[R-SIG-Finance] R/Finance and overview on latest results

[Wildi Marc (wlmr)]

Brian,

R-finance would be a good opportunity to meet. Kent and I are planning to attend (maybe presenting something presentable: maybe we present ALL THREE something presentable). 

A few words about latest work/progress.

We have several types of `products' (some of them in advanced Evolution, others still in the limbs):

1. MDFA i.e. pure Signal extraction: `lil gem'.
2. Tools for detecting draw-downs based on statistical Analysis (my last document sent to Kent: i can send it to you too if you like but it's in `raw' form).
3. Enhancers (previously named tricks) which improve Performances of an original algorithm based on statistical Analysis. We now have two simple enhancers ready - enhancer 1 and 3 (2 is still in Progress) - (based on statistical analysis) for `lil gem'. We now verify effects when ported into deltix.

In contrast to product 1 (MDFA) products 2 (diagnostics/alarms) and 3 (enhancers) are likely to be generic:
-they could be applied to any running algorithm
-all we Need to know (from you) is the Price series series and the ime Points of sells/buys.
-You'd get from us diagnostics Tools and/or enhancers (without even knowing the exact trading algorithm).

So we have a vertically integrated product (MDA+diagnostics+enhancers) and some generic meta products (diagnostics, enhancers) which might possibly be applied accross a range of algorithms (including MDFA but not restricted to the latter).

If you want to receive latest results please tell me (but be Aware that they are in raw form). 

Btw: my Editor puts randomly capitals in the text due to german editing-settings. If only I knew how to Change Settings!

________________________________________
Von: r-sig-finance-bounces at r-project.org [r-sig-finance-bounces at r-project.org]" im Auftrag von "Brian G. Peterson [brian at braverock.com]
Gesendet: Dienstag, 15. Oktober 2013 14:11
An: R-SIG-Finance
Betreff: [R-SIG-Finance] R/Finance 2014 Call for Papers

Call for Papers:

R/Finance 2014: Applied Finance with R
May 16 and 17, 2014
University of Illinois at Chicago

The sixth annual R/Finance conference for applied finance using R will
be held on May 16 and 17, 2014 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 five years, R/Finance has included attendees from around
the world. It has featured presentations from prominent academics and
practitioners, and we anticipate another exciting line-up for 2014.

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.

Presenters are strongly encouraged to provide working R code to
accompany the presentation/paper.  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.

The conference will award two (or more) $1000 prizes for best papers.
A submission must be a full paper to be eligible for a best paper
award. Extended abstracts, even if a full paper is provided by
conference time, are not eligible for a best paper award.  Financial
assistance for travel and accommodation may be available to presenters
at the discretion of the conference committee. Requests for assistance
should be made at the time of submission.

Please submit your papers or abstracts online at: http://goo.gl/OmKnu7
The submission deadline is January 31, 2014. Submitters will be
notified of acceptance, whether a presentation will be a long
presentation or a lightning talk, and a decision on any requested
funding will be made via email by February 28, 2014.

Additional details will be announced via the conference website
http://www.RinFinance.com/ as they become available. Information on
previous years' presenters and their presentations are also at the
conference website.

For the program committee:
Gib Bassett, Peter Carl, Dirk Eddelbuettel,
Brian Peterson, Dale Rosenthal, Jeffrey Ryan, Joshua Ulrich

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