Monday, November 17, 2008

Computational Finance with R

December 4th, 2008, 2-6pm
Rotunda, Low Library
Columbia University in the City of New York

Department of Statistics in collaboration with the Center of Applied Probability and the Center for Financial Engineering organizes a workshop about using statistical computing with R in finance. The conference would like to bring together both academics and practitioners, and it is open to public. Admission is free, however we require that the participants register in advance. The conference is co-sponsored by REvolution Computing.

1:45 - 2:00PM Refreshments

2:00 - 2:05PM
Opening Remarks

2:05 - 2:40PM Whit Armstrong - Discount Curve Construction with fts, RLIM, and RFincad (KLS Diversified Asset Management)

2:40 - 3:15PM Anthony Brockwell
- Quantitative Trading in Practice (Horton Point LLC)

3:15 - 3:50PM Bryan Lewis
- High Performance R with Rpro (REvolution Computing)

3:50 - 4:05PM
Coffee Break

4:05 - 4:40PM Scott Payesur
- Comparing Multivariate GARCH models using Realized Covariance (UBS Asset Management)

4:40 - 5:15PM
Peter Carl and Brian Peterson - Performance Analysis in R (PerformanceAnalytics)

5:15 - 5:50PM
Jeff Ryan - Quantmod Package (Quantmod)

6:00 - 6:30PM Closing Reception

Directions to the Morningside Campus of Columbia University

Interactive Map of the Morningside Campus of Columbia University


Krishna Kumar, Barclays
Jan Vecer, Columbia University
Libor Pospisil, Columbia University
Linda Heinig, REvolution Computing