by Joseph Rickert
R/Finance 2016 is less than a month away and, as always, I am very much looking forward to it. In past years, I have elaborated on what puts it among my favorite conferences even though I am not a finance guy. R/Finance is small, single track and intense with almost no fluff. And scattered among the esoterica of finance and trading there has, so far, always been a rich mix of mathematics, time series applications, R programming, stimulating conversation and attitude. When it comes down to it, it’s the people, the organizers and participants who make a conference. Looking over the agenda for this year, I am sure that once again, for two days at least, Chicago will be the center of the R world.
This year, however, I am going to be ready for R/Finance. I am going to do my homework. If I had done a little prep last year I would have had a copy of Arthur Koestler’s The Sleepwalkers in my bag. So when Emanuel Derman went deep philosophy I could have gone through that looking-glass with him.
So what’s on the line up this year? Rishi Narang will lead off for the keynote speakers with a talk provocatively entitled “Rage Against the Machine Learning”. There is not much online for and industry outsider to latch onto, but it probably wouldn’t hurt to have a look at one of his three books on quantitative trading.
Tarek Eldin will deliver the second keynote entitled ‘Random Pricing Errors and Systematic Returns: The Flaw in Fundamental Prices” My guess is that this online paper might provide some relevant preparatory reading.
Frank Diebold’s keynote is entitled “Estimating Global Bank Network Connectedness”. I think it’s a safe bet that his recent paper with Mert Demirer, Laura Liu and Kami Yilmaz will indeed be …read more
Source:: r-bloggers.com