Joerg Osterrieder

Zurich University of Applied Sciences

Professor of Finance

Economics and Finance

Technikumstrasse 9

Winterthur, 8401

Switzerland

http://www.zhaw.ch

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 5,931

in Total Papers Downloads

8,902

SSRN CITATIONS
Rank 19,766

SSRN RANKINGS

Top 19,766

in Total Papers Citations

35

CROSSREF CITATIONS

17

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

Scholarly Papers (19)

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 3,239 (4,232)
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.

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 1,421 (16,234)
Citation 5

Abstract:

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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 934 (30,178)
Citation 14

Abstract:

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Exchange rate, Distributions, Blockchain, Bitcoin, Cryptocurrencies

4.

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 874 (33,111)
Citation 5

Abstract:

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

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 851 (34,347)
Citation 5

Abstract:

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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 447 (78,956)
Citation 1

Abstract:

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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 418 (85,456)

Abstract:

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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 223 (166,837)
Citation 18

Abstract:

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Exchange rate, Maximum likelihood, Value at Risk

9.

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 130 (265,091)

Abstract:

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

10.

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 75 (383,069)

Abstract:

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

11.

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: 11 Jun 2021
Chris Bucher and Joerg Osterrieder
Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 69 (401,037)

Abstract:

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

12.

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 67 (404,206)

Abstract:

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

13.

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 41 (502,970)

Abstract:

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

14.

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 39 (512,148)

Abstract:

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Arbitrage, Measure Change, Diverse Markets, Martingale

15.

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 36 (526,630)

Abstract:

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

16.

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 26 (582,516)

Abstract:

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market microstructure, insider trading, limit order traders, multiperiod

17.

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 10 (695,122)

Abstract:

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

18.

Deep reinforcement learning on a multi-asset environment for trading

Number of pages: 18
Columbia University, Zurich University of Applied Sciences, Zurich University of Applied Sciences and ZHAW School of Management and Law
Downloads 2

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Reinforcement Learning, Deep Learning, Finance, trading strategies

19.

Simulation of a Limit Order Driven Market

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

Other Papers (1)

Total Downloads: 81
1.

THE VIX INDEX UNDER SCRUTINY OF MACHINE LEARNING TECHNIQUES AND NEURAL NETWORKS

Number of pages: 19 Posted: 03 Mar 2021
Columbia University, Zurich University of Applied Sciences, Zurich University of Applied Sciences, Columbia University, Columbia University, Columbia University and Columbia University
Downloads 81 (380,082)

Abstract:

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VIX, Machine Learning, Deep Learning, VIX futures