| 08:00 - 09:00 | Optional Pre-Conference Tutorials |
| Ross Bennett: PortfolioAnalytics: Advanced Moment Estimation & Optimization (pdf) |
| Kris Boudt: High-frequency Price Data Analysis in R (pdf) |
| Dirk Eddelbuettel: Hands-on Introduction to Rcpp (pdf) |
| Guy Yollin: Getting Started with Quantstrat |
| Maria Belianina: An Introduction to OneTick |
| 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 - 10:30 | Emanuel Derman: Understanding the World
|
| 10:30 - 10:54 | John Burkett: Portfolio Optimization: Price Predictability, Utility
Functions, Computational Methods, and Applications (pdf) |
| Kyle Balkissoon: A Framework for Integrating Portfolio-level Backtesting with Price and Quantity Information (html) |
| Anthoney Tsou: Implementation of Quality Minus Junk (html) |
| Ilya Kipnis: Flexible Asset Allocation With Stepwise Correlation Rank (pptm) |
| 10:54 - 11:20 | Break |
| 11:20 - 11:40 | Sanjiv Das: Efficient Rebalancing of Taxable Portfolios (pdf) |
| 11:40 - 12:00 | Marjan Wauters: Characteristic-based equity portfolios: economic value and dynamic style allocation (pdf) |
| 12:00 - 12:20 | Bernhard Pfaff: The sequel of cccp: Solving cone constrained convex programs |
| 12:20 - 13:40 | Lunch |
| 13:40 - 14:00 | Markus Gesmann: Communicating risk - a perspective from an insurer (pdf) |
| 14:00 - 14:20 | Doug Martin: Nonparametric vs Parametric Shortfall: What are the Differences? |
| 14:20 - 14:40 | Matthew Dixon: Risk Decomposition for Fund Managers (pdf) |
| 14:40 - 15:10 | Rohit Arora: Inefficiency of Modified VaR and ES (pdf) |
| Mark Bennett: Gaussian Mixture Models for Extreme Events (pdf) |
| Steven Pav: Portfolio Cramer-Rao Bounds
(why bad things happen to good quants) (pdf) |
| Majeed Simaan: Global Minimum Variance Portfolio:
a Horse Race of Volatilities (pdf) |
| Rob Krzyzanowski: Building Better Credit Models through Deployable Analytics in R (pptx) |
| 15:10 - 15:40 | Break |
| 15:40 - 16:00 | Rohini Grover: The informational role of algorithmic traders in the option market (pdf) |
| 16:00 - 16:20 | Oleg Bondarenko: High-Frequency Trading Invariants for Equity Index Futures (pdf) |
| 16:20 - 16:40 | Matt Brigida: Markov Regime-Switching (and some State Space) Models in Energy Markets (pdf) |
| 16:40 - 16:58 | Jerzy Pawlowksi: Are High Frequency Traders Prudent and Temperate? (pdf) |
| Stephen Rush: Information Diffusion in Equity Markets (pdf) |
| Vincenzo Giordano: Quantifying the Risk and Price Impact of Energy Policy Events on Natural Gas Markets Using R (with Soumya Kalra) (pdf) |
| 16:58 - 17:00 | Information about reception and dinner |
| 17:00 - 19:00 | Conference Reception |
| 19:00 - 19:20 | (Optional) Transfer to Conference Dinner |
| 19:20 - | Optional Conference Dinner (The Terrace at The Trump) |
| 08:00 - 09:00 | Coffee/ Breakfast |
| 09:00 - 09:05 | Kickoff |
| 09:05 - 09:29 | Yuanchu Dang: Credit Default Swaps with R (with Zijie Zhu) (html) |
| Dirk Eddelbuettel: Rblpapi: Connecting R to the data service that shall not be named (pdf) |
| Guy Yollin: Fundamental Factor Model DataBrowser using Tableau and R (pptx) |
| Matt Dowle: Fast automatic indexing with data.table (pdf) |
| 09:29 - 09:49 | Marius Hofert: Parallel and other simulations in R made easy: An end-to-end study (pdf) |
| 09:49 - 10:09 | Bryan Lewis: More thoughts on the SVD and Finance (html) |
| 10:09 - 10:35 | Break |
| 10:35 - 10:55 | Mark Seligman: The Arborist: a High-Performance Random Forest Implementation (pdf) |
| 10:55 - 11:15 | Hadley Wickham: Data ingest in R (pdf) |
| 11:15 - 12:05 | Louis Marascio: An Outsider's Education in Quantitative Trading
(pdf) |
| 12:05 - 13:25 | Lunch |
| 13:25 - 13:43 | Matthew Clegg: The partialAR Package for Modeling Time Series with both Permanent and Transient Components (pdf) |
| Michael Kapler: Follow the Leader - the application of time-lag series analysis to discover leaders in S&P 500 (pdf) |
| Chris Green: Detecting Multivariate Financial Data Outliers using Calibrated Robust Mahalanobis Distances (pdf) |
| 13:43 - 14:03 | Eric Zivot: Price Discovery Share-An Order Invariant Measure of
Price Discovery with Application to Exchange-Traded
Funds (pptx) |
| 14:03 - 14:23 | Nicholas James: Efficient Multivariate Analysis of Change Points (pdf) |
| 14:23 - 14:43 | William Nicholson: Structured Regularization for Large Vector Autoregression (pdf) |
| 14:43 - 15:10 | Break |
| 15:10 - 16:00 | Alexander McNeil: R Tools for Understanding Credit Risk Modelling
(pdf) |
| 16:00 - 16:20 | Sanjiv Das: Matrix Metrics: Network-Based Systemic Risk Scoring (pdf) |
| 16:20 - 16:40 | Gergely Daroczi: Network analysis of the Hungarian interbank lending market (pdf) |
| 16:40 - 16:46 | Kresimir Kalafatic: Financial network analysis using SWIFT and R (pdf) |
| 16:46 - 16:55 | Prizes and Feedback |
| 16:55 - 17:00 | Conclusion |
| 17:00 - 17:10 | Transition to Jak's |
| 17:10 - | Post-conference Drinks at Jak's Tap |
