatives Trade Repository Data | |
| 14:10 | - | 14:30 | Sinha: All Words Are Not Made Equal | |
| 14:30 | - | 14:42 | Emerson: Towards Terrabytes of TAQ | |
| - | Nagar: News Sentiment Analysis Using R to Predict Stock Market Data | |||
| 14:42 | - | 15:00 | Break | |
| 15:00 | - | 15:50 | Simon Urbanek: Visualizing Large Data with R | |
| 15:50 | - | 16:10 | Lewis: A Cointegration-Inspired Method for Large Scale Data | |
| 16:10 | - | 16:30 | Armstrong: CppBugs: Native MCMC for R | |
| 16:30 | - | 16:50 | Rohani: Large-Scale, Computationally Intensive Forecasting in R | |
| 16:50 | - | 17:02 | Humke: Achieving High-Performing, Simulation-Based Operational Risk Measurement with R and RevoScaleR | |
| - | Teetor: Fast(er) R Code | |||
| 17:02 | - | 17:15 | Conclusion | |
| 17:15 | - | 17:30 | Transition to Jak's | |
| 17:30 | - | Post-Conference Drinks at Jak's Tap | ||
| Download printable agenda as pdf | ||||