I unfortunately was not there, but we can vicariously enjoy it via the presentations that are posted on the conference website.
Below is my take on the highlights (in chronological order).
Peter Carl and Brian Peterson
“Diversification Reconsidered: Minimum Tail Dependency” takes a different angle on diversification. Portfolio diversity is a subject that has appeared in this blog.
R. Michael Weylandt
“Real-time Portfolio/Market Monitoring with R” tells of the genesis of a package for doing what the title says. Sounds exciting.
“Insanely Cool Stuff from OpenGamma + R” (pptx) talks about an open source risk system that includes R.
“Estimating the Dynamics of Price Discovery” (pptx) shows an econometric method of determining if changes in the euro/yen exchange rate are incorporated first via the US dollar.
“Estimating Market Value of Illiquid Debt” talks about a method of using liquid bonds to price bonds that have not traded recently.
“Monetary Policy Analysis Based on Lasso-Assisted Vector Autoregression (LAVAR)” (pptx) discusses US economic prediction in the realm of vector autoregression models. It highlights the problem of overfitting.
All Words Are Not Made Equal” shows some interesting experiments for news analytics.
Handling lots of data is discussed in “Towards Terabytes of TAQ”.
“News Sentiment Analysis Using R to Predict Stock Market Trends” is another talk on text analysis.
“rcppbugs — Native MCMC for R” talks about a nice looking implementation of Markov Chain Monte Carlo.
- Selections from the R/Finance conference (2011)
- Things I learned at useR!2011
- A view of useR!2011
- LondonR recap (2011 December)
- Recap of London Quant Group Spring Seminar (2011)
- Highlights of the London Quant Group Technology Day (2011)