Another excellent R/Finance conference took place in Chicago last week. The committee, made up of a dedicated and tireless group of practitioners and academics, once again managed to put together a very interesting program with a diverse set of speakers and subjects related to finance and R. The talks, which are now available to download, ranged from topics in portfolio allocation to anti-money laundering. A topic which appears to have been given a large representation in this year’s conference was that of large data and performance, covered in keynote talks by two very well recognized academics and R giants.
My own keynote presentation covered smooth transition ARMA models and their implementation in a new package, and some results from an empirical application related to the forecast of the level and state of realized monthly volatility of the S&P500. I am in the process of adding some changes and enhancements following some very useful feedback during the conference and hope to release it to CRAN soon.
Beyond the talks, the most interesting part of the conference was the networking opportunity and the chance to meet new and interesting people and catch up with old acquaintances. If you couldn’t make it this year, do try to come next year, it is well worth it. In the meantime, if you are interested in R and finance, you might want to try and participate on the R-SIG-FINANCE mailing list. It’s a great place to ask questions, contribute ideas and engage in interesting discussions.
The clip below is from our last night’s outing at the Jazz Showcase (thanks to Dirk and Jerome)…