Joerg Osterrieder

Zurich University of Applied Sciences

Professor of Finance

Economics and Finance

Technikumstrasse 9

Winterthur, 8401

Switzerland

http://www.zhaw.ch

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 4,690

SSRN RANKINGS

Top 4,690

in Total Papers Downloads

12,402

SSRN CITATIONS
Rank 19,153

SSRN RANKINGS

Top 19,153

in Total Papers Citations

36

CROSSREF CITATIONS

18

Ideas:
“  Fintech, Deep Learning, Machine Learning, Trading Strategies, the VIX  ”

Scholarly Papers (23)

1.

Momentum and Trend Following Trading Strategies for Currencies Revisited - Combining Academia and Industry

Number of pages: 22 Posted: 11 Apr 2017 Last Revised: 11 Jan 2019
Janick Rohrbach, Silvan Suremann and Joerg Osterrieder
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 4,482 (3,008)
Citation 3

Abstract:

Loading...

Momentum, Currency Markets, G10, Emerging Markets, Cryptocurrencies, Bitcoin, Moving Average Crossover, Cross-Sectional Momentum, Time Series Momentum, Trend-Following

2.

The Statistics of Bitcoin and Cryptocurrencies

Number of pages: 12 Posted: 18 Nov 2016 Last Revised: 25 Dec 2018
Joerg Osterrieder
Zurich University of Applied Sciences
Downloads 1,608 (15,941)
Citation 5

Abstract:

Loading...

Bitcoin, Cryptocurrency, Statistics, Parametric Distributions

3.

Bitcoin and Cryptocurrencies - Not for the Faint-Hearted

Number of pages: 31 Posted: 17 Nov 2016 Last Revised: 25 Dec 2018
Joerg Osterrieder, Julian Lorenz and Martin Strika
Zurich University of Applied Sciences, Independent and Zurich University of Applied Sciences
Downloads 1,060 (29,603)
Citation 5

Abstract:

Loading...

Bitcoin, Cryptocurrency, Extreme Value Theory, Risk Management, Extreme Events

4.

A Statistical Analysis of Cryptocurrencies

Number of pages: 30 Posted: 08 Apr 2017 Last Revised: 25 Dec 2018
Joerg Osterrieder, Stephen Chan, Jeffrey Chu and Saralees Nadarajah
Zurich University of Applied Sciences, University of Manchester - School of Mathematics, University of Manchester - School of Mathematics and University of Manchester
Downloads 1,019 (31,340)
Citation 14

Abstract:

Loading...

Exchange rate, Distributions, Blockchain, Bitcoin, Cryptocurrencies

5.

A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behaviour

Big Data & Innovative Financial Technologies Research Paper Series
Number of pages: 13 Posted: 10 Nov 2016 Last Revised: 23 Dec 2018
Joerg Osterrieder and Julian Lorenz
Zurich University of Applied Sciences and Independent
Downloads 917 (36,436)
Citation 5

Abstract:

Loading...

Bitcoin, digital currencies, extreme value theory, tail events, risk management

6.

Pattern Learning Via Artificial Neural Networks for Financial Market Predictions

Number of pages: 33 Posted: 22 Sep 2018 Last Revised: 25 Dec 2018
EBS Universität für Wirtschaft und Recht, EBS Business School, Students, Zurich University of Applied Sciences, Zurich University of Applied Sciences, Zurich University of Applied Sciences, Zurich University of Applied Sciences and Colorado Mesa University
Downloads 489 (82,354)
Citation 1

Abstract:

Loading...

Artificial Intelligence, Deep Learning, CNN, LSTM, Machine Learning, Algorithmic Trading

7.

A Statistical Analysis of Carry Trading

Number of pages: 19 Posted: 29 Jun 2017 Last Revised: 25 Dec 2018
Siro Fritzmann, David Jaggi and Joerg Osterrieder
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 462 (88,398)

Abstract:

Loading...

carry, carry trading, currency markets, exchange rates, currency speculation

8.

GARCH Modeling of Cryptocurrencies

Number of pages: 15 Posted: 03 Oct 2017
Jeffrey Chu, Stephen Chan, Saralees Nadarajah and Joerg Osterrieder
University of Manchester - School of Mathematics, University of Manchester - School of Mathematics, University of Manchester and Zurich University of Applied Sciences
Downloads 375 (112,434)
Citation 18

Abstract:

Loading...

Exchange rate, Maximum likelihood, Value at Risk

9.

Generative Adversarial Networks in Finance: An Overview

Number of pages: 22 Posted: 15 Jun 2021 Last Revised: 29 Jul 2021
Florian Eckerli and Joerg Osterrieder
Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 308 (138,713)

Abstract:

Loading...

10.

Deep Reinforcement Learning for Finance and the Efficient Market Hypothesis

Number of pages: 31 Posted: 15 Jun 2021
Leander Odermatt, Jetmir Beqiraj and Joerg Osterrieder
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 305 (140,163)

Abstract:

Loading...

Deep Reinforcement Learning, Automated Stock Trading, Finance, Efficient Market Hypothesis, AI

11.

Explainable AI in Credit Risk Management

Number of pages: 16 Posted: 29 Mar 2021
Zurich University of Applied Sciences, Columbia University, Zurich University of Applied Sciences, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 290 (147,755)

Abstract:

Loading...

Explainable AI, Credit Lending, Machine Learning, LIME, SHAP

12.

Risk Parity for Multi-Asset Futures Allocation – A Practical Analysis of the Equal Risk Contribution Portfolio

Number of pages: 24 Posted: 08 Jun 2021 Last Revised: 30 Jun 2021
Chris Bucher and Joerg Osterrieder
Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 285 (150,359)

Abstract:

Loading...

risk parity, equal risk contribution, asset allocation, portfolio construction, futures, COVID-19

13.

The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets: A Feasibility Study

Number of pages: 15 Posted: 11 Mar 2021
University of Liechtenstein, University of Pavia - Department of Economics and Management, ZHAW School of Management and Law, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 195 (217,448)
Citation 2

Abstract:

Loading...

artificial intelligence, self-play, machine learning, financial markets, trading

14.

Analyzing Deep Generated Financial Time Series for Various Asset Classes

Number of pages: 50 Posted: 30 Aug 2021
Antonio Rosolia and Joerg Osterrieder
Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 182 (229,785)

Abstract:

Loading...

Time Series Classification, Generative Adversarial Networks, Financial Time Series

Wasserstein GAN: Deep Generation Applied on Financial Time Series

Number of pages: 32 Posted: 09 Aug 2021
School of Engineering, Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 70 (452,813)

Abstract:

Loading...

WGAN-GP, Wasserstein, Time Series Classification, Generative Adversarial Networks, Financial Time Series, Bitcoin

16.

Deep Reinforcement Learning on a Multi-Asset Environment for Trading

Number of pages: 18 Posted: 28 Jun 2021
Columbia University, Zurich University of Applied Sciences, Zurich University of Applied Sciences and ZHAW School of Management and Law
Downloads 93 (379,541)
Citation 1

Abstract:

Loading...

Reinforcement Learning, Deep Learning, Finance, Trading Strategies

17.

A Dynamic Market Microstructure Model with Market Orders and Random Order Book Depth

Number of pages: 39 Posted: 13 Jun 2017
Joerg Osterrieder
Zurich University of Applied Sciences
Downloads 71 (443,800)

Abstract:

Loading...

Limit Order Book, Market Microstructure, Insider, Market Order, Market Maker

18.

Pricing, Loss and Sensitivity Analysis of Barrier Options via Regression

Number of pages: 25 Posted: 26 Jun 2018
Andreas Gabler, Martin Wiegand and Joerg Osterrieder
EBS Universität für Wirtschaft und Recht, EBS Business School, Students, University of Manchester and Zurich University of Applied Sciences
Downloads 53 (511,438)

Abstract:

Loading...

Barrier Option, Sensitivity, Delta, Loss, Monte-Carlo, Regression

19.

High-Frequency Causality between Stochastic Volatility Time Series: Empirical Evidence

Number of pages: 18 Posted: 29 Apr 2022
Kia Farokhnia and Joerg Osterrieder
Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 49 (528,975)

Abstract:

Loading...

Causality, Vector Autoregression Model, Seemingly Unrelated Regressions, Stochastic Volatility

20.

Arbitrage Opportunities in Diverse Markets via a Non-Equivalent Measure Change

Number of pages: 16 Posted: 13 Jun 2017
Joerg Osterrieder and Thorsten Rheinlander
Zurich University of Applied Sciences and Eidgenossische Technische Hochschule Zurich (ETHZ)
Downloads 42 (562,374)

Abstract:

Loading...

Arbitrage, Measure Change, Diverse Markets, Martingale

21.

A Dynamic Market Microstructure Model with Insider Information and Order Book

Number of pages: 42 Posted: 04 Mar 2005 Last Revised: 18 Jun 2017
Joerg Osterrieder
Zurich University of Applied Sciences
Downloads 34 (605,465)

Abstract:

Loading...

market microstructure, insider trading, limit order traders, multiperiod

22.

A Theoretical Model of the Limit Order Book and Some Applications

Number of pages: 29 Posted: 06 Feb 2006 Last Revised: 18 Jun 2017
Joerg Osterrieder
Zurich University of Applied Sciences
Downloads 13 (761,547)

Abstract:

Loading...

Random measures, Poisson random measures, limit order book, large trader behaviour, optimal liquidation of stocks, semimartingales, doubly stochastic Poisson processes

23.

Simulation of a Limit Order Driven Market

Posted: 20 May 2019
Julian Lorenz and Joerg Osterrieder
Independent and Zurich University of Applied Sciences

Abstract:

Loading...

Limit Order Book, Order Flow, Algorithmic Trading, Stock Exchange