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.
Schedule:
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
Organizers:
Krishna Kumar, Barclays
Jan Vecer, Columbia University
Libor Pospisil, Columbia University
Linda Heinig, REvolution Computing
