Rmetrics Workshop Paris 2014

Paris, France, 26-28 June 2014
8th Rmetrics Workshop on R in Finance and Insurance


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The workshop consists of tutorial sessions and a user/developer meeting. Both focus on topics from R in finance, insurance and related fields. Tutorial sessions and talks cover topics from computational finance and insurance. Several of the tutorials incorporate practical exercises.

List of Contributed Talks:

Cyril Bachelard (OLZ & Partners, Switzerland):
Stability Analysis of the Swiss Performance Index

Evgeny Bauman (Markov Process International, Summit, USA): Risk Parity for CVaR and Downside Risk

Jean-Philippe Bouchaud (Ecole Polytechnique & CFM, Paris, France): Anomalous Price Impact and Critical Liquidity in Financial Markets

Veronika Czellar (EM Lyon, France):
Accurate Methods for Approximate Bayesian Computation Filtering

Christophe Dutang (Université du Maine, Le Mans, France): Robust and Bias-corrected Estimation of the Coeficient of Tail Dependence

Patrice Kiener (InModelia, Paris, France): Explicit models for bilateral distributions with heavy tails

Thierry Moudiki and Frédéric Planchet (ISFA – Université Lyon I, France): Economic Scenarios Generation

A. Ntamjokouen et al. (Bergamo University, Italy): Modeling Life Expentancy at Birth for Multi-population: a Cointegration Approach

Omid Pakseresht (Record Currency Management Ltd, UK):
A Passive Hedging Monitor

Christian Robert (Université Paris-Dauphine, France):
Bayesian Model Choice

Tobias Setz (ETH, Zurich, Switzerland) Bayesian Investment Strategies for the Swiss Performance Sector Indices

Rajat Tayal (Indira Gandhi Institute of Development Research, Mumbai, India): Informed trades, uninformed trades and market resiliency: Evidence from a limit order book market

Stefan Theussl (Raiffeisen Research, Vienna, Austria): The ROI Package in Action: Portfolio Optimization and Beyond

Vineet Virmani (Indian Institute of Management, Ahmedabad, India): Quantifying Model Risk in Pricing Path-dependent Derivatives

Marjan Wauters et al. (KU Leuven, Belgium): Dynamic style allocation of characteristic-based equity portfolios

Marc Weibel (Zurich University of Applied Sciences, Switzerland): Dynamic Portfolio Strategies

Jan Witte (Record Currency Management, Windsor, UK): BCP Stability Analytics: New Directions in Tactical Asset Management

Shiny Contest Apps:

A Passive Hedging Monitor
Dynamic Portfolio Strategies
Rmetrics Apps

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. 

Participation:

The workshop is limited to about 80 participants, therefore early abstract submission and registration is highly recommended. You can register online: see the conference site for details.  

Scholarship for Students:

A limited number of scholarships are available for full-time Bachelor, Master and PhD students that include a discount or waiver on conference fees. 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.

Organization:

Organizer: Université Panthéon-Sorbonne Paris and Swiss Federal Institute of Technology Zurich
Co-organizier: Rmetrics Association Zurich
Conference Chairs: Prof. Patrick Hénaff, Université Panthéon-Sorbonne, Paris,
Prof. Diethelm Würtz, Swiss Federal Institute of Technology, Zurich
Conferenece Committee: Patrick Hénaff, Mahendra Mehta, Stefan Theussl, Diethelm Würtz
Conference Office: Viktoria Forgacs, Rmetrics Association, Zurich

Previous Conferences:

Meielisalp 2013 and Meielisalp 2012