Highlights of R in Finance 2012

I unfortunately was not there, but we can vicariously enjoy it via the presentations that are posted on the conference website.

Below is my take on the highlights (in chronological order).

Peter Carl and Brian Peterson

“Constructing Strategic Hedge Fund Portfolios” is wonderful from my perspective.  Promoting random portfolios is sure to win my heart.  It also discusses portfolio optimization.

Bernhard Pfaff

“Diversification Reconsidered: Minimum Tail Dependency” takes a different angle on diversification. Portfolio diversity is a subject that has appeared in this blog.

R. Michael Weylandt

“Real-time Portfolio/Market Monitoring with R” tells of the genesis of a package for doing what the title says.  Sounds exciting.

Kirk Wylie

“Insanely Cool Stuff from OpenGamma + R” (pptx) talks about an open source risk system that includes R.

Eric Zivot

“Estimating the Dynamics of Price Discovery” (pptx) shows an econometric method of determining if changes in the euro/yen exchange rate are incorporated first via the US dollar.

Clifford Ang

“Estimating Market Value of Illiquid Debt” talks about a method of using liquid bonds to price bonds that have not traded recently.

Jiahan Li

“Monetary Policy Analysis Based on Lasso-Assisted Vector Autoregression (LAVAR)” (pptx) discusses US economic prediction in the realm of vector autoregression models.  It highlights the problem of overfitting.

Nitish Sinha

All Words Are Not Made Equal” shows some interesting experiments for news analytics.

Jay Emerson

Handling lots of data is discussed in “Towards Terabytes of TAQ”.

Anurag Nagar

“News Sentiment Analysis Using R to Predict Stock Market Trends” is another talk on text analysis.

Whit Armstrong

“rcppbugs — Native MCMC for R” talks about a nice looking implementation of Markov Chain Monte Carlo.

See Also

This entry was posted in Quant finance, R language. Bookmark the permalink.

Leave a Reply

Your email address will not be published. Required fields are marked *

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <strike> <strong>