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
9:0011:00Optional Pre-Conference Tutorials
Ryan: Automated Trading with R
Yollin: High-Frequency Financial Data Analysis with R
Zivot: Financial Risk Models with R
12:1512:30Welcome and opening remarks
12:3013:20Faber: Global Tactical Investing
13:2013:40Boudt: Intraday Liquidity Dynamics Of The DJIA Around Price Jumps
13:4014:00Dunand-Chatellet: Mutually Exciting Hawkes Processes …
14:0014:20Kane: Evaluating the Effect of FINRA’s New Circuit Breaker Regulation
14:5015:40Iacus: Statistical Analysis of Financial Time Series and Option Pricing in R
15:4016:00Switanek: The Impact of News Readability on Market Response Times
16:2016:40Lewis: The betfair Package
16:4017:00Kumar: Carry Trades – Don’t Get Carried Away
17:0017:30Nelson: Beyond Vignettes: Dexy for Documenting R and More
Rothermich: Alt. Data Sources for Measuring Market Sentiment and Events
Long: The Segue Package for R
17:3022:00Conference Reception and optional Dinner (East Terrace and Rivers Restaurant)
Saturday, April 30th, 2011
8:009:00Continental Breakfast
9:009:30Rowe: 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
9:309:50Zivot: Factor Risk and Performance Attribution
9:5010:10Gramacy: Shrinkage Regression for Multivariate Inference \ldots
10:3010:50Martin: Tail Risk Budgeting versus Modern Portfolio Theory
10:5011:10Niemenmaa: Benchmarking Parallel Loops Without Data Dependency in R
11:1012:00Bollinger: Yesterday, Today and Tomorrow: A Trip Through Computational Finance
12:0013:30Sponsor Lunch with presentations by Revolution, OneTick and RStudio
13:3014:00Teetor: Better Hedge Ratios
Ang: The Impact of Oil Prices on the Houston Housing Market and Economy
Yadav: Modeling Low Default Credit Portfolios in R
14:0014:20Wildi: Multivariate DFA
14:2014:40Matteson: Independent Component Analysis via Distance Covariance
15:0015:50Kates: R and proto
15:5016:10Vermes: Stochastic Volatility Models Massively Parallel in R
16:1016:30Pfaff: Interfacing NEOS from R: The rneos Package
16:3017:00Horner: Rack: A Web Server Interface for R
Haynold:: RserveCLI: An Rserve Client Implementation for CLI/.NET
North: Repast Simphony
17:0017:15Closing remarks

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