Pre-R/Finance conference meetup: 5 awesome talks
Details
In the spirit of the conference, this meetup will feature a series of short talks on practical applications with R!
IBM will generously sponsor food and drinks at Haymarket Brewery, thank you IBM! Talks begin at about 6:00 pm with time for networking before and after.
## Ross Bennett: Predictive models and their applications in “high-ish” frequency finance.
Ross will talk about how he approaches the overall process of building models, evaluating their performance, and integrating them into a trading strategy. While his process has been honed trading in the ultra-competitive futures markets, he will use crypto currency data for the application because it’s the hot topic right now and the data is freely accessible to anyone who wants to reproduce his examples.
Ross is the quantitative analyst for a trading desk at a proprietary futures trading firm. He is the co-author of the PortfolioAnalytics R package, maintainer of the FinancialInstrument package, and contributes to several other R packages used in finance and trading, including the venerable xts.
## Joe Rickert, R Studio: Package Watching
For over a year, Joe has been reviewing all of the new packages submitted to CRAN each month, selecting his "Top 40" * and blogging about them on R Views. In this talk, he will discuss his criteria and methodology, describe some trends he has noticed, and offer a few ideas on what makes a great R package. He will finish with brief demos of two new tools for studying R packages: Ioannis Kosmidis' cranly package and pkgnet from Brian Burns, James Lamb, Patrick Boueri], and Jay Qi.
## Ray Buhr: Time Series graphing in practice
Ray is going to show you best practices for quickly and repeatedly producing good time series graphs. This includes how to make your own custom themes and color palettes, align multiple charts, and a discussion of packages which add interactivity to time series charts (like dygraphs).
Ray Buhr is the Manager of Data Science at Pangea Money Transfer. He has a Masters of Information & Data Science from the University of California, Berkeley and is passionate about R programming, data architecture, and mentoring other data scientists.
## Troy Hernandez: Simulating March Madness in R
March Madness has come and gone. Some won and some lost….Troy won. $500 to be precise. Using simulations to model potential risk is an interesting practice in finance, but using the concept to accurately predict March Madness outcomes is interesting too!
Troy will show us how he used FiveThirtyEight.com's bracket estimations and discovered a significant discrepancy between their closed form solution and his simulations. The day after he posted the work on his personal blog*, FiveThirtyEight.com changed their estimates to match his and then rewrote their own history erasing their previous support for Virginia as National Champ! Did Troy’s blog post expose an error in their closed form solution? While the world may never know, you can know how to write a tournament simulator in R after watching his talk.
Troy is an Executive Architect for IBM and has a PhD in statistics from University of Illinois – Chicago. Versed in many programming languages, Troy continues to find R to be the language of choice for machine learning and statistical work.
*https://troyhernandez.com/2018/03/13/simulating-march-madness-in-r/
## Dale Rosenthal: Preview of his upcoming book "A Quantitative Primer on Investments with R."
In addition to interesting problems from the text, Dale will show us a current analysis of economic employment trends that promises to be eye-opening!
Dale has been a co-organizer of the R/Finance conference since 2009. He holds a PhD in Statistics from the University of Chicago and has taught courses on market microstructure high frequency trading, at U of C and UIC. He has held analyst, researcher, and proprietary trading positions at Goldman Sachs, LTCM, and Morgan Stanley.
https://sites.google.com/site/dalerosenthal/