R/Finance 2017: Applied Finance with R
May 19 and 20, 2017
University of Illinois at Chicago
The ninth annual R/Finance conference for applied finance using R will be held on May 19 and 20, 2017 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.
The team at DataCamp announced a new R/Finance course series in a recent email:
Subject: Data Mining Tutorial, R/Finance course series, and more!
R/Finance - A new course series in the works
We are working on a whole new course series on applied finance using R. This new series will cover topics such as time series (David S. Matteson), portfolio analysis (Kris Boudt), the xts and zoo packages (Jeffrey Ryan), and much more.
You can find registration information and agenda details on the conference website. Or you can go directly to the Cvent registration page.
Note that registration fees will increase by 50% at the end of early registration on May 6, 2016.
The conference will take place on May 20 and 21, at UIC in Chicago. Building on the success of the previous conferences in 2009-2015, we expect more than 250 attendees from around the world.
This post is in response to Michael Harris’ Price Action Lab post, where he uses some simple R code to evaluate the asymmetry of returns from the day’s close to the following day’s open. I’d like to respond to his 3 notes, which I’ve included below.
The R backtest assumes fractional shares. This means that equity is fully invested at each new position. This is important because it affects drawdown calculations.
We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt’s work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC.
This new engine improves the functionality, modularity, and flexibility of plot.xts by building off the framework Jeff Ryan began with quantmod::chart_Series. The modular framework allows users to plot an xts object and incrementally build custom charts by adding panels of new data (including transformations of the original xts object).
You can find registration information and agenda details (as they become available) on the conference website. Or you can go directly to the registration page. Note that there’s an early-bird registration deadline of May 15.
The conference will take place on May 29 and 30, at UIC in Chicago. Building on the success of the previous conferences in 2009-2014, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 30+ presenters covering all areas of finance with R.
The R Project has once again been selected as a mentoring organization for this year’s Google Summer of Code (GSoC). If you’re not familiar with GSoC, it’s a global program that offers students a stipend to write code for open source projects, under the direction of a mentor. Mentors get code written for their project, but no money. Students get something like a paid summer internship, with open-source contributions they can reference on their resume.
Call for Papers:
R/Finance 2015: Applied Finance with R
May 29 and 30, 2015
University of Illinois at Chicago
The seventh annual R/Finance conference for applied finance using R will be held on May 29 and 30, 2015 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.
It’s been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I’m writing this over two days during my train to and from Chicago).
The comments below are based on my personal experience. If I don’t comment on a seminar or presentation, it doesn’t mean I didn’t like it or it wasn’t good; it may have been over my head or I may have been distracted with my duties as a committee member.
This is a guest post by Ross Bennett. Ross is currently enrolled in the University of Washington Master of Science in Computational Finance & Risk Management program with an expected graduation date of December 2014. He worked on the PortfolioAnalytics package as part of the Google Summer of Code 2013 project and continues to work on the package as a Research Assistant at the University of Washington.
His work on the package focused on implementing a portfolio specification to separate and modularize assets, constraints, and objectives.