R/Finance conference in Chicago – April 29, 2011 to April 30, 2011
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This was my first year to attend the R/Finance conference that focuses on the use R programming in applied finance. I was unable to get out there until mid-morning on Friday, so I missed Jeff Ryan’s tutorial on Automated Trading with R. I guess he showed how to use the R package IBrokers (which he is the author and maintainer) to connect to Interactive Brokers Trader Workstation. I’ve been using the Java API to Interactive Brokers, so I would have liked to see how it differs.
As for the rest of the conference where I was able to attend. I thought there was a lot of really great content, a lot of it being way over my head in the applied math realm. I did get a lot of ideas for things I would like to experiment with using R. I really enjoyed the lightning talks that were limited to 10 minutes. There was a lot of really great content packed in a short amount of time. At the conference dinner at the Rivers Restaurant, I sat with the RStudio guys where I got to hear more about their amazing, open-source IDE. I’m still using Eclipse/StatET, but I’m seriously considering switching now.
Here’s the agenda for the talks that were given:
| Friday, April 29th, 2011 | ||||
| 9:00 | – | 11:00 | Optional Pre-Conference Tutorials | |
| Ryan: Automated Trading with R | ||||
| Yollin: High-Frequency Financial Data Analysis with R | ||||
| Zivot: Financial Risk Models with R | ||||
| 12:15 | – | 12:30 | Welcome and opening remarks | |
| 12:30 | – | 13:20 | Faber: Global Tactical Investing | |
| 13:20 | – | 13:40 | Boudt: Intraday Liquidity Dynamics Of The DJIA Around Price Jumps | |
| 13:40 | – | 14:00 | Dunand-Chatellet: Mutually Exciting Hawkes Processes … | |
| 14:00 | – | 14:20 | Kane: Evaluating the Effect of FINRA’s New Circuit Breaker Regulation | |
| 14:20 | – | 14:50 | Break | |
| 14:50 | – | 15:40 | Iacus: Statistical Analysis of Financial Time Series and Option Pricing in R | |
| 15:40 | – | 16:00 | Switanek: The Impact of News Readability on Market Response Times | |
| 16:00 | – | 16:20 | Break | |
| 16:20 | – | 16:40 | Lewis: The betfair Package | |
| 16:40 | – | 17:00 | Kumar: Carry Trades – Don’t Get Carried Away | |
| 17:00 | – | 17:30 | Nelson: Beyond Vignettes: Dexy for Documenting R and More | |
| Rothermich: Alt. Data Sources for Measuring Market Sentiment and Events | ||||
| Long: The Segue Package for R | ||||
| 17:30 | – | 22:00 | Conference Reception and optional Dinner (East Terrace and Rivers Restaurant) | |
| Saturday, April 30th, 2011 | ||||
| 8:00 | – | 9:00 | Continental Breakfast | |
| 9:00 | – | 9:30 | Rowe: A Beautiful Paradigm: Functional Programming in Finance | |
| Ryan: High Performance Time Series in R: xtime, xts, and indexing | ||||
| Peterson: Building and Testing Quantitative Strategy Models in R | ||||
| 9:30 | – | 9:50 | Zivot: Factor Risk and Performance Attribution | |
| 9:50 | – | 10:10 | Gramacy: Shrinkage Regression for Multivariate Inference \ldots | |
| 10:10 | – | 10:30 | Break | |
| 10:30 | – | 10:50 | Martin: Tail Risk Budgeting versus Modern Portfolio Theory | |
| 10:50 | – | 11:10 | Niemenmaa: Benchmarking Parallel Loops Without Data Dependency in R | |
| 11:10 | – | 12:00 | Bollinger: Yesterday, Today and Tomorrow: A Trip Through Computational Finance | |
| 12:00 | – | 13:30 | Sponsor Lunch with presentations by Revolution, OneTick and RStudio | |
| 13:30 | – | 14:00 | Teetor: Better Hedge Ratios | |
| Ang: The Impact of Oil Prices on the Houston Housing Market and Economy | ||||
| Yadav: Modeling Low Default Credit Portfolios in R | ||||
| 14:00 | – | 14:20 | Wildi: Multivariate DFA | |
| 14:20 | – | 14:40 | Matteson: Independent Component Analysis via Distance Covariance | |
| 14:40 | – | 15:00 | Break | |
| 15:00 | – | 15:50 | Kates: R and proto | |
| 15:50 | – | 16:10 | Vermes: Stochastic Volatility Models Massively Parallel in R | |
| 16:10 | – | 16:30 | Pfaff: Interfacing NEOS from R: The rneos Package | |
| 16:30 | – | 17:00 | Horner: Rack: A Web Server Interface for R | |
| Haynold:: RserveCLI: An Rserve Client Implementation for CLI/.NET | ||||
| North: Repast Simphony | ||||
| 17:00 | – | 17:15 | Closing remarks | |
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