R/Finance 2017 livestreaming today and tomorrow

If you weren’t able to make it to Chicago for R/Finance, the annual conference devoted to applications of R in the financial industry, don’t fret: the entire conference is being livestreamed (with thanks to the team at Microsoft). You can watch the proceedings at aka.ms/r_finance, and recordings will be available at the same link after the event.
Check out the conference program below for the schedule of events (times in US Central Standard Daylight Time).

Friday, May 19th, 2017

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  
Matthew Dixon: MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models

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

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  
Eric Glass: Equity Factor Portfolio Case Study

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

 
 

R/Finance 2017 livestream: aka.ms/r_finance

from Revolutions http://blog.revolutionanalytics.com/2017/05/rfinance-2017-livestreaming-today-and-tomorrow.html

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s