Slides for R/Finance 2012

May 23, 2012
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(This article was first published on tradeblotter » R, and kindly contributed to R-bloggers)

Another succeessful* year of R/Finance is behind us. It was certainly more: a larger crowd, a longer session, more seminars, more presentations, more sponsors – perhaps even to the point where we’ve reaching a certain capacity. What began as an interesting idea among a few friends has more than credible momentum – it’s now more of a cannonball.

Which, by the end of the conference, is exactly what I feel like hit me. Simon Urbanek’s keynote might have stolen the show for the whiz-bang visualization that he’s doing. Except that Bryan Lewis then followed him with a fascinating discussion of singular value decomposition and its implementation. Bernhard Pfaff gave one of the most interesting talks that he’s done yet (a difficult task, given his past talks), as did Kris Boudt. Ana Nelson’s demonstration of Dexy was strongly compelling. Robert Gordy’s presentation used iGraph to examine an extremely interesting set of data. Jay Emerson always has something interesting up his sleeve. Marcus Gesman had a very interesting viewpoint from the insurance industry. My list goes on and on… Eric Zivot, Doug Martin, Norman Packard, Stephan Theussel, Mark Wildi, and Blair Hull all gave very interesting presentations as well. Needless to say, hanging out with this crowd afterwards is extremely rewarding.

Slides are being assembled and linked on the agenda page, but here are the slides for the seminar I did with Brian.

One of the money slides

A view of multiple objectives mapped onto 4,000 random portfolios…


I always come home from this conference with a list of packages to sort through: igraph, urca, irlba, and fastRweb were some of mine. What packages made your to-do list? Feel free to add to the comments, below.

* Disclaimer: As an organizer, I’m talking my own book here.


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