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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