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The Econophysics Group at ETH Zurich and the Rmetrics Association have been invited many times to present their research work and the related software development. We will give you on this page the reference to one talk per year from which we believe that it was the most import for this year.
2011: RevolutionAnalytics Webinar, Worldwide
Portfolio Design, Optimization, and Stability Analysis
The major innovation in this presentation was the introduction to use stability measures to achieve more sustainable portfolio investments. We explored structural changes and breaks by a Bayesian statistical approach, we investigated extremes and outliers by a robust principal component analysis, and we quantified non-stationarities and multi-fractal behavior by a Morlet wavelet analysis. As examples we analysed the SP500 Index before and during the sub-prime crises, and explained how to use stability indicators in high freuency trading at the Hong Kong stock and futures exchange.
In 2011 Rmetrics has given worldwide 20 presentations: Fischingen (1), Kuala Lumpur (4), Meielisalp (3), Mumbai (4), Wien (3), Zurich (5)
2010: useR! Conference NIST Gaithersburg, USA
The Hull, the Feasible Set, and the Risk Surface
In this talk we reported on several innovative aspects in modern portfolio design: We introduced risk surface plots to display multivariate risk factors at the same time in one plot, portfolio risk diversification lines as an alternative to an investment on the efficient frontier, rastered risk motion charts to display the dynamics of risk factors over time, and geometric shape factor modeling of portfolios as a new type of factor models.
In 2010 Rmetrics has given worldwide 19 presentations: Auckland (1), Singapore (4), Basel (3), Gaithersburg (1), Hongkong (1), Kiel (1), London (1), Maielisalp (4), Milano (1), Mumbai (1), Zurich (1)
2009: R-in-Finance Meeting Chicago, USA
Portfolio Analysis and Optimization with R/Rmetrics
The major innovation in this talk was the use of pairwise copula lower tail dependence measures in portfolio optimization to achieve a better diversification of the tail risk.
In 2009 Rmetrics has given worldwide 14 presentations: Chicago(2), Meielisalp (4), Mumbai (1), Rennes (4), Zurich (3)
2008: GOR Meeting Frankfurt, Germany
Computational Finance and Financial Engineering with R/Rmetrics - Part I The Environment
Computational Finance and Financial Engineering with R/Rmetrics - Part II Option Pricing and Portfolio Optimization
The German Society of Operation Research, GOR, has invited us to give an Overview about the R/Rmetrics software environment and specific applications.
In 2008 Rmetrics has given worldwide 13 presentations: Auckland (1), Dotmund (1), Frankfurt (2), Meielisalp (4), Mumbai (1), Singapore (1), Zurich (3)
2007: Fribourg Economics Seminar, Switzerland
Rapid Model Prototyping for Computational Finance and Financial Engineering
In this talk we have discussed the pillars of Rapid Model Prototyping (RPM), and we have shown why R/Rmetrics is an ideal RPM. We have presented in this talk Rmetrics examples from Garch modeling, from extreme value theory, exotic option pricing, term structure calibration, portfolio optimization, from Copulae theory, and from Asian option pricing.
In 2007 Rmetrics has given 16 presentations: Fribourg (1), Geneva (3), Vienna (1), Zurich (11)
This series of talks shows nicely the active engangement and the continuous developement of the R/Rmetrics environment. In the year 2007 we have also organized the first R/Rmetrics user and developer workshops at the Meielisalp. Feel free to have a look in the Proceedings of the Meielisalp workshops on contributed R/Rmetrics presentations from other groups worldwide.
For further Information please contact: info [at] rmetrics.org