quinta-feira, março 26, 2009

R Finance

Congresso sobre aplicações da linguagem R em Finanças:

R/Finance 2009: Applied Finance with R

Keynote Presenters

* Patrick Burns Random Portfolios: Theory and Practice
* Robert Grossman TBA
* David Kane TBA
* Roger Koenker Quantile Regression in R: For Fin and Fun
* David Ruppert TBA
* Diethelm Wuertz TBA
* Eric Zivot TBA


* Peter Carl PerformanceAnalytics
* Dirk Eddelbuettel HPC with R
* Brian Peterson PerformanceAnalytics
* Dale Rosenthal Market Microstructure
* Jeffrey Ryan xts/quantmod

Contributing Presenters

* Yohan Chalabi: Econometrics and Practice: Mind the Gap
* Hedibert Lopes: Particle Learning and Smoothing
* Krishna Kumar: Numerical Integration and Exotics
* Christoph Leitner and Paul Hofmarcher: Latent Variable Approach to Validate Credit Rating
* Wei-han Liu: Detecting Structural Breaks
* Bryan Lewis: Backtesting Trading Rules with ParallelR
* David Matteson: ICA for Multivariate Nonlinear Financial Time Series
* Klaus Rheinberger: VEC and GVAR Models using R
* Brian Rowe: Filtering noise in correlation matrics
* Guy Yollin: R tools for Portfolio Optimization
* Joon-Hui Yoon: Event Study: Change-Point Model

Programação bastante interessante.