Wed, 08 Nov 2017

R / Finance 2018 Call for Papers

The tenth (!!) annual annual R/Finance conference will take in Chicago on the UIC campus on June 1 and 2, 2018. Please see the call for papers below (or at the website) and consider submitting a paper.

We are once again very excited about our conference, thrilled about who we hope may agree to be our anniversary keynotes, and hope that many R / Finance users will not only join us in Chicago in June -- and also submit an exciting proposal.

So read on below, and see you in Chicago in June!

Call for Papers

R/Finance 2018: Applied Finance with R
June 1 and 2, 2018
University of Illinois at Chicago, IL, USA

The tenth annual R/Finance conference for applied finance using R will be held June 1 and 2, 2018 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.

Over the past nine years, R/Finance has includedattendeesfrom around the world. It has featured presentations from prominent academics and practitioners, and we anticipate another exciting line-up for 2018.

We invite you to submit complete papers in pdf format for consideration. We will also consider one-page abstracts (in txt or pdf format) although more complete papers are preferred. We welcome submissions for both full talks and abbreviated "lightning talks." Both academic and practitioner proposals related to R are encouraged.

All slides will be made publicly available at conference time. Presenters are strongly encouraged to provide working R code to accompany the slides. Data sets should also be made public for the purposes of reproducibility (though we realize this may be limited due to contracts with data vendors). Preference may be given to presenters who have released R packages.

Please submit proposals online at Submissions will be reviewed and accepted on a rolling basis with a final submission deadline of February 2, 2018. Submitters will be notified via email by March 2, 2018 of acceptance, presentation length, and financial assistance (if requested).

Financial assistance for travel and accommodation may be available to presenters. Requests for financial assistance do not affect acceptance decisions. Requests should be made at the time of submission. Requests made after submission are much less likely to be fulfilled. Assistance will be granted at the discretion of the conference committee.

Additional details will be announced via the conference website at as they become available. Information on previous years'presenters and their presentations are also at the conference website. We will make a separate announcement when registration opens.

For the program committee:

Gib Bassett, Peter Carl, Dirk Eddelbuettel, Brian Peterson,
Dale Rosenthal, Jeffrey Ryan, Joshua Ulrich

/computers/R | permanent link

RQuantLib 0.4.4: Several smaller updates

A shiny new (mostly-but-not-completely maintenance) release of RQuantLib, now at version 0.4.4, arrived on CRAN overnight, and will get to Debian shortly. This is the first release in over a year, and it it contains (mostly) a small number of fixes throughout. It also includes the update to the new DateVector and DatetimeVector classes which become the default with the upcoming Rcpp 0.12.14 release (just like this week's RcppQuantuccia release). One piece of new code is due to Fran├žois Cocquemas who added support for discrete dividends to both European and American options. See below for the complete set of changes reported in the NEWS file.

As with release 0.4.3 a little over a year ago, we will not have new Windows binaries from CRAN as I apparently have insufficient powers of persuasion to get CRAN to update their QuantLib libraries. So we need a volunteer. If someone could please build a binary package for Windows from the 0.4.4 sources, I would be happy to once again host it on the GHRR drat repo. Please contact me directly if you can help.

Changes are listed below:

Changes in RQuantLib version 0.4.4 (2017-11-07)

  • Changes in RQuantLib code:

    • Equity options can now be analyzed via discrete dividends through two vectors of dividend dates and values (Francois Cocquemas in #73 fixing #72)

    • Some package and dependency information was updated in files DESCRIPTION and NAMESPACE.

    • The new Date(time)Vector classes introduced with Rcpp 0.12.8 are now used when available.

    • Minor corrections were applied to BKTree, to vanilla options for the case of intraday time stamps, to the SabrSwaption documentation, and to bond utilities for the most recent QuantLib release.

Courtesy of CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the RQuantLib page. Questions, comments etc should go to the rquantlib-devel mailing list off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link