R/Finance 2010: Applied Finance with R
April 16 & 17, Chicago, IL, US
www.RinFinance.com <http://www.RinFinance.com>
The second annual R/Finance conference for applied finance using R, the
premier free software system for statistical computation and graphics,
will be held this spring in Chicago, IL, USA on Friday April 16 and
Saturday April 17, 2010.
Registration is still open and early bird pricing ends April 1, 2010.
Given the current registration, we anticipate that some of the
tutorials will be closed before that date. Register at
http://www.RinFinance.com to secure a tutorial spot and avoid a price
increase.
The conference includes keynote and regular presentations as well as
short lightning talks to present a diverse range of ideas. The planned
list of tutorials and conference presentations (also available at
http://www.RinFinance.com):
Friday, April 16th, 2010
------
Tutorials:
Dirk Eddelbuettel: Rcpp/RInside and How to Extend R with C++
Jeff Ryan Trading with R
Peter Carl/Brian Peterson: Complex Portfolio Optimization with General
Business Objectives
Josh Buckner/Mark Seligman: GPU Programming with R
*Achim Zeileis: Testing, Monitoring and Dating Structural Change in FX
Regimes
David Smith: Analysing Large-Scale Financial Data Sets in R
Tony Plate: Mean-variance Portfolio Optimization: Do Historical
Correlations Help or Hinder Risk Control in a Crisis?
*Ralph Vince/Soren MacBeth: Leverage Space Portfolio Model
Kris Boudt: Portfolio Optimization with Conditional Value-at-Risk Budgets
Steve Kane/Jeff Lewis: The esperr package and the Esper API
Lightning talks:
Peter Carl: The blotter / instrument / strategy toolchain
Wei-han Liu: Improved Generalized Gram-Charlier Expansions based on
Multivariate Skew Distributions
Wendy Wang: Strategic Asset Allocation using Markov Switching
James "JD" Long: Zen and the Art of Stochastic Dart Throwing (How I
Build Insurance / Reinsurance Models with R)
Saturday, April 17th, 2010
------
Josh Buckner/Mark Seligman: GPU computing with the gputools package
Saptarshi Guha: R and Hadoop Integrated Processing Environment
Stefan Theussl: Distributed Text Mining with tm
*Bernhard Pfaff: Risk Modeling with R
Lightning talks:
Jonathan Cornelissen: RTAQ: Tools for Analysis of Trades and Quotes
Robert Grossman: Computing in the Cloud
Nicolas Christou/David Diez: Statistical Finance for Investors
Unfamiliar with Quantitative Methods
Maria Belianina: Data Management Challenges for Quantitative Research
*Marc Wildi: Adapting the MDFA to 'Financial Trading'
Eric Zivot: Simulation-based Estimation of Continuous Time Models
Dirk Eddelbuettel/Khanh Nguyen: RQuantLib: Interfacing QuantLib from R
Lightning talks:
Jeff Ryan: Databasing without the Database: The indexing package
Josh Ulrich: Fast and Flexible Technical Analysis with TTR
Ruud Koning: Thick Tails, Thin Tails, or Dependence?
Michael North: R and Repast Simphony
R/Finance 2010 is organized by a local group of R package authors and
community contributors, hosted by the International Center for Futures
and Derivatives (ICFD) at the University of Illinois at Chicago and made
possible via sponsorship support from ICFD, REvolution Computing,
OneMarketData and Insight Algorithmics.
For the program committee:
Gib Bassett, Peter Carl, Dirk Eddelbuettel, John Miller, Brian Peterson,
Dale Rosenthal, Jeffrey Ryan
[[alternative HTML version deleted]]
