| 08:00 - 09:00 | Optional Pre-Conference Tutorials |
| Ross Bennett: Feasible Space Analysis and Hierarchical Optimization with PortfolioAnalytics (html) |
| Dirk Eddelbuettel: Introduction to Rcpp and RcppArmadillo (pdf) |
| Doug Service: Leveraging Azure Compute from R (pdf) |
| T. Harte + M. Weylandt: Modern Bayesian Tools for Time Series Analysis (html) |
| 09:00 - 09:30 | Registration (2nd floor Inner Circle) & Continental Breakfast (3rd floor by Sponsor Tables) |
| Transition between seminars |
| 09:30 - 09:35 | Kickoff |
| 09:35 - 09:40 | Sponsor Introduction |
| 09:40 - 10:20 | Rishi Narang: Rage Against the Machine Learning (pptx) |
| 10:20 - 10:50 | Robert McDonald: The derivmkts package (pdf) |
| Piotr Orłowski: Modeling Divergence Swap Rates (pdf) |
| Jerzy Pawlowski: Exploring Higher Order Risk Premia Using High Frequency Data (pdf) |
| Majeed Simaan: The Implicit Value of Tracking the Market (pdf) |
| Kris Boudt: Block rearranging elements within matrix columns to minimize the variability of the row sums (pdf) |
| 10:50 - 11:20 | Break |
| 11:20 - 11:40 | Brian Boonstra: Calibrating Parsimonious Models Of Equity-Linked Default Intensity (pdf) |
| 11:40 - 12:00 | Matthew Ginley: Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation (pdf) |
| 12:00 - 12:20 | Klaus Spanderen: Calibration of the Heston Local Stochastic Volatility Model (pdf) |
| 12:20 - 13:25 | Lunch |
| 13:25 - 14:05 | Tarek Eldin: Random Pricing Errors and Systematic Returns: The Flaw in Fundamental Prices (pptx) |
| 14:05 - 14:25 | Sanjiv Das: An Index-Based Measure of Liquidity (pdf) |
| 14:25 - 14:45 | Ryan Hafen: Interactively Exploring Financial Trades in R (html) |
| 14:45 - 15:09 | Nidhi Aggarwal: The causal impact of algorithmic trading on market quality (pdf) |
| Chirag Anand: Liquidity provision in a high-frequency environment (pdf) |
| Maria Belianina: OneTick and R (pptx) |
| Patrick Howerter: Connecting QAI to R (pdf) |
| 15:09 - 15:40 | Break |
| 15:40 - 16:00 | Marc Wildi: Monitoring the US Economy: a System of Timely (Real-Time Daily Mixed-Frequency) Indicators (pdf) |
| 16:00 - 16:18 | Sile Li: Constructing US Employment Google Search Index by Applying Principal Component Analysis (pdf) |
| Doug Martin: Information Ratio Maximizing Fundamental Factor Models (pdf) |
| Robert Franolic: Eyes on FX |
| 16:18 - 16:58 | Frank Diebold: Estimating Global Bank Network Connectedness (pdf) |
| 16:58 - 17:04 | Information about reception and dinner |
| 17:04 - 19:04 | Conference Reception |
| 19:04 - 19:24 | (Optional) Transfer to Conference Dinner |
| 19:24 - | (Optional) Conference Dinner (Riverside Room and Gallery at Trump Hotel) |
| 08:00 - 09:00 | Coffee/ Breakfast |
| 09:00 - 09:05 | Kickoff |
| 09:05 - 09:35 | Hsiu-lang Chen: Do Mutual Funds Exploit Information from Option Prices for Equity Investment? (pptx) |
| Kyle Balkissoon: A Practitioners analysis of the overnight effect (pdf) |
| Mark Bennett: Measuring Income Statement Sharpe Ratios using R (pdf) |
| Mark Bennett: Implementation of Value Strategies using R (pdf) |
| Matt Brigida: Community Finance Teaching Resources with R/Shiny (html) |
| 09:35 - 09:55 | Bernhard Pfaff: Portfolio Selection with Multiple Criteria Objectives (pdf) |
| 09:55 - 10:15 | Douglas Service: Quantitative Analysis of Dual Moving Average Indicators in Automated Trading Systems (pdf) |
| 10:15 - 10:45 | Marjan Wauters: Smart beta and portfolio insurance: A happy marriage? (pdf) |
| Michael Kapler: Tax Aware Backtest Framework (pdf) |
| Miller Zijie Zhu: Backtest Graphics (html) |
| Laura Vana: Portfolio Optimization Modeling (pdf) |
| Ilya Kipnis: Hypothesis Driven Development: An Understandable Example (pptx) |
| 10:45 - 11:05 | Break |
| 11:05 - 11:25 | Mark Seligman: Controlling for Monotonicity in Random Forest Regressors (pdf) |
| 11:25 - 11:45 | Michael Kane: glmnetlib: A Low-level Library for Regularized Regression (html) |
| 11:45 - 12:05 | Xiao Qiao: A Practitioner's Defense of Return Predictability (pdf) |
| 12:05 - 13:05 | Lunch |
| 13:05 - 13:45 | Patrick Burns: Some Linguistics of Quantitative Finance (pdf) |
| 13:45 - 14:05 | Eran Raviv: Forecast combinations in R using the ForecastCombinations package (pdf) |
| 14:05 - 14:35 | Kjell Konis: Comparing Fitted Factor Models with the fit.models Package (pdf) |
| Steven Pav: Madness: a package for Multivariate Automatic Differentiation (pdf) |
| Paul Teetor: Are You Trading Mean Reversion or Oscillation? (pdf) |
| Pedro Alexander: Portfolio Selection with Support Vector Regression (ppt) |
| Matthew Dixon: Seasonally-Adjusted Value-at-Risk (pdf) |
| 14:35 - 15:05 | Break |
| 15:05 - 15:25 | Bryan Lewis: R in Practice (html) |
| 15:25 - 15:45 | Matt Dziubinski: Getting the most out of Rcpp: High-Performance C++ in Practice (pdf) |
| 15:45 - 15:57 | Mario Annau: h5 - An Object Oriented Interface to HDF5 (pdf) |
| Dirk Eddelbuettel: Rblapi Revisited: One Year Later (pdf) |
| 15:57 - 16:17 | Jason Foster: Multi-Asset Principal Component Regression using RcppParallel (pdf) |
| 16:17 - 16:37 | Qiang Kou: Deep learning in R using MxNet (pdf) |
| 16:37 - 16:49 | Prizes and Feedback |
| 16:49 - 16:54 | Conclusion |
| 16:54 - 17:04 | Transition to Jak's |
| 17:04 - | Post-conference Drinks at Jak's Tap |
