| 08:00 - 09:00 | Optional Pre-Conference Tutorials |
| Armstrong/Lewis: An Introduction to Distributed Computing in R (pdf) |
| Matthew Dowle: Advanced Tutorial on data.table (pdf) |
| Humme/Peterson: Using quantstrat to evaluate intraday trading strategies (pdf) |
| Dirk Eddelbuettel: Example-driven Introduction to Rcpp (pdf) |
| Jeff Ryan: R Programming for Financial Data (pdf) |
| 09:00 - 09:30 | Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables) |
| 09:30 - 09:35 | Welcome and Opening Remarks |
| 09:35 - 09:45 | Introduction of Sponsors |
| 09:45 - 10:35 | Ryan Sheftel: R on the Trading Desk (pdf) |
| 10:35 - 10:55 | David Ardia: Implied expected returns and the choice of a mean-variance efficient portfolio proxy (pdf) |
| 10:55 - 11:15 | Ronald Hochreiter: Financial Portfolio Optimization with (O)R (pdf) |
| 11:15 - 11:45 | Break |
| 11:45 - 12:05 | Bernhard Pfaff: Portfolio Selection with Probabilistic Utility: Revisited (pdf) |
| 12:05 - 12:30 | Maria Belianina: OneTick and R: Handling High and Low Frequency Data (pdf) |
| Yang Lu: Performance Attribution for Equity Portfolios (pdf) |
| Michael Kapler: Portfolio Allocation with Cluster Risk Parity (pdf) |
| Tammer Kamel: Quandl: A new source of financial data for R users |
| 12:30 - 13:50 | Lunch |
| 13:50 - 14:10 | Doug Martin: Robust Covariances And Distances: Common
Risk Factor Versus Idiosyncratic Outliers (pdf) |
| 14:10 - 14:30 | Giles Heywood: Covariance forecasting for portfolio optimisation (pdf) |
| 14:30 - 14:55 | Break |
| 14:55 - 15:45 | Ruey Tsay: Multivariate Processes in R (pdf) |
| 15:45 - 16:05 | Alexios Ghalanos: Time Varying Higher Moments and the Cost of GARCH (pdf) |
| 16:05 - 16:25 | Kris Boudt: Regime Switches in Volatility and Correlation of Financial Institutions (pdf) |
| 16:25 - 16:45 | David Matteson: Nonparametric Estimation of Stationarity and Change Points in Finance (pdf) |
| 16:45 - 16:51 | Celine Sun: Estimating High Dimensional Covariance Matrices Using a Factor Model (ppt) |
| 16:51 - 16:57 | Winston Chang: Shiny: Building interactive web applications with R |
| 16:57 - 17:00 | Information About Reception, Dinner |
| 17:00 - 18:55 | Conference Reception |
| 18:55 - | Optional Conference Dinner (The Terrace at The Trump) |
| 08:00 - 09:00 | Coffee / Breakfast |
| 09:00 - 09:05 | Kickoff |
| 09:05 - 09:24 | Christian Silva: Understanding moving averages strategies with the help of toy models using R (pdf) |
| Vyacheslav Arbuzov: Modeling and analysis of financial crashes using empirical market microstructure with parallel computations in R (pdf) |
| Stephen Rush: The Bond Coupon's Impact on Liquidity (pdf) |
| 09:24 - 09:44 | Azzarello/Putnam: A Bayesian interpretation of the Federal Reserve's dual mandate and the Taylor Rule (pdf) |
| 09:44 - 10:04 | Grant Cavanaugh: Using Markov Models in R to Understand the Lifecycle of Exchange-traded Derivatives (pdf) |
| 10:04 - 10:40 | Break |
| 10:40 - 11:00 | Jiahan Li: Efficient "Kitchen-Sink" Forecasts for Exchange Rates (pdf) |
| 11:00 - 11:20 | Thomas Harte: Pricing FX Forwards: Tricks of the Trade (pdf) |
| 11:20 - 12:10 | Sanjiv Das: R in Academic Finance: From Theory to Practice (with Applications) (pptx) |
| 12:10 - 13:20 | Lunch |
| 13:20 - 13:40 | Dirk Eddelbuettel: RcppArmadillo: Accelerating R with High-Performance C++ Linear Algebra (pdf) |
| 13:40 - 14:00 | Klaus Spanderen: R/QuantLib Integration (pdf) |
| 14:00 - 14:20 | Bryan Lewis: The scidb package: an R interface to SciDB (pdf) |
| 14:20 - 14:40 | Matthew Dowle: Introduction to data.table (pdf) |
| Chris Blakely: Realizing the Future with C, Java, and R: A Multi-Language High-Frequency Volatility Modeling Environment (pdf) |
| Mathieu Lestel: Ex post risk analysis: How the GSoC contributed to PerformanceAnalytics (pdf) |
| 14:40 - 15:10 | Break |
| 15:10 - 16:00 | Attilio Meucci: Advanced Risk and Portfolio Management - A Visual Introduction |
| 16:00 - 16:06 | Brian Peterson: Implementing Meucci's Work in R (pdf) |
| 16:06 - 16:26 | Thomas Hanson: The Impact of Computational Error on the Volatility Smile (pdf) |
| 16:26 - 16:38 | Kam Hamidieh: Recovering Risk Neutral Density from Traded Options Using R (pdf) |
| Jeffrey Ryan: Options Trading with R: An Introduction to the greeks Package (pdf) |
| 16:38 - 16:40 | Feedback Forms |
| 16:40 - 16:45 | Paper Awards |
| 16:45 - 16:50 | Conclusion |
| 16:50 - 17:00 | Transition to Jak's |
| 17:00 - | Post-conference Drinks at Jak's Tap |
