by Joseph Rickert
R / Finance 2016 lived up to expectations and provided the quality networking and learning experience that longtime participants have come to value. Eight years is a long time for a conference to keep its sparkle and pizzazz. But, the conference organizers and the UIC have managed to create a vibe that keeps people coming back. The fact that invited keynote speakers (e.g. Bernhard Pfaff 2012, Sanjiv Das 2013, and Robert McDonald 2014) regularly submit papers in subsequent years is a testimony to the quality and networking importance of the event. My guess is that the single track format, quality presentations, intense compact schedule and pleasant venues comprise a winning formula.
Since I haverecently written about the content of this year’s conference in preparation for the event, and since most of the presentations are already online for you to examine directly I’ll just present a few personal highlights here.
My favorite single visual from the conference is Bryan Lewis’ depiction of corporate "Big Data" architectures as a manifestation of the impulse for completeness, control and dominance that once drove Soviet style central planning. (If you don’t read Russian, run google translate on the text in the first panel.)
Matt Dziubinski’s talk on Getting the Most out of Rcpp, High-Performance C++ in Practice , is probably not a talk I would have elected to attend in a multi-track conference, and I would have missed seeing a virtuoso performance. Matt got through over 120 of his 153 prepared slides in a single, lucid stream of clear (but loud) explanations in only 20 minutes. Never stopping to pause, he gave a mini-course in computer science performance evaluation (both hardware and software aspects) that addressed the Why, What and How of it all.
Ryan Hafen’s presentation, I nteractively Exploring Financial Trades in R , showed how to use a tool chain built around Tessera and the NxCore R package to perform exploratory data analysis on a large NxCore data set containing approximately 1.25 billion records of 47 variables without leaving the R environment. The following slide provides an example of the kinds of insights that are possible.
In his presentation, Quantitative Analysis of Dual Moving Average Indicators in Automated Trading , Douglas Service showed how to use stochastic differential equations and the Itô calculus to derive a closed form solution for expected Log returns under the Luxor trading strategy and a baseline set of simplifying assumptions. If you like seeing the Math you will be pleased to see that Doug provides all of the details.
Michael Kane ( glmnetlib: A Low-Level Library for Regularized Regression ) discussed the motivations for continuing to improve linear models and showed the progress he is making on re-implementing glmnet which, although very efficient, does not support arbitrary link family combinations or out of memory calculations and is written in the obscure Mortran flavor of Fortran. Kane’s goal with his new package (renamed pirls : Penalized, Iteratively Reweighted Least Squares Regression) is to rectify these deficiencies while producing something fast enough to use.
In his presentation Community Finance Teaching Resources with R/Shiny, Matt Brigida showed off some opensource resources for teaching quantitative finance that are based on the new paradigm of GitHub as the place for tech savvy people to hang out and Shiny as the teaching / presentation tool for making calculations come alive. Check out some of Matt’s 5 minute mini lessons . Here is an example from his What is Risk module:
There is much more than I have presented here on the R / Finance conference site. If you are interested in deep Finance and not just the tools I have highlighted, be sure to check out the presentations by S anjiv Das, Bernhard Pfaff , Matthew Dixon and others. There is plenty of useful R code to be mined in these presentations too.
I would be remiss without mentioning Patrick Burns’ keynote presentation which was highly entertaining, novel and thought provoking on many levels: everything a keynote should be. Pat launched his talk by referring to the S apir-Worf hypothesis which posits that language controls how we think and assigned a similar role to model building. He went on to describe his Agent inspired R simulation model and showed how he calibrated this model to provide a useful tool for investigating ideas such as risk parity, variance targeting and strategies for taxing market pollution. The code for Pat’s model is available here , but since his slides are not up on the conference site, and I was apparently too mesmerized to take useful notes, we will have to wait for Pat to post more on his website .
Finally, I would like to note that Doug Service and Sanjiv Das won the best paper prizes. This is the second year in a row for Sanjiv to win an R / Finance award. Congratulations to both Doug and Sanjiv!