Joerg Osterrieder

University of Twente

Associate Professor of Finance and Artificial Intelligence

Drienerlolaan 5

Departement of High-Tech Business and Entrepreneur

Enschede, 7522 NB

Netherlands

Bern Business School

Brückengasse

Institute of Applied Data Sciences and Finance

Bern, BE 3005

Switzerland

SCHOLARLY PAPERS

64

DOWNLOADS
Rank 2,038

SSRN RANKINGS

Top 2,038

in Total Papers Downloads

28,068

SSRN CITATIONS
Rank 14,476

SSRN RANKINGS

Top 14,476

in Total Papers Citations

68

CROSSREF CITATIONS

32

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

Scholarly Papers (64)

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 University of Twente
Downloads 6,833 (1,988)
Citation 3

Abstract:

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

2.

A Primer on Deep Reinforcement Learning for Finance

Number of pages: 31 Posted: 03 Jan 2023 Last Revised: 13 Jan 2023
Joerg Osterrieder and Chat GPT
University of Twente and affiliation not provided to SSRN
Downloads 2,177 (13,199)

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Deep reinforcement learning, finance, portfolio optimization, risk management, algorithmic trading

3.

The Statistics of Bitcoin and Cryptocurrencies

Number of pages: 12 Posted: 18 Nov 2016 Last Revised: 25 Dec 2018
Joerg Osterrieder
University of Twente
Downloads 1,778 (18,136)
Citation 5

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Bitcoin, Cryptocurrency, Statistics, Parametric Distributions

4.

The VIX Volatility Index - A Very Thorough Look at It

Number of pages: 47 Posted: 17 Jan 2019 Last Revised: 13 Aug 2023
Joerg Osterrieder, Lars Vetter and Kevin Röschli
University of Twente, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 1,696 (19,490)
Citation 3

Abstract:

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VIX, trading, Black-Scholes, market manipulation, options, out-of-the money

5.

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
University of Twente, Independent and Zurich University of Applied Sciences
Downloads 1,245 (31,030)
Citation 5

Abstract:

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

6.

A Primer on Natural Language Processing for Finance

Number of pages: 25 Posted: 06 Jan 2023
Joerg Osterrieder
University of Twente
Downloads 1,125 (36,075)

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Natural Language Processing (NLP), Financial Text Data, Sentiment Analysis, Trading Signals, Machine Learning

7.

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
University of Twente, The University of Manchester - School of Mathematics, Renmin University of China - Center for Applied Statistics and The University of Manchester
Downloads 1,087 (37,710)
Citation 14

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Exchange rate, Distributions, Blockchain, Bitcoin, Cryptocurrencies

8.

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
University of Twente and Independent
Downloads 1,026 (40,869)
Citation 5

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

9.

Neural Networks and Arbitrage in the VIX – A Deep Learning Approach for the VIX

Number of pages: 22 Posted: 07 Jan 2019 Last Revised: 10 Aug 2023
Zurich University of Applied Sciences, University of Twente, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 851 (53,080)

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VIX, SPX, Neural Network, LSTM, Deep Learning, Arbitrage, Market Manipulation, Random Forests

10.

Explainable AI in Credit Risk Management

Number of pages: 16 Posted: 29 Mar 2021
Zurich University of Applied Sciences, Columbia University, University of Twente, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 622 (79,878)

Abstract:

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

11.

The Art of Portfolio Management - Lecture Notes

Number of pages: 149 Posted: 28 Apr 2023
Joerg Osterrieder
University of Twente
Downloads 605 (82,632)

Abstract:

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Portfolio Management

12.

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 University of Twente
Downloads 556 (92,017)
Citation 19

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13.

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 University of Twente
Downloads 549 (93,928)

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

14.

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, University of Twente and Colorado Mesa University
Downloads 548 (93,701)
Citation 2

Abstract:

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

15.

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 University of Twente
Downloads 537 (96,105)

Abstract:

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

16.

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 University of Twente
Downloads 524 (99,231)

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

17.

GARCH Modeling of Cryptocurrencies

Number of pages: 15 Posted: 03 Oct 2017
Jeffrey Chu, Stephen Chan, Saralees Nadarajah and Joerg Osterrieder
Renmin University of China - Center for Applied Statistics, The University of Manchester - School of Mathematics, The University of Manchester and University of Twente
Downloads 513 (101,909)
Citation 18

Abstract:

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Exchange rate, Maximum likelihood, Value at Risk

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 University of Twente
Downloads 278 (200,610)

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

19.

The Great Deception: A Comprehensive Study of Execution Strategies in Corporate Share Buy-Backs

Number of pages: 23 Posted: 13 Jul 2023 Last Revised: 14 Aug 2023
Michael Seigne and Joerg Osterrieder
Candor Partners Limited and University of Twente
Downloads 412 (131,882)
Citation 1

Abstract:

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Share buy-backs, Execution strategies, Capital allocation, Regulatory compliance, Frictional costs

20.

A Primer on Artificial Intelligence and Machine Learning for the Financial Services Industry

Number of pages: 19 Posted: 08 Feb 2023
Joerg Osterrieder
University of Twente
Downloads 392 (139,502)

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Artificial Intelligence, Machine Learning, Financial Services Industry, Challenges, Limitations, Applications, Advancements

21.

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 University of Twente
Downloads 338 (164,319)

Abstract:

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Time Series Classification, Generative Adversarial Networks, Financial Time Series

22.

A Primer on Time Series Analysis with R

Number of pages: 26 Posted: 06 Jan 2023
Joerg Osterrieder
University of Twente
Downloads 326 (170,858)

Abstract:

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Time series analysis, statistical analysis, data visualization, data modeling, data forecasting, data clustering and classification

23.

Machine Learning for Asset Management

Number of pages: 233 Posted: 13 Dec 2023 Last Revised: 25 Mar 2024
Joerg Osterrieder
University of Twente
Downloads 303 (185,799)

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machine learning, asset management, quantitative finance, deep learning, reinforcement learning, feature engineering, model evaluation, risk management, algorithmic trading, financial data analysis

24.

Mitigating Digital Asset Risks

Number of pages: 54 Posted: 10 Nov 2023 Last Revised: 09 Jan 2024
National Yang Ming Chiao Tung University, Blockchain Research Center Humboldt-Universität zu Berlin, University of Twente, University of Twente, University College Dublin (UCD) - Michael Smurfit Graduate School of Business, Warsaw School of Economics (SGH) - Department of Economics I, Kaunas University of Technology, Komercijalna Banka, University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, Independent, Royal Melbourne Institute of Technolog (RMIT University), University of Galway, Independent, Piraeus Bank, University Politehnica of Bucharest, Independent, Selçuk University - Department of Economics, University POLITEHNICA of Bucharest, CSEF - University of Naples Federico II, Poznań University of Economics and Business, University of Iceland, Zurich University of Applied Sciences, Independent, Independent, York St John University, Independent, Independent, Independent, Eötvös Loránd University, University of Tirana - Department of Informatics, The Bucharest University of Economic Studies, Department of Statistics and Econometrics and American University in Bulgaria
Downloads 289 (193,930)

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Digital assets, Blockchain technology, Regulatory frameworks, Decentralized finance, Non-fungible tokens

25.

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, University of Twente and Zurich University of Applied Sciences
Downloads 274 (204,779)
Citation 2

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

26.

The VIX Index Under Scrutiny of Machine Learning Techniques and Neural Networks

Number of pages: 19 Posted: 03 Mar 2021 Last Revised: 13 Aug 2023
Columbia University, Zurich University of Applied Sciences, University of Twente, Columbia University, Columbia University, Columbia University and Columbia University
Downloads 244 (229,772)

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VIX, Machine Learning, Deep Learning, VIX futures

27.

A Primer on Narrative Finance

Number of pages: 19 Posted: 18 Jan 2023
Joerg Osterrieder
University of Twente
Downloads 225 (249,490)

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Narrative Finance, Financial Decision-making, Risk Management, Portfolio Construction, Financial Regulation

Examining Share Repurchase Executions: Insights and Synthesis from the Existing Literature

Number of pages: 24 Posted: 25 Jul 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 138 (380,817)

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Share repurchase, Buyback contracts, Machine learning, Neural networks, Accelerated share repurchase, Corporate governance, Algorithmic bias, Data privacy, Finance technology, Policy implications

Examining Share Repurchase Executions: Insights and Synthesis from the Existing Literature

Number of pages: 25 Posted: 22 Aug 2023
Joerg Osterrieder
University of Twente
Downloads 69 (612,848)

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Share repurchase, Buyback contracts, Machine learning, Neural networks, Accelerated share repurchase, Corporate governance

29.

Neural Networks and Arbitrage in the VIX

Number of pages: 20 Posted: 01 Jun 2020 Last Revised: 13 Aug 2023
University of Twente, Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 186 (295,828)

Abstract:

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30.

A Primer on Anomaly and Fraud Detection in Blockchain Networks

Number of pages: 24 Posted: 06 Jan 2023
Joerg Osterrieder, Stephen Chan, Jeffrey Chu and Yuanyuan Zhang
University of Twente, American University of Sharjah, Renmin University of China - Center for Applied Statistics and University of Manchester
Downloads 177 (309,056)

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Blockchain, Anomaly detection, Fraud detection, Machine learning, Game theory

31.

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, University of Twente and ZHAW School of Management and Law
Downloads 163 (332,012)
Citation 5

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Reinforcement Learning, Deep Learning, Finance, Trading Strategies

32.

Unraveling Market Mysteries: A Comprehensive Review of Financial Anomalies and Puzzles

Number of pages: 13 Posted: 24 Jul 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 146 (363,754)
Citation 2

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Market Anomalies, Efficient Market Hypothesis, Long-term Returns, Earnings Management, Information Uncertainty, Post-Merger Performance, Mutual Funds, Day-of-the-Week Returns, January Effect

33.

A Free Lunch for Share Buybacks

Number of pages: 14 Posted: 13 Aug 2023 Last Revised: 25 Mar 2024
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 136 (384,493)
Citation 1

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Share Buybacks, Free Lunch Phenomenon, VWAP, Brokerage Fees, Temporal Optionality, Monte Carlo Simulation, Corporate Governance, Benchmarking, Market Efficiency, Regulatory Framework

34.

Navigating the ESG Landscape: Constructing a Robust and Reliable Scoring Engine

Number of pages: 25 Posted: 18 Jun 2023
University of Twente, University of Twente, Zurich University of Applied Sciences and University of Twente
Downloads 123 (415,489)

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Environmental, Social, and Governance (ESG); ESG Scoring Engine; ESG Indicator Selection; Weighting Methodologies; Validation

35.

An Overview - Stress Test Designs for the Evaluation of AI and ML Models Under Shifting Financial Conditions to Improve the Robustness of Models

Number of pages: 30 Posted: 22 Nov 2023
University of Twente, Piraeus Bank, Independent, University of Pavia - Department of Economics and Management, Kaunas University of Technology, University of Twente and Babes-Bolyai University - Faculty of Economics and Business Administration
Downloads 119 (425,799)

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Artificial Intelligence, Machine Learning, Financial Risk Management, Stress Testing, Model Robustness, Regulatory Compliance, Basel Committee Guidelines, Predictive Analytics, Financial Stability, Risk Governance

Rethinking Share Buyback Execution: Insights into Temporal Optionality and Empirical Anomalies

Number of pages: 7 Posted: 01 Aug 2023 Last Revised: 13 Aug 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 55 (689,464)

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Share Buyback Execution, Temporal Optionality, Empirical Anomaly, Value Optimization, Monte Carlo Simulation, Genetic Algorithm, Front-loading, Back-loading, Brokerage Services, Financial Markets

Rethinking Share Buyback Execution: Insights into Temporal Optionality and Empirical Anomalies

Number of pages: 7 Posted: 13 Aug 2023 Last Revised: 25 Mar 2024
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 45 (755,101)
Citation 1

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Share Buyback Execution, Temporal Optionality, Empirical Anomaly, Value Optimization, Monte Carlo Simulation, Genetic Algorithm, Front-loading, Back-loading, Brokerage Services, Financial Markets

37.

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

Number of pages: 39 Posted: 13 Jun 2017
Joerg Osterrieder
University of Twente
Downloads 99 (486,357)

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

Temporal Optionality in Share Buyback Execution: An Empirical Anomaly and Value Optimization Approach

Number of pages: 31 Posted: 01 Aug 2023 Last Revised: 13 Aug 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 70 (607,884)
Citation 1

Abstract:

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Share Buybacks, Temporal Optionality, Genetic Algorithms, Brokerage Services, Empirical Anomaly, Trading Schedules, Optimization, Market Volatility, Corporate Finance, Financial Markets

Temporal Optionality in Share Buyback Execution: An Empirical Anomaly and Value Optimization Approach

Number of pages: 39 Posted: 14 Nov 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 27 (902,259)

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Share Buybacks, Temporal Optionality, Genetic Algorithms, Brokerage Services, Empirical Anomaly, Trading Schedules, Optimization, Market Volatility, Corporate Finance, Financial Markets

39.

Navigating Share Buyback Programs: A Genetic Algorithm Approach to Outperform the Buyback Benchmark

Number of pages: 44 Posted: 13 Aug 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 81 (551,552)
Citation 1

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Financial Markets, Genetic Algorithms, Share Buyback Programs, Optimal Trading Strategies, buyback strategy performance

40.

Hypothesizing Multimodal Influence: Assessing the Impact of Textual and Non-Textual Data on Financial Instrument Pricing Using NLP and Generative AI

Number of pages: 4 Posted: 05 Feb 2024
Warsaw School of Economics (SGH) - Department of Economics I, Bern University of Applied Sciences (BFH), Babes-Bolyai University - Faculty of Economics and Business Administration, Zurich University of Applied Sciences, RWTH Aachen University and University of Twente
Downloads 79 (559,703)

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Financial Markets, Natural Language Processing (NLP), Generative Artificial Intelligence, Multimodal Data Analysis, Economic Context Analysis, Textual Data in Finance, Non-Textual Data Integration, Sentiment Analysis, Market Dynamics, Automated Decision-Making

41.

High-Frequency Causality in the VIX Index and Its Derivatives: Empirical Evidence

Number of pages: 15 Posted: 29 Apr 2022 Last Revised: 10 Aug 2023
Kia Farokhnia and Joerg Osterrieder
Zurich University of Applied Sciences and University of Twente
Downloads 79 (559,703)

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VIX, Causality, Vector Autoregression Model, Stochastic Volatility

42.

The Hidden Impact of the SEC's Share Repurchasing Disclosure Modernization on Corporate Governance

Number of pages: 6 Posted: 24 Aug 2023
Michael Seigne and Joerg Osterrieder
Candor Partners Limited and University of Twente
Downloads 76 (572,249)
Citation 1

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Disclosure, Financial institutions, Monetary policy, SEC enforcement, Share Buy-backs

43.

The Mysteries of Share Buyback Execution: Trading Anomalies, Benchmarks, and Psychological Misconceptions

Number of pages: 45 Posted: 26 Jul 2023 Last Revised: 13 Aug 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 73 (589,690)
Citation 1

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Share Buybacks, Corporate Finance, Trading Schedule Anomaly, Benchmark Paradox, Psychological Misconception, Genetic Algorithm Simulations, Shareholder Value, Execution Strategies, Cognitive Biases, Empirical Investigation

44.

Pricing, Loss and Sensitivity Analysis of Barrier Options via Regression

Number of pages: 25 Posted: 26 Jun 2018 Last Revised: 25 Mar 2024
Andreas Gabler, Martin Wiegand and Joerg Osterrieder
EBS Universität für Wirtschaft und Recht, EBS Business School, Students, The University of Manchester and University of Twente
Downloads 71 (594,326)

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

45.

Exploring Research Visibility of the FinAI COST Action Members: a Bibliometric Analysis of Topics

Number of pages: 21 Posted: 28 Nov 2023
University of Warsaw - Faculty of Economic Sciences, University of Warsaw, Faculty of Economic Sciences, Humboldt University of Berlin, Babes-Bolyai University - Faculty of Economics and Business Administration, The Bucharest University of Economic Studies, Department of Statistics and Econometrics, Humboldt-Universität zu Berlin, University of Twente, University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business and Polytechnic University of Milan - Department of Mathematics
Downloads 66 (617,725)

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research visibility, bibliometric analysis, topic modelling, finance, artificial intelligence

46.

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

Number of pages: 16 Posted: 13 Jun 2017
Joerg Osterrieder and Thorsten Rheinlander
University of Twente and Eidgenossische Technische Hochschule Zurich (ETHZ)
Downloads 66 (617,725)

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Arbitrage, Measure Change, Diverse Markets, Martingale

47.

Digital Finance - Reaching New Frontiers

Number of pages: 12 Posted: 11 Dec 2022
Joerg Osterrieder, Branka Hadji-Misheva and Marcos Machado
University of Twente, University of Pavia - Department of Economics and Management and University of Twente
Downloads 59 (653,618)

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Digital Finance, Artificial Intelligence, Machine Learning, European Union

48.

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
University of Twente
Downloads 57 (664,522)

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market microstructure, insider trading, limit order traders, multiperiod

49.

A Primer on Information Systems for the Financial Services Industry

Number of pages: 14 Posted: 08 Feb 2023
Joerg Osterrieder
University of Twente
Downloads 53 (687,173)

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Information Systems, Financial Services Industry, Emerging Technologies, IT Governance, Process Optimization

50.

Temporal Optionality in Share Buybacks: Hypothesizing an Inevitable Brokerage Outperformance

Number of pages: 4 Posted: 08 Aug 2023 Last Revised: 13 Aug 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 52 (693,003)

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Share Buyback, Brokerage Fees, Free Lunch, Financial Innovation Corporate Finance, Financial Engineering, Share Repurchase, Market Efficiency, Benchmarking, Financial Hypothesis

51.

Share Buybacks: A Theoretical Exploration of Genetic Algorithms and Mathematical Optionality

Number of pages: 7 Posted: 13 Aug 2023
Joerg Osterrieder
University of Twente
Downloads 50 (705,257)

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Share Buybacks, Genetic Algorithms, Mathematical Optimization, Optionality, Trading Schedules, Financial Innovation, Computational Intelligence

52.

Leveraging Network Topology for Credit Risk Assessment in P2p Lending: A Comparative Study Under the Lens of Machine Learning

Number of pages: 59 Posted: 24 Aug 2023
University of Twente, University of Twente, University of Twente and Zurich University of Applied Sciences
Downloads 46 (737,222)

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P2P-lending, Credit-Default Prediction, machine learning (ML), Network Centrality

53.

A Free Lunch Hypothesis for Share Buybacks

Number of pages: 4 Posted: 02 Aug 2023 Last Revised: 13 Aug 2023
Joerg Osterrieder and Michael Seigne
University of Twente and Candor Partners Limited
Downloads 43 (750,771)
Citation 1

Abstract:

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Share Buybacks, Free Lunch Phenomenon, VWAP, Brokerage Fees, Temporal Optionality, Monte Carlo Simulation, Corporate Governance, Benchmarking, Market Efficiency, Regulatory Framework

54.

Metaverse Non Fungible Tokens

Number of pages: 29 Posted: 25 Mar 2024
Joerg Osterrieder, Stephen Chan, Jeffrey Chu and Yuanyuan Zhang
University of Twente, American University of Sharjah, Renmin University of China - Center for Applied Statistics and University of Manchester
Downloads 40 (779,193)

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Metaverse, NFTs, Digital Ownership, Virtual Economies, Technological Infrastructure, Digital Ecosystems, Creators, Collectors, Digital Marketplace, Economic Models

55.

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
University of Twente
Downloads 36 (801,551)

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

Network Centrality and Credit Risk: A Comprehensive Analysis of Peer-to-Peer Lending Dynamics

Finance Research Letters, Forthcoming
Number of pages: 15 Posted: 12 Mar 2024
University of Twente, University of Twente, University of Twente and Zurich University of Applied Sciences
Downloads 17 (1,004,196)

Abstract:

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P2P-lending, Credit-Default Prediction, Machine Learning (ML), Network Centrality

Network Centrality and Credit Risk: A Comprehensive Analysis of Peer-to-Peer Lending Dynamics

Number of pages: 16 Posted: 25 Jan 2024
University of Twente, University of Twente, University of Twente and Zurich University of Applied Sciences
Downloads 16 (1,014,911)

Abstract:

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P2P-lending, Credit-Default Prediction, Machine Learning (ML), Network Centrality

57.

Leveraging Network Topology for Credit Risk Assessment in P2P Lending: A Comparative Study under the Lens of Machine Learning

Expert Systems with Applications, Forthcoming
Number of pages: 59 Posted: 12 Mar 2024
University of Twente, University of Twente, University of Twente and Zurich University of Applied Sciences
Downloads 22 (921,809)

Abstract:

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P2P-lending, Credit-Default Prediction, Machine Learning (ML), Network Centrality

58.

Modeling Commodity Price Co-Movement: Building on Traditional Methods & Exploring Applications of Machine Learning Models

Number of pages: 30 Posted: 08 Mar 2024
Luca Kozian, Joerg Osterrieder and Marcos Machado
University of Twente, University of Twente and University of Twente
Downloads 19 (951,173)

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Commodities, Co-movement, Gerber statistic, VAR, VARX, Random Forest

59.

Predicting Retail Customers' Distress: Early Warning Systems and Machine Learning Applications

Number of pages: 26 Posted: 08 Mar 2024
Jaap Beltman, Joerg Osterrieder and Marcos Machado
University of Twente, University of Twente and University of Twente
Downloads 19 (951,173)

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Early Warning Systems, Machine Learning, Meta-model, Retail Customers, Finance

60.

How can Consumers Without Credit History Benefit from the Use of Information Processing and Machine Learning Tools by Financial Institutions?

Number of pages: 36 Posted: 08 Mar 2024
Marcos Machado, Joerg Osterrieder and Bjoern van Braak
University of Twente, University of Twente and University of Twente
Downloads 17 (971,245)

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Consumers’ credit risk assessment, Information Processing, Machine Learning, Ensemble Learning, Financial Inclusion

61.

Integration of Early Warning Systems and Customer Segmentation Methods in the Financial Industry - A Systematic Literature Review

Number of pages: 25 Posted: 08 Mar 2024
Alessandro Amato, Joerg Osterrieder and Marcos Machado
University of Twente, University of Twente and University of Twente
Downloads 12 (1,030,872)

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Early Warning Systems, Customer Segmentation, Lending Settings, Unsupervised Learning, Systematic Literature Review

62.

Forecasting Commercial Customers Credit Risk Through Early Warning Signals Data: A Machine Learning based Approach

Number of pages: 28 Posted: 09 Apr 2024
Marcos Machado, Joerg Osterrieder and Daniel Chen
University of Twente, University of Twente and University of Twente
Downloads 10 (1,040,274)

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Machine Learning, Early Warning System, Credit Risk, Watchlist, Financial Distress Predictions, XAI

63.

Integrating Early Warning Systems with Customer Segmentation: An Information Management Approach to Identifying Business Opportunities for Commercial Customers in the Financial Industry

Number of pages: 33 Posted: 15 Apr 2024
Marcos Machado, Joerg Osterrieder and Alessandra Amato
University of Twente, University of Twente and affiliation not provided to SSRN
Downloads 3 (1,112,149)

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Early Warning Systems, Customer Segmentation, Unsupervised Machine Learning, Commercial Customers, Financial Industry, Lending

64.

Simulation of a Limit Order Driven Market

Posted: 20 May 2019 Last Revised: 23 Jan 2023
Julian Lorenz and Joerg Osterrieder
Independent and University of Twente

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

Other Papers (1)

Total Downloads: 90
1.

Deep Reinforcement Learning in Finance - Lecture Notes (Presentation Slides)

Number of pages: 107 Posted: 22 Apr 2023
Joerg Osterrieder
University of Twente
Downloads 90

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Deep reinforcement learning, finance, portfolio management, algorithmic trading, risk management.