2013 Meielisalp Workshop and Summer School

7th R/Rmetrics Meielisalp Workshop & Summer School on "Computational Finance and Financial Engineering" in Honour of Professor Dr. Diethelm Würtz on the Occasion of his 60th Birthday



Meielisalp, Lake Thune Switzerland, June 30 - July 4, 2013

Workshop Flyer | Program Flyer | Workshop Booklet | Travel Info | Poster | Registration Closed | Contact Us

The workshop consists of Summer School-like tutorial sessions and a user/developer meeting. Both focus on topics from "Computational Finance and Financial Engineering" and on the use of R/Rmetrics in finance, insurance and related fields. The morning sessions have tutorials covering topics from financial time serie analysis, financial statistics, and portfolio optimization. Some of the tutorials incorporate practical exercises.

Key Note Speaker:

Gunter Löffler - University of Ulm, Institute of Finance
    Tower Building and Stock Market Returns


  • Basics and Fundamentals:
    Nicolas Polson, University of Chicago, School of Business, USA
         Bayesian Inference, Gibbs Sampling and Markov Chain Monte Carlo
    Stefano Iacus, University of Milano, Department of Economics and Statistics, Milano, Italy
        Quasi Likelihood Inference and Model Selection for Stochastic Differential Equations
  • Modern Portfolio Design:
    Bernhard Pfaff, Invesco Research Frankfurt, Germany
        Portfolio Selection: Recent Approaches - Optimization and Design with R
    Diethelm Wuertz, Swiss Federal Institute of Technology, Zurich, Switzerland
        Portfolio Diversification and Stability Strategies
  • Advanced Computing in R:
    Stefan Theussl, Raiffeisen Research and Vienna Univeristy of Economics, Austria
        High Performance Computing and Parallel R
  • Building Web Applications and Platforms :
    Josh Paulson, RStudio, Boston, USA
        Developing Web Applications with R and shiny
    Charles Roosen, Zurich Insurance, Zurich, Switzerland
        Behind the Zurich Insurance Platform
    Wolfgang Breymann, Zurich University of Applied Sciences, Switzerland
        A Prototyping Platformfor Financial Contracts

The afternoon sessions are dedicated to invited and contributed talks and presentations reflecting the wide range of fields in which R and Rmetrics are used in finance and insurance to analyze and model data.Speakers include:


Heiko Beiler and Simon Otziger, Corepoint Capital, Stability and Transperancy in Asset Management
Venetia Christodoulopoulou, ETH Zurich, Peer Group Analysis of Bonds Indices: A Geometric Shape Factor Analysis
Chris Blakely, iMetrica, The Frequency Effect: How to Engineer Intraday Financial Trading Signals
Willi Brammertz, Brammertz Consulting, The ACTUS Project - Algorithmic Contract Type Unified Standard
Alexander Eisl, University of Vienna, Are Interest Rate Fixings Fixed? An Analysis of Libor and Euribor
Patrick Henaff, Univ Panteon Sorbonne, Measuring the Similarity between Financial Time Series
Anwar Ludin, RiskCetera, High Performance R Using Intel Xeon Phi
Erich Neuwirth, University of Vienna, R and Office Software
David Scott, Univ. of Auckland, Distributions and Quantile Functions: Some Problems and Solutions
Tobias Setz, ETH Zurich, Stability Analytics for the Design of Robust Benchmark Indices, Funds and Portfolios
Steven Wheatley, ETH Zurich, Measuring Reflexivity: Estimation of the Hawkes Self Exciting Point Process Model
Marc Wildi, Zurich Univ. of Applied Science, Buying Low and Selling High: Hint Towards a Systematic Approach


The goal is to bring together students, researchers, developers, practitioners, and users from finance and insurance providing a platform for common discussions and exchange of ideas

Call for Papers - Topics:

We invite the submission of abstracts presenting innovations or exciting applications covering the whole spectrum of computational topics in finance, insurance and related fields. To submit an abstract, email your pdf file to submissions [at] rmetrics.org. Please keep abstracts to one page. The abstracts will become available in an online abstract booklet. Submission will be considered on a rolling admission basis. 


The workshop is limited to 50 participants, therefore early abstract submission and registration is highly recommended. 

Scholarship for Students:

A limited number of scholarships are available for full-time Bachelor, Master and PhD students that include a reduction on the accommodation fees (total accommodation fees would be 100.00 CHF). Please send a letter of motivation and a recommendation letter from your supervisor to submissions [at] rmetrics.org. Note that only complete applications send from an email address affiliated to a university will be accepted.


The registration desk will be open on Sunday 30. June afternoon.
The event ends on Thursday 4 July after lunch.


Organizier: Swiss Federal Institute of Technology, Zurich
Co-organizier: Rmetrics Association Zurich
Conference Chair: Diethelm Wuertz, Swiss Federal Institute of Technology, Zurich
Conferenece Committee: Patrick Henaff, Mahendra Mehta, Diethelm Wuertz
Conference Office: Tobias Setz, Swiss Federal Institute of Technology, Zurich