Joerg Osterrieder

Zurich University of Applied Sciences

Professor of Finance

Economics and Finance

Technikumstrasse 9

Winterthur, 8401

Switzerland

http://www.zhaw.ch

  • Zurich University of Applied Sciences

SCHOLARLY PAPERS

17

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21

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17

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

  • Zurich University of Applied Sciences

Scholarly Papers (17)

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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 2,192 (6,800)
Citation 1

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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 1,318 (15,538)
Citation 3

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Bitcoin, Cryptocurrency, Statistics, Parametric Distributions

3.

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 889 (27,830)
Citation 7

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Exchange rate, Distributions, Blockchain, Bitcoin, Cryptocurrencies

4.

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 809 (31,791)
Citation 4

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

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
Zurich University of Applied Sciences, Independent and Zurich University of Applied Sciences
Downloads 781 (33,325)
Citation 4

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

6.

The VIX Volatility Index - A Very Thorough Look at It

Number of pages: 47 Posted: 17 Jan 2019
Joerg Osterrieder, Lars Vetter and Kevin Röschli
Zurich University of Applied Sciences, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 676 (40,627)
Citation 1

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

7.

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

Number of pages: 22 Posted: 07 Jan 2019 Last Revised: 16 Jan 2019
Daniel Kucharczyk, Joerg Osterrieder, Silas Rudolf and Daniel Wittwer
Zurich University of Applied Sciences, Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 602 (47,444)

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

8.

Pattern Learning Via Artificial Neural Networks for Financial Market Predictions

Number of pages: 33 Posted: 22 Sep 2018 Last Revised: 25 Dec 2018
Andreas Gabler, Dominique Perez, Ueli Sutter, Daniel Kucharczyk, Joerg Osterrieder and Markus Reitenbach
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 369 (86,163)
Citation 1

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

9.

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 367 (86,981)

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

10.

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 189 (171,608)
Citation 15

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Exchange rate, Maximum likelihood, Value at Risk

11.

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 61 (377,922)

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

12.

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 38 (461,556)

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

13.

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 32 (488,846)

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Arbitrage, Measure Change, Diverse Markets, Martingale

14.

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 21 (550,758)

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market microstructure, insider trading, limit order traders, multiperiod

15.

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 7 (642,712)

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

16.

Neural networks and arbitrage in the VIX

Number of pages: 20
Joerg Osterrieder, Daniel Kucharczyk, Daniel Wittwer and Silas Rudolf
Zurich University of Applied Sciences, Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
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17.

Simulation of a Limit Order Driven Market

https://doi.org/10.3905/JOT.2009.4.1.023
Posted: 20 May 2019
Julian Lorenz and Joerg Osterrieder
Independent and Zurich University of Applied Sciences

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