R/Finance 2016: Applied Finance with R

At R/Finance 2016: Applied Finance with R.  Interesting group, with many constituencies, and interesting program, which appears below (or go to http://www.rinfinance.com/agenda/).

Friday, May 20th, 2016
08:00 - 09:00	Optional Pre-Conference Tutorials
	Ross Bennett: Feasible Space Analysis and Hierarchical Optimization with PortfolioAnalytics
	Dirk Eddelbuettel: Introduction to Rcpp and RcppArmadillo
	Doug Service: Leveraging Azure Compute from R
	T. Harte + M. Weylandt: Modern Bayesian Tools for Time Series Analysis
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 - 10:20	Rishi Narang: Rage Against the Machine Learning
10:20 - 10:50	Robert McDonald: The derivmkts package
	Piotr Orłowski: Modeling Divergence Swap Rates
	Jerzy Pawlowski: Exploring Higher Order Risk Premia Using High Frequency Data
	Majeed Simaan: The Implicit Value of Tracking the Market
	Kris Boudt: Block rearranging elements within matrix columns to minimize the variability of the row sums
10:50 - 11:20	Break
11:20 - 11:40	Brian Boonstra: Calibrating Parsimonious Models Of Equity-Linked Default Intensity
11:40 - 12:00	Matthew Ginley: Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation
12:00 - 12:20	Klaus Spanderen: Calibration of the Heston Local Stochastic Volatility Model
12:20 - 13:25	Lunch
13:25 - 14:05	Tarek Eldin: Random Pricing Errors and Systematic Returns: The Flaw in Fundamental Prices
14:05 - 14:25	Sanjiv Das: An Index-Based Measure of Liquidity
14:25 - 14:45	Ryan Hafen: Interactively Exploring Financial Trades in R
14:45 - 15:03	Nidhi Aggarwal: The causal impact of algorithmic trading on market quality
	Chirag Anand: Liquidity provision in a high-frequency environment
	Maria Belianina: OneTick and R
	Patrick Howerter: Connecting QAI to R
15:09 - 15:40	Break
15:40 - 16:00	Marc Wildi: Monitoring the US Economy: a System of Timely (Real-Time Daily Mixed-Frequency) Indicators
16:00 - 16:06	Sile Li: Constructing US Employment Google Search Index by Applying Principal Component Analysis
16:06 - 16:12	Doug Martin: Information Ratio Maximizing Fundamental Factor Models
16:12 - 16:18	Robert Franolic: Eyes on FX
16:18 - 16:24	Warren Durrett: Comparing Private Equity Managers Using an Objective, Data-Driven Approach
16:24 - 17:04	Frank Diebold: Estimating Global Bank Network Connectedness
17:04 - 17:10	Information about reception and dinner
17:10 - 19:10	Conference Reception
19:10 - 19:30	(Optional) Transfer to Conference Dinner
19:30 -	(Optional) Conference Dinner (Riverside Room and Gallery at Trump Hotel)
Saturday, May 21st, 2016
08:00 - 09:00	Coffee/ Breakfast
09:00 - 09:05	Kickoff
09:05 - 09:35	Hsiu-lang Chen: Do Mutual Funds Exploit Information from Option Prices for Equity Investment?
	Kyle Balkissoon: A Practitioners analysis of the overnight effect
	Mark Bennett: Measuring Income Statement Sharpe Ratios using R
	Mark Bennett: Implementation of Value Strategies using R
	Colin Swaney: Evaluating Fund Manager Skill: A Mixture Model Approach
09:35 - 09:55	Bernhard Pfaff: Portfolio Selection with Multiple Criteria Objectives
09:55 - 10:15	Douglas Service: Quantitative Analysis of Dual Moving Average Indicators in Automated Trading Systems
10:15 - 10:45	Marjan Wauters: Smart beta and portfolio insurance: A happy marriage?
	Michael Kapler: Tax Aware Backtest Framework
	Miller Zijie Zhu: Backtest Graphics
	Laura Vana: Portfolio Optimization Modeling
	Ilya Kipnis: Hypothesis Driven Development: An Understandable Example
10:45 - 11:05	Break
11:05 - 11:25	Mark Seligman: Controlling for Monotonicity in Random Forest Regressors
11:25 - 11:45	Michael Kane: glmnetlib: A Low-level Library for Regularized Regression
11:45 - 12:05	Xiao Qiao: A Practitioner's Defense of Return Predictability
12:05 - 13:05	Lunch
13:05 - 13:45	Patrick Burns: Some Linguistics of Quantitative Finance
13:45 - 14:05	Eran Raviv: Forecast combinations in R using the ForecastCombinations package
14:05 - 14:35	Kjell Konis: Comparing Fitted Factor Models with the fit.models Package
	Steven Pav: Madness: a package for Multivariate Automatic Differentiation
	Paul Teetor: Are You Trading Mean Reversion or Oscillation?
	Pedro Alexander: Portfolio Selection with Support Vector Regression
	Matthew Dixon: Seasonally-Adjusted Value-at-Risk
14:35 - 15:05	Break
15:05 - 15:25	Bryan Lewis: R in Practice
15:25 - 15:45	Matt Dziubinski: Getting the most out of Rcpp: High-Performance C++ in Practice
15:45 - 16:09	Mario Annau: h5 - An Object Oriented Interface to HDF5
	Robert Krzyzanowski: Syberia: A development framework for R
	Dirk Eddelbuettel: Rblapi Revisited: One Year Later
	Matt Brigida: Community Finance Teaching Resources with R/Shiny
16:09 - 16:29	Jason Foster: Multi-Asset Principal Component Regression using RcppParallel
16:29 - 16:49	Qiang Kou: Deep learning in R using MxNet
16:49 - 17:04	Prizes and Feedback
17:04 - 17:09	Conclusion
17:09 - 17:19	Transition to Jak's
17:19 -	Post-conference Drinks at Jak's Tap