Data Science in Finance
The interdisciplinary Working Group on Data Science in Finance is conducting research on data science applications in the financial industry.
Its objective is to develop solutions for the challenges in modern finance, i.e., by utilizing the power of computationally intense algorithms and statistical analyses. Research projects may be supported by corporate partners. The focus of the working group is on i) quantitative asset management, ii) text mining & sentiment analysis, and iii) credit risk analytics.
1st International Conference on Data Science in Finance with R (DSF-R)
Vienna, Austria - 13. & 14. September 2018
The Academy of Data Science in Finance (http://www.dsf.academy/) is pleased to announce the First International Conference on Data Science in Finance with R (DSF-R 2018). The conference will take place at the new campus of the WU Vienna University of Economics and Business. The Academy strives to disseminate the knowledge in Data Science within the Finance Community -- both in Academia and the Financial Industry.
CALL FOR PAPERS
We encourage the submission of papers and proposals from both academics as well as from practitioners. We invite you to submit full papers or short research proposals, however full papers will be preferred. All submissions will be refereed, and authors will be notified by June 30, 2018 about their acceptance to the conference. Please submit your completed paper or project proposal electronically via the online submission system EasyChair: https://easychair.org/conferences/?conf=dsfr2018
We cordially invite you to submit papers and proposals from the fields of Finance and applications of Data Science. Applications of methods in Data Science. Implementations using the statistical programming language R are preferred but other programming languages are accepted as well.
We are happy to welcome a range of renowned experts in the fields of Data Science and Finance. The final program will be announced in due time. Among our confirmed speakers, we especially welcome:
- HU University Berlin
- Vrije Universiteit Amsterdam
REGISTRATION NOW OPEN
Registration is open from now until August 31, 2018. However, please note that we may only allow a limited number of participants, i.e., we have a first-come, first-serve policy. The registration deadline for accepted authors is July 20, 2018.
A limited number of rooms have been reserved at hotels close to the conference venue (Keyword: DataScience in Finance). Reservations are possible until August 12, 2018 at Austria Trend Hotel (EUR 100 per night), and until July 11, 2018 at Motel One (EUR 80 per night).
CODE OF CONDUCT
The DSF-R 2018 is dedicated to providing a harassment-free conference experience for everyone regardless of gender, sexual orientation, disability or any feature that distinguishes human beings. For more information, please see the R Consortium code of conduct .
We are looking forward to seeing you in Vienna!
The organizing committee
PD Dr. Ronald Hochreiter
Univ.Prof. Dr. Kurt Hornik
Univ.Prof. Dr. Stefan Pichler
Research Partners & Collaborators
Dr. Alexander Eisl
Dr. Stephan Gasser (IMC Krems)
Rainer Hirk, MSc
Dr. Gregor Kastner
Stephan Kranner, MSc
Christian Ochs, MSc
Dipl.-Ing. Florian Schwendinger
Laura Vana, MSc
Dr. Karl Weinmayer (MODUL University)
Quantitative Asset Management
High Frequency European Sovereign Bond Markets: Research project on the liquidity and market conditions of European sovereign bond markets, based on trade and order book data on a tick-by-tick basis. Research Partner is WU Institute for Finance, Banking and Insurance and NYU Stern School of Business.
Cryptocurrency Portfolio Diversification: Research project on the impact of cryptocurrency investments on the composition of traditional portfolios and diversification effects with respect to multi-dimensional portfolio risk measures.
Giga-Asset Alpha Portfolio Optimizer: A contemporary portfolio optimization tool for a huge asset universe (1000+) has been implemented in cooperation with GAM Investments. Besides being able to handle lots of assets a large set of real-world constraints can be added.
Pension Fund Asset Liability Management: Together with OePAG (now: VALIDA) an Award-winning Asset Liability Management system has been implemented. This system has been awarded with the IPE Europe Pension Fund Award.
Drawdown Optimization: Together with Union Invest a drawdown portfolio optimization tool has been designed. Latest research has been bundled with industry knowledge to create a portfolio optimizer which can be used for both strategic and tactical asset management.
Stochastic TTR-based Portfolio Optimization: Together with Nereas Asset Management SAM a stochastic portfolio optimizer based on TTR time-series scenarios has been developed. This approach allows for a complete rethinking of the application of stochastic portfolio optimization and provides promising results for various regimes.
Credit Risk Analytics
Text Mining & Sentiment Analysis
Sentiment-based Portfolio Optimization: Due to an ongoing cooperation with PsychSignal various trading tools based on their data have been implemented see e.g. this paper.