Prof. Dr. Jörg Osterrieder

Personal profile

Position at the ZHAW

Detailed CV: drive.google.com/open
Professor of Finance and Risk Modelling
* Member of the Management Committee "Mathematics for Industry" (COST Action TD1409) for Switzerland (2015 - )
* Reviewer for multiple academic journals (2014 - )
* Reviewer for Annals of Operations Research (Springer)
* Reviewer for Journal of Banking and Finance (since 2018)
* Reviewer for Empirical Economics (Springer, since 2018)
* Associate Editor of the Journal "Digital Finance" (Springer)
* Co-Editor, Special Issue on "Cryptocurriences" in "Digital Finance"
* External examiner for PhD thesis of Rui Li (Dep. of Statistics, Manchester University, UK)

www.zhaw.ch/idp

Expertise and research interests

Quantitative Risk Management, Automation, Digitalization and industrialization of the finance industry, financial mathematics, algorithmic trading, portfolio management, Fintech

Educational background

PhD ETH Zürich (Financial Mathematics)
Master of Science Mathematics
Diplom Business and Mathematics
CAS Hochschuldidaktik

Professional milestones

2012 - 2014: Man Investments
2012 - 2012: Credit Suisse Group, Senior Vice President, Member of Senior Management
2009 - 2012: Goldman Sachs
2007 - 2009: Merill Lynch
2002: The Boston Consulting Group
2001: Oliver Wyman

Talks and Conferences:

• 11th Conference on Computational and Financial Econometrics (CFE 2017), University of London, 16 December, 2017, “Trend-following strategies for currency markets”
• Crypto-Currencies in a Digital Economy, Einstein Center Digital Future, TU Berlin, November 16, 2017, “Cryptocurrencies – Not for the faint-hearted”
• FinTech Innovation Conference, Zurich, March 2017, "Cryptocurrencies and risk management challenges"
• Fintech Workshop, London, January 2017, "Actus - A unified standard for modelling financial contracts"
• Best paper award for the paper "Statistics of Bitcoin and Cryptocurrencies", International Conference on Economics, Finance and Statistics, Hong Kong, January 2017
• Keynote Speaker International Conference on Economics, Finance and Statistics, Hong Kong, January 2017
• Algorithmic Trading - The Rise of the Machines (for Experts), Thursday, September 15, 2016, Swiss Finance Institute Breakfast Seminar with Dr. Jörg Osterrieder
• Algorithmischer Handel - ein Überblick aus der Sicht der Praxis, Mittwoch, 7. September, 2016
• Algorithmic Trading, internal talk at UBS talk
• Invited talk at the Conference: "Creating and Combining Alpha Streams from Big Data", Research Symposium London, November 19, 2015, Ravenpack
• Moderation of the Conference "Alpha Trader Forum (ATF)", May 2017, participants were heads of trading from Germany, Switzerland, Austria, dach.buysideintel.com

Teaching:

• Finalist teaching award 2016, "Förderung vernetzten Denkens":
intra.zhaw.ch/studium-hsb-international/studium/lehren-und-lernen/veranstaltungen-und-schulungen/best-teaching-best-practices.html

Membership of networks

• Bachelier Finance Society
• Alumni Studienstiftung des deutschen Volkes
• Schweizerische Mathematische Gesellschaft
• European Mathematical Society
• International Engineering and Technology Institute
• European Finance Association
• American Finance Association

Projects

• Strengthening Swiss Financial SMEs through Applicable Reinforcement Learning / Deputy project leader / Project ongoing
• Decentralized financing of Fairtrade producers using a blockchain-based solution / Deputy project leader / Project ongoing
• COST Action – Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry / Project leader / Project completed
• Towards Explainable Artificial Intelligence and Machine Learning in Credit Risk Management / Project co-leader / Project completed
• Advanced/AI-supported Rating Models for P2P systems / Project co-leader / Project completed
• Hybrid Approach for Robust Identification and Measurement of Investors Driving Corporate Sustainability and Innovation. Design of Policy Tools for Evaluating the Impact of Specific Investors and Assessing the Quality of Companies’ Investor Bases. / Project leader / Project completed
• Digitalisierung nicht bankfähiger Vermögenswerte (insbesondere Kunst) / Deputy project leader / Project completed
• Deep Learning & Neuronal Networks: Selbstständige KI-Agenten zur Entwicklung von neuartigen Handelsstrategien im Asset Management auf Basis von Self-Play / Deputy project leader / Project completed
• Assessment of derivatives-based hedging solutions / Project co-leader / Project completed
• Blockchain-basiertes Modell zur besseren Finanzierung von Fairtrade-Produzenten / Team member / Project completed
• 4th Conference Finance and Industry 2019 / Project leader / Project completed
• Europäische Workshops in Finance / Project leader / Project completed
• FIN-TECH – Financial Supervision and Technology Compliance Training Programme / Project leader / Project completed
• Big Data Analytics Research / Project leader / Project completed
• Digitales Immobilien Dossier (DIGIM) / Project co-leader / Project completed
• Währungsabsicherung für KMUs und Pensionskassen / Project leader / Project completed
• Swisscom E-Signatur TP Technik / Project leader / Project completed
• 3rd European COST Conference on Mathematics for Industry in Switzerland / Project leader / Project completed
• Blockchain und virtuelle Währungen / Project leader / Project completed
• Large Scale Data-Driven Financial Risk Modelling / Team member / Project completed
• 2nd European COST Conference on Mathematics for Industry in Switzerland / Project leader / Project completed
• Mathematics and Fintech: The next revolution in the digital transformation of the finance industry / Project leader / Project completed
• Vernetztes Denken als Erfolgsfaktor für ein ganzheitliches Verständnis von globalen Finanzmärkten / Project leader / Project completed
• Swissnex Research Stay New York / Project leader / Project completed
• 1st European COST Conference on Mathematics for Industry in Switzerland / Project leader / Project completed
• Quantitative trading strategies / Project leader / Project completed
• Long historical data for futures / Project leader / Project completed
• Automation and industrialization of quantitative research / Project leader / Project completed
• RENERG2 - RENewable enERGies in future energy supply / Team member / Project completed

Publications

• Posth, Jan-Alexander; Kotlarz, Piotr Kamil; Hadji Misheva, Branka; Osterrieder, Jörg; Schwendner, Peter,

  2021.

  The applicability of self-play algorithms to trading and forecasting financial markets.

  Frontiers in Artificial Intelligence.

  4(668465).

  Available from: https://doi.org/10.3389/frai.2021.668465

• Hadji Misheva, Branka; Jaggi, David; Posth, Jan-Alexander; Gramespacher, Thomas; Osterrieder, Joerg,

  2021.

  Audience-dependent explanations for AI-based risk management tools : a survey.

  Frontiers in Artificial Intelligence.

  4(794996).

  Available from: https://doi.org/10.3389/frai.2021.794996

• Giudici, Paolo; Hochreiter, Ronald; Osterrieder, Jörg; Papenbrock, Jochen; Schwendner, Peter,

  2019.

  Editorial : AI and financial technology.

  Frontiers in Artificial Intelligence.

  2(25).

  Available from: https://doi.org/10.3389/frai.2019.00025

• Osterrieder, Jörg; Lorenz, Julian,

  2017.

  A statistical risk assessment of bitcoin and its extreme tail behaviour.

  Annals of Financial Economics.

  12(1).

  Available from: https://doi.org/10.1142/S2010495217500038

• Osterrieder, Jörg; Strika, Martin; Lorenz, Julian,

  2017.

  Bitcoin and cryptocurrencies - not for the faint-hearted.

  International Finance and Banking.

  4(1), pp. 56-94.

  Available from: https://doi.org/10.5296/ifb.v4i1.10451

• Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; Osterrieder, Jörg,

  2017.

  GARCH modelling of cryptocurrencies.

  Journal of Risk and Financial Management.

  10(17).

  Available from: https://doi.org/10.3390/jrfm10040017

• Osterrieder, Jörg,

  2017.

  The statistics of bitcoin and cryptocurrencies [paper].

  In:

  2017 International Conference on Economics, Finance and Statistics (ICEFS 2017).

  2017 International Conference on Economics, Finance and Statistics (ICEFS 2017), Hong Kong, 14-15 January 2017.

  Atlantis Press.

  Advances in Economics, Business and Management Research (AEBMR) ; 26.

  Available from: https://doi.org/10.2991/icefs-17.2017.33

• Hirsa, Ali; Osterrieder, Jörg; Hadji Misheva, Branka; Posth, Jan-Alexander,

  2021.

  Deep reinforcement learning on a multi-asset environment for trading.

  arXiv.

  Available from: https://doi.org/10.21256/zhaw-22850

• Posth, Jan-Alexander; Hadji Misheva, Branka; Kotlarz, Piotr Kamil; Osterrieder, Jörg; Schwendner, Peter,

  2020.

  The applicability of self-play algorithms to trading and forecasting financial markets : a feasibility study.

  SSRN.

  Available from: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3737714

• Rohrbach, Janick; Suremann, Silvan; Osterrieder, Jörg,

  2017.

  Momentum and trend following trading strategies for currencies revisited : combining academia and industry.

  International Finance eJournal.

  9(72).

  Available from: https://doi.org/10.2139/ssrn.2949379

• Fritzmann, Siro; Jaggi, David; Osterrieder, Jörg,

  2017.

  A statistical analysis of carry trading.

  International Finance eJournal.

  Available from: https://doi.org/10.2139/ssrn.2993902

Publications before appointment at the ZHAW

o Jörg Osterrieder & Thorsten Rheinländer, 2006. "Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change", Annals of Finance, Springer, vol. 2(3), pages 287-301, July.
o Jörg Osterrieder, 2007. “Arbitrage, the Limit Order Book and Market Microstructure
Aspects in Financial Market Models”, Diss. ETH No. 17121.
o Jörg Osterrieder & Julian Lorenz, 2008. “Simulation of a Limit Order Driven Market”, The Journal of Trading, Winter 2008.

go back