It’s been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery.
The comments below are based on my personal experience. If I don’t comment on a seminar or presentation, it doesn’t mean I didn’t like it or it wasn’t good; it may have been over my head or I may have been distracted with my duties as a committee member. All the currently available conference slides are available on the website.
I went to (and live-tweeted) Jeff Ryan’s seminar because I wanted to learn more about how he uses mmap+indexing with options data. There I realized that POSIXlt components use a zero-based index because they mirror the underlying tm struct, and that mmap+indexing files can be shared across cores and you can read them from other languages (e.g. Python).
The first presentation was by keynote Ryan Sheftel, who talked about how he uses R on his bond trading desk. David Ardia showed how expected returns can be estimated via the covariance matrix. Ronald Hochreiter gave an overview of modeling optimization via his modopt package. Tammer Kamel gave a live demo of the Quandl package and said, “Quandl hopes to do to Bloomberg what Wikipedia did to Britannica.”
I had the pleasure of introducing both Doug Martin, who talked about robust covariance estimation, and Giles Heywood, who discussed several ways of estimating and forecasting covariance, and proposed an “open source equity risk and backtest system” as a means of matching talent with capital.
Ruey Tsay was the next keynote, and spoke about using principal volatility components to simplify multivariate volatility modeling. Alexios Ghalanos spoke about modeling multivariate time-varying skewness and kurtosis. Unfortunately, I missed both Kris Boudt’s and David Matteson’s presentations, but I did get to see Winston Chang’s live demo of Shiny.
The two-hour conference reception at UIC was a great time to have a drink, talk with speakers, and say hello to people I had never met in person. Next was the (optional) dinner at The Terrace at Trump. Unfortunately, it was cold and windy, so we only spent 15-20 minutes on the terrace before moving inside. The food was fantastic, but but the conversations were even better.
- Regime switches in volatility and correlation of ﬁnancial institutions, Boudt et. al.
- A Bayesian interpretation of the Federal Reserve’s dual mandate and the Taylor Rule, Putnam & Azzarello
- Nonparametric Estimation of Stationarity and Change Points in Finance, Matteson et. al.
- Estimating High Dimensional Covariance Matrix Using a Factor Model, Sun (best student paper)
The whirlwind came to a close at Jaks Tap. I was finally able to ask speed-obsessed Matthew Dowle about potential implementations of a multi-type xts object (a Google Summer of Code project this year). I also spoke to a few people about how to add options strategy backtesting to quantstrat.
Last, but not least: none of this would be possible without the support of fantastic sponsors: International Center for Futures and Derivatives at UIC, Revolution Analytics, MS-Computational Finance at University of Washington, Google, lemnica, OpenGamma, OneMarketData, and RStudio.