Prof. Dr. Jörg Robert Osterrieder

Profil

Prof. Dr. Jörg Robert Osterrieder Dozent

  • Adresse Berner Fachhochschule
    Gestion
    Institut Applied Data Science & Finance
    Brückenstrasse 73
    3005 Bern

Activités

  • Professor für Sustainable Finance

Enseignement

  • Master in Business Administration

  • Master in Business Informatics

  • Bachelor in International Business Administration

  • Digital Finance

  • Sustainable Finance

  • Machine Learning for Finance

  • Artificial Intelligence for Finance

Recherche

  • Artificial Intelligence in Finance

  • Machine Learning in Finance

  • Sustainable Finance

  • Digital Finance

Parcours professionnel

  • Jörg Osterrieder ist Professor für Sustainable Finance an der BFH, Schweiz, und Associate Professor für Finance und Artificial Intelligence an der Universität Twente, Niederlande. Er arbeitet seit mehr als 15 Jahren in den Bereichen Finanzstatistik, Quantitative Finance, Algorithmic Trading und Digitalisierung der Finanzindustrie. Jörg ist der Action Chair der European COST Action 19130 Fintech and Artificial Intelligence in Finance, einem interdisziplinären Forschungsnetzwerk, das mehr als 200 Forschende aus 49 Ländern weltweit vereint. Er war Studienleiter für einen CAS zu „Big Data Analytics, Blockchain and Distributed Ledger“, Co-Studienleiter für „Machine Learning and Deep Learning in Finance“ und war Hauptorganisator einer jährlichen Forschungskonferenz zu Artificial Intelligence in Industry and Finance seit 2016. Er ist Gründungsmitherausgeber von Digital Finance, Herausgeber von Frontiers Artificial Intelligence in Finance und regelmäßiger Gutachter für wissenschaftliche Zeitschriften. Darüber hinaus fungiert er als Gutachter für die Europäische Kommission für die Programme „Executive Agency for Small & Medium-sized Enterprises“ und „European Innovation Council Accelerator Pilot“. Zuvor arbeitete er als Executive Director bei Goldman Sachs und Merrill Lynch, als quantitativer Analyst bei AHL sowie als Senior Vice President bei der Credit Suisse Group. Jörg ist nun auch an der Schnittstelle von Wissenschaft und Industrie tätig und konzentriert sich auf den Transfer von Forschungsergebnissen in die Finanzdienstleistungsbranche, um praktische Lösungen umzusetzen.

    In den letzten sechs Jahren war er Projektleiter oder Mitglied von mehr als 30 geförderten Forschungsprojekten (Innosuisse, SNF, EU H2020, Horizon Europe, SNF Weave, direkte Industrieförderung) sowohl auf nationaler als auch auf internationaler Ebene. Weitere Details: https://wiki.fin-ai.eu/index.php/Joerg_Osterrieder
  • 2015 - 2022 Professor of Finance and Risk Management ZHAW
  • 2012 - 2015 Portfolio Management and Quantitative Analysis Man Investments, Pfäffikon, Switzerland
  • 2012 - 2012 Senior Vice President, Regulatory Projects Credit Suisse Group, Zürich, Switzerland
  • 2009- 2012 Vice President Global Markets Goldman Sachs, London, UK
  • 2007 - 2009 Associate Global Markets Merrill Lynch, London, UK
  • 2003 - 2007 PhD Financial Mathematics ETH Zürich, Schweiz

Projets

  • Action Chair COST Action 19130 Fintech and Artificial Intelligence in Finance

  • SNF project: Anomaly and fraud detection in blockchain networks

  • SNF project: Network-based credit risk models in P2P lending markets

Publications

  • Osterrieder, Jörg R; Rheinländer, Thorsten; Arbitrage opportunities in diverse markets via a non-equivalent measure change,Annals of Finance,2,3,287-301,2006,Springer-Verlag
    Lorenz, Julian; Osterrieder, Jörg; ,Simulation of a limit order driven market,The Journal Of Trading,4,1,23-30,2008,Institutional Investor Journals Umbrella
    Osterrieder, Jörg Robert; ,"Arbitrage, the limit order book and market microstructure aspects in financial market models",2007,"Diss., Eidgenössische Technische Hochschule ETH Zürich, Nr. 17121
    Osterrieder, Joerg; Lorenz, Julian; ,A statistical risk assessment of Bitcoin and its extreme tail behavior,Annals of Financial Economics,12,01,1750003,2017,World Scientific Publishing Company
    Osterrieder, Joerg; A Dynamic Market Microstructure Model with Insider Information and Order Book,Available at SSRN 676028,2005,
    Osterrieder, Joerg; The statistics of bitcoin and cryptocurrencies,Available at SSRN 2872158,2016,
    Osterrieder, Joerg; A Theoretical Model of the Limit Order Book and Some Applications,Available at SSRN 881274,2006,
    Osterrieder, Joerg; Strika, Martin; Lorenz, Julian; ,Bitcoin and cryptocurrencies—not for the faint-hearted,International Finance and Banking,4,1,56,2017,
    Chan, Stephen; Chu, Jeffrey; Nadarajah, Saralees; Osterrieder, Joerg; ,A statistical analysis of cryptocurrencies,Journal of Risk and Financial Management,10,2,12,2017,MDPI
    Rohrbach, Janick; Suremann, Silvan; Osterrieder, Joerg; Momentum and trend following trading strategies for currencies revisited-combining academia and industry,Available at SSRN 2949379,,,,2017,
    Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; Osterrieder, Joerg; GARCH modelling of cryptocurrencies,Journal of Risk and Financial Management,10,4,17,2017,MDPI
    Gabler, Andreas; Wiegand, Martin; Osterrieder, Joerg; ,"Pricing, Loss and Sensitivity Analysis of Barrier Options via Regression",Available at SSRN 3194111,,,,2018,
    Gabler, Andreas; Perez, Dominique; Sutter, Ueli; Kucharczyk, Daniel; Osterrieder, Joerg; Reitenbach, Markus; Pattern Learning Via Artificial Neural Networks for Financial Market Predictions,Availa
    Kucharczyk, Daniel; Osterrieder, Joerg; Rudolf, Silas; Wittwer, Daniel; ,Neural Networks and Arbitrage in the VIX–A Deep Learning Approach for the VIX,Available at SSRN 3305686,,,,2018,
    Osterrieder, Joerg; Vetter, Lars; Röschli, Kevin; ,The VIX volatility index-A very thorough look at it,Available at SSRN 3311727,2019,
    Giudici, Paolo; Hochreiter, Ronald; Osterrieder, Jörg; Papenbrock, Jochen; Schwendner, Peter; AI and financial technology,Frontiers in Artificial Intelligence,2,,25,2019,Frontiers Media SA
    Osterrieder, Jörg; Barletta, Andrea; ,Editorial on the Special Issue on Cryptocurrencies,Digital Finance,1,1,1-4,2019,Springer International Publishing
    Osterrieder, Joerg; Kucharczyk, Daniel; Rudolf, Silas; Wittwer, Daniel; ,Neural networks and arbitrage in the VIX,Digital Finance,2,1,97-115,2020,Springer International Publishing
    Choudary, Jabar; Osterrieder, Joerg; ,Machine Learning Tools for Probability of Default and Rating Downgrades of Corporate and Government Bonds,SSRN ELibrary,,,3461558,2019,Elsevier
    Osterrieder, Joerg; Barletta, Andrea; ,Special Issue on Cryptocurrencies,2020,
    Hirsa, Ali; Osterrieder, Joerg; Misheva, Branka Hadji; Cao, Wenxin; Fu, Yiwen; Sun, Hanze; Wong, Kin Wai; ,The VIX index under scrutiny of machine learning techniques and neural networks,arXiv prep
    Misheva, Branka Hadji; Osterrieder, Joerg; Hirsa, Ali; Kulkarni, Onkar; Lin, Stephen Fung; ,Explainable AI in credit risk management,arXiv preprint arXiv:2103.00949,2021,
    Posth, Jan-Alexander; Kotlarz, Piotr; Misheva, Branka Hadji; Osterrieder, Joerg; Schwendner, Peter; ,The applicability of self-play algorithms to trading and forecasting financial markets,Frontiers
    Odermatt, Leander; Beqiraj, Jetmir; Osterrieder, Joerg; ,Deep Reinforcement Learning for Finance and the Efficient Market Hypothesis,Available at SSRN 3865019,2021,
    Hirsa, Ali; Osterrieder, Joerg; Hadji-Misheva, Branka; Posth, Jan-Alexander; ,Deep reinforcement learning on a multi-asset environment for trading,arXiv preprint arXiv:2106.08437,2021,
    Eckerli, Florian; Osterrieder, Joerg; ,Generative Adversarial Networks in finance: an overview,arXiv preprint arXiv:2106.06364,2021,
    Samuel, Rikli; Nico, Bigler Daniel; Moritz, Pfenninger; Joerg, Osterrieder; ,Wasserstein GAN: Deep Generation applied on Bitcoins financial time series,arXiv preprint arXiv:2107.06008,2021,
    Pfenninger, Moritz; ,Generative Adversarial Network For synthetic data on Bitcoin returns,Available at SSRN 3864867,2021,
    Rosolia, Antonio; Osterrieder, Joerg; ,Analyzing Deep Generated Financial Time Series for Various Asset Classes,Available at SSRN 3898792,2021,
    Hadji Misheva, Branka; Jaggi, David; Posth, Jan-Alexander; Gramespacher, Thomas; Osterrieder, Joerg; Audience-Dependent Explanations for AI-Based Risk Management Tools: A Survey,Frontiers in Artif

  • Pfenninger, Moritz; Bigler, Daniel Nico; Rikli, Samuel; Osterrieder, Joerg; Wasserstein gan: Deep generation applied on financial time series,Available at SSRN 3885659,2021,
    Bucher, Chris; Osterrieder, Joerg; Risk Parity for Multi-Asset Futures Allocation–A Practical Analysis of the Equal Risk Contribution Portfolio,Available at SSRN 3858730,2021,
    Farokhnia, Kia; Osterrieder, Joerg; High-Frequency Causality between Stochastic Volatility Time Series: Empirical Evidence,Available at SSRN 4087569,2022,
    Farokhnia, Kia; Osterrieder, Joerg; High-Frequency Causality in the VIX Index and its derivatives: Empirical Evidence,arXiv preprint arXiv:2206.13138,2022,
    Zejnullahu, Frensi; Moser, Maurice; Osterrieder, Joerg; ,Applications of Reinforcement Learning in Finance--Trading with a Double Deep Q-Network,arXiv preprint arXiv:2206.14267,2022,
    Fu, Weilong; Hirsa, Ali; Osterrieder, Jörg; Simulating financial time series using attention,arXiv preprint arXiv:2207.00493,2022,
    Henrici, Andreas; Osterrieder, Jörg; "Artificial Intelligence in Finance and Industry: Highlights from 6 European COST Conferences",Frontiers in Artificial Intelligence,187,,Frontiers

Affiliations

  • Action Chair COST Action 19130 Fintech and Artificial Intelligence in Finance

  • Bachelier Finance Society

  • Kickstart AI - National Initiative to promote Artificial Intelligence in the Netherlands

  • American Finance Association