Watch presentations from R/Finance 2017

布满荆棘的人生 2022-06-15 11:00 156阅读 0赞

It was another great year for the [R/Finance conference][R_Finance conference], held earlier this month in Chicago. This is normally a fairly private affair: with attendance capped at around 300 people every year, it's a somewhat exclusive gathering of the best and brightest minds from industry and academia in financial data analysis with R. But for the first time this year (and with thanks to sponsorship from Microsoft), videos of the presentations are available for viewing by everyone. I've included the complete list (copied from the R/Finance website) below, but here are a few of my favourites:

*  [No-Bullshit Data Science][]. Szilard Pafka's keynote knocks down some of the myths and misconceptions about real-world data science practices. 
 *  [Risk Fast and Slow][]. A rare treat: in his keynote presentation Dave DeMers offers his perspectives on risk, financial engineering, and major financial events from his days the Prediction Company, Black Mesa and other investment houses.
 *  [Syberia: A development framework for R][Syberia_ A development framework for R] (Robert Krzyzanowski). [Syberia][] is a new operationalization framework for R scripts, applicable for any production workflow using R (not just Finance). 
 *  [yuimaGUI: A graphical user interface for the yuima package][yuimaGUI_ A graphical user interface for the yuima package](Emanuele Guidotti). An impressive front-end to the [Yuima project][] for solving stochastic differential equations.
 *  [Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News][Zero-Revelation RegTech_ Detecting Risk through Linguistic Analysis of Corporate Emails and News] (Seoyoung Kim). A really interesting approach to looking at sentiment (and length!) of emails (here, the Enron corpus) to predict stock prices. 
 *  [New Tools for Performing Financial Analysis Within the 'Tidy' Ecosystem][New Tools for Performing Financial Analysis Within the _Tidy_ Ecosystem] (Matt Dancho). This lightning talk shows how you can perform piping (%>%) operations with time series data from zoo and xts. 
 *  [The PE package: Modeling private equity in the 21st century][The PE package_ Modeling private equity in the 21st century] (Thomas Harte). An intriguing peek into the mysterious world of private equity finance.
 *  [Project and conquer][] (Bryan Lewis). A beautifully elegant introduction to the use of projections in Statistics, and a potentially revolutionary application in speeding up calculations with high-dimensional correlations and clusters. 
 *  [Detecting Fraud at 1 Million Transactions per Second][] (David Smith). My own presentation includes a demo of very high-frequency predictions from R models (about which I'll blog more shortly).

You can find an up-to-date version of the table below [at the R/Finance website][at the R_Finance website] (click on the "Program" tab), and you can also [browse the videos at Channel 9][]. Note that the lightning talk sessions (in orange) are bundled together in a single video, which you can find linked after the first talk in each session.

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 <td colspan="2" style="border:1px solid rgb(204,204,204); padding:6px">Friday, May 19th, 2017</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">09:30&nbsp;–&nbsp;09:35&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Kickoff&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Kickoff-and-Lightning-Talks-I-Day-1" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">09:35&nbsp;–&nbsp;09:40&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Sponsor Introduction</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">09:40&nbsp;–&nbsp;10:10&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Marcelo Perlin: GetHFData: An R package for downloading and aggregating high frequency trading data from Bovespa&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/MarcoPerlin.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Kickoff-and-Lightning-Talks-I-Day-1" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Jeffrey Mazar: The obmodeling Package&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/JeffreyMazar.html" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(html)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Yuting Tan: Return Volatility, Market Microstructure Noise, and Institutional Investors: Evidence from High Frequency Market&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/YutingTan.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Stephen Rush: Adverse Selection and Broker Execution&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/StephenRush.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Jerzy Pawlowski: How Can Machines Learn to Trade?&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/JerzyPawlowski.html" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(html)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">10:10&nbsp;–&nbsp;10:30&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Michael Hirsch: Revealing High-Frequency Trading Provisions of Liquidity with Visualization in R&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/MichaelHirsch.html" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(html)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Revealing-High-Frequency-Trading-Provisions-of-Liquidity-with-Visualization-in-R" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">10:30&nbsp;–&nbsp;10:50&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Eric Glass: Equity Factor Portfolio Case Study&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/EricGlass.html" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(html)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Equity-Factor-Portfolio-Case-Study" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">10:50&nbsp;–&nbsp;11:10&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Break</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">11:10&nbsp;–&nbsp;11:30&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Seoyoung Kim: Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/SeoyoungKim.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Zero-Revelation-RegTech-Detecting-Risk-through-Linguistic-Analysis-of-Corporate-Emails-and-News" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">11:30&nbsp;–&nbsp;12:10&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Szilard Pafka: No-Bullshit Data Science&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/SzilardPafka.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/No-Bullshit-Data-Science" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">12:10&nbsp;–&nbsp;13:30&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Lunch</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">13:30&nbsp;–&nbsp;14:00&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Francesco Bianchi: Measuring Risk with Continuous Time Generalized Autoregressive Conditional Heteroscedasticity Models&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/FrancescoBianchi.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Lightning-Talks-II-Day-1" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Eina Ooka: Bunched Random Forest in Monte Carlo Risk Simulation&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/EinaOoka.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Matteo Crimella: Operational Risk Stress Testing: An Empirical Comparison of Machine Learning Algorithms and Time Series Forecasting Methods&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/MatteoCrimella.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Thomas Zakrzewski: Using R for Regulatory Stress Testing Modeling&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/ThomasZakrzewski.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Andy Tang: How much structure is best?&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/AndyTang.pptx" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pptx)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">14:00&nbsp;–&nbsp;14:20&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Robert McDonald: Ratings and Asset Allocation: An Experimental Analysis&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/RobertMcDonald.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">14:20&nbsp;–&nbsp;14:50&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Break</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">14:50&nbsp;–&nbsp;15:10&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Dries Cornilly: Nearest Comoment Estimation with Unobserved Factors and Linear Shrinkage&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/DriesCornilly.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Nearest-Comoment-Estimation-with-Unobserved-Factors-and-Linear-Shrinkage" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">15:10&nbsp;–&nbsp;15:30&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Bernhard Pfaff: R package: mcrp: Multiple criteria risk contribution optimization&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/BernhardPfaff.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/R-package-mcrp-Multiple-criteria-risk-contribution-optimization" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">15:30&nbsp;–&nbsp;16:00&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Oliver Haynold: Practical Options Modeling with the sn Package, Fat Tails, and How to Avoid the Ultraviolet Catastrophe&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/OliverHaynold.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Lightning-Talks-III-Day-1" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Shuang Zhou: A Nonparametric Estimate of the Risk-Neutral Density and Its Applications&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/ShaungZhou.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Luis Damiano: A Quick Intro to Hidden Markov Models Applied to Stock Volatility</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Oleg Bondarenko: Rearrangement Algorithm and Maximum Entropy&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/OlegBondarenko.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Xin Chen: Risk and Performance Estimator Standard Errors for Serially Correlated Returns&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/XinChen.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">16:00&nbsp;–&nbsp;16:20&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Qiang Kou: Text analysis using Apache MxNet&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/QiangKou.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Text-analysis-using-Apache-MxNet" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">16:20&nbsp;–&nbsp;16:40&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Robert Krzyzanowski: Syberia: A development framework for R&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/RobertKrzyzanowski.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Syberia-A-development-framework-for-R" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">16:40&nbsp;–&nbsp;16:52&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Matt Dancho: New Tools for Performing Financial Analysis Within the 'Tidy' Ecosystem&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/MattDancho.pptx" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pptx)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Closing-Sessions-Matt-Dancho-Leonardo-Silvestri" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Leonardo Silvestri: ztsdb, a time-series DBMS for R users&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/LeonardoSilvestri.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td colspan="2" style="border:1px solid rgb(204,204,204); padding:6px">Saturday, May 20th, 2017</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">09:05&nbsp;–&nbsp;09:35&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Stephen Bronder: Integrating Forecasting and Machine Learning in the mlr Framework&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/StephenBronder.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Lightning-Talks-I-Day-2" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Leopoldo Catania: Generalized Autoregressive Score Models in R: The GAS Package&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/LeopoldoCatania.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Guanhao Feng: Regularizing Bayesian Predictive Regressions&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/GuanhaoFeng-1.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Jonas Rende: partialCI: An R package for the analysis of partially cointegrated time series&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/JonasRende.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Carson Sievert: Interactive visualization for multiple time series&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/CarsonSievert.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">09:35&nbsp;–&nbsp;09:55&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Emanuele Guidotti: yuimaGUI: A graphical user interface for the yuima package&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/EmanueleGuidotti.pptx" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pptx)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/yuimaGUI-A-graphical-user-interface-for-the-yuima-package" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">09:55&nbsp;–&nbsp;10:15&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Daniel Kowal: A Bayesian Multivariate Functional Dynamic Linear Model&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/DanielKowal.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/A-Bayesian-Multivariate-Functional-Dynamic-Linear-Model" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">10:15&nbsp;–&nbsp;10:45&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Break</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">10:45&nbsp;–&nbsp;11:05&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Jason Foster: Scenario Analysis of Risk Parity using RcppParallel&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/JasonFoster.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Scenario-Analysis-of-Risk-Parity-using-RcppParallel" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">11:05&nbsp;–&nbsp;11:35&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Michael Weylandt: Convex Optimization for High-Dimensional Portfolio Construction&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/MichaelWeylandt.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Lightning-Talks-II-Day-2" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Lukas Elmiger: Risk Parity Under Parameter Uncertainty&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/LukasElmiger.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Ilya Kipnis: Global Adaptive Asset Allocation, and the Possible End of Momentum&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/IlyaKipnis.pptx" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pptx)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Vyacheslav Arbuzov: Dividend strategy: towards the efficient market&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/VyacheslavArbuzov.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Nabil Bouamara: The Alpha and Beta of Equity Hedge UCITS Funds – Implications for Momentum Investing&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/NabilBoumara.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">11:35&nbsp;–&nbsp;12:15&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Dave DeMers: Risk Fast and Slow&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/DaveDeMers.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Risk-Fast-and-Slow" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">12:15&nbsp;–&nbsp;13:35&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Lunch</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">13:35&nbsp;–&nbsp;13:55&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Matthew Dixon: MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/MatthewDixon.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/MLEMVD-A-R-Package-for-Maximum-Likelihood-Estimation-of-Multivariate-Diffusion-Models" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">13:55&nbsp;–&nbsp;14:15&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Jonathan Regenstein: Reproducible Finance with R: A Global ETF Map&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/JonathonRegenstein.html" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(html)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Reproducible-Finance-with-R-A-Global-ETF-Map" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">14:15&nbsp;–&nbsp;14:35&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">David Ardia: Markov-Switching GARCH Models in R: The MSGARCH Package&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/DavidArdia.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Forecasting-Performance-of-Markov-Switching-GARCH-Models-A-Large-Scale-Empirical-Study" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">14:35&nbsp;–&nbsp;14:55&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Keven Bluteau: Forecasting Performance of Markov-Switching GARCH Models: A Large-Scale Empirical Study&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/KevenBluteau.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Markov-Switching-GARCH-Models-in-R-The-MSGARCH-Package" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">14:55&nbsp;–&nbsp;15:07&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Riccardo Porreca: Efficient, Consistent and Flexible Credit Default Simulation&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/RiccardoPorreca.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Riccardo-Porreca-and-Maisa-Anicento" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Maisa Aniceto: Machine Learning and the Analysis of Consumer Lending&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/MaisaAniceto.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">15:07&nbsp;–&nbsp;15:27&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">David Smith: Detecting Fraud at 1 Million Transactions per Second&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/DavidSmith.pptx" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pptx)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Detecting-Fraud-at-1-Million-Transactions-per-Second" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">15:27&nbsp;–&nbsp;15:50&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Break</td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">15:50&nbsp;–&nbsp;16:10&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Thomas Harte: The PE package: Modeling private equity in the 21st century&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/ThomasHarte.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/The-PE-package-Modeling-private-equity-in-the-21st-century" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">16:10&nbsp;–&nbsp;16:30&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Guanhao Feng: The Market for English Premier League (EPL) Odds&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/GuanhaoFeng-2.pdf" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(pdf)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/The-Market-for-English-Premier-League-EPL-Odds" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
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 <td style="border:1px solid rgb(204,204,204); padding:6px">16:30&nbsp;–&nbsp;16:50&nbsp;&nbsp;</td> 
 <td style="border:1px solid rgb(204,204,204); padding:6px">Bryan Lewis: Project and conquer&nbsp;<a href="http://past.rinfinance.com/agenda/2017/talk/BryanLewis.html" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(html)</a>&nbsp;<a href="https://channel9.msdn.com/Events/RFinance/RFinance-2017/Closing-Session-Bryon-Lewis-Project-and-Conquer" style="text-decoration:none; outline:none; color:rgb(32,91,135)" rel="nofollow">(video)</a></td> 
 </tr> 
 </tbody> 
</table>

[R_Finance conference]: http://www.rinfinance.com/
[No-Bullshit Data Science]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/No-Bullshit-Data-Science
[Risk Fast and Slow]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/Risk-Fast-and-Slow
[Syberia_ A development framework for R]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/Syberia-A-development-framework-for-R
[Syberia]: http://syberia.io/
[yuimaGUI_ A graphical user interface for the yuima package]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/yuimaGUI-A-graphical-user-interface-for-the-yuima-package
[Yuima project]: https://yuima-project.com/
[Zero-Revelation RegTech_ Detecting Risk through Linguistic Analysis of Corporate Emails and News]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/Zero-Revelation-RegTech-Detecting-Risk-through-Linguistic-Analysis-of-Corporate-Emails-and-News
[New Tools for Performing Financial Analysis Within the _Tidy_ Ecosystem]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/Closing-Sessions-Matt-Dancho-Leonardo-Silvestri
[The PE package_ Modeling private equity in the 21st century]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/The-PE-package-Modeling-private-equity-in-the-21st-century
[Project and conquer]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/Closing-Session-Bryon-Lewis-Project-and-Conquer
[Detecting Fraud at 1 Million Transactions per Second]: https://channel9.msdn.com/Events/RFinance/RFinance-2017/Detecting-Fraud-at-1-Million-Transactions-per-Second
[at the R_Finance website]: http://www.rinfinance.com/#program
[browse the videos at Channel 9]: https://channel9.msdn.com/Events/RFinance/RFinance-2017