Difference between revisions of "Joerg Osterrieder"

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* Fernando de Meer Pardo, Reinforcement Learning and Generative Adversarial Networks, March 2021 to February 2025, joint with Worcester Polytechnic University (WPI), US, Prof. Dr. Stephan Sturm
 
* Fernando de Meer Pardo, Reinforcement Learning and Generative Adversarial Networks, March 2021 to February 2025, joint with Worcester Polytechnic University (WPI), US, Prof. Dr. Stephan Sturm
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* Patchara Santawisook, April 2021, member of the PhD Committee, main supervisor: Prof. Dr. Stephan Sturm, Worcester Polytechnic University (WPI), US
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* Patchara Santawisook, April 27,2021, "Price Impact of VIX Futures and Two Order Book Mean-Field Games", member of the PhD Committee, main supervisor: Prof. Dr. Stephan Sturm, Worcester Polytechnic University (WPI), US
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 +
Dissertation Committee:
 +
Dr. Stephan Sturm, WPI (Advisor)
 +
Dr. Marcel Y. Blais, WPI
 +
Dr. Jörg Osterrieder, Zurich University of Applied Sciences
 +
Dr. Andrew Papanicolaou, North Carolina State University
 +
Dr. Qingshuo Song, WPI Dr. Frank Zou, WPI
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 +
 
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This Ph.D. thesis deals with the price impact in the VIX futures market from a statistical and mathematical perspective. The CBOE volatility index, VIX, is known by investors as the fear index. It was introduced to measure the investors' view on the future expected volatility of the S&P 500 stock index. Investors cannot trade the VIX index directly; however, one can trade VIX futures, which gauge the market's expectation of the 30-day implied volatility. Market volatility spiked on February 8, 2018, drawing wide attention to volatility-based products. On that day, the VIX went up more than 100% in intraday trading. The XIV, one of the VIX-based exchange-traded products (ETPs), dropped more than 80%, triggering an "acceleration event." As a consequence, the XIV issuer had to terminate this product. One of the factors contributing to this event was the architecture of the ETPs written on VIX: a daily contracts rolling where the short-term (mid-term) ETPs roll every day to maintain a weighted average of one month (five months) to expiration. Therefore, a large number of shares is expected to be acquired and liquidated every day before the market closes. We study the effect of VIX ETPs on the price of VIX futures by investigating the impact curves at different times of the trading day. We find that the impact curve corresponding to the time before market close is the lowest. Our empirical results show that impact curves exhibit a power-law. This is theoretically justified by using dimensional analysis to show that if the immediate price impact is a function of the trade size, it is given by a power function. We propose a mean-field game framework for the VIX futures market to complement our empirical study, where traders can trade in a regular order book (ROB) and a trade-at-settlement order book (TASOB). We assume that there are many high frequency traders (HFTs) in the market, and they trade in both order books. We investigate the case where the number of HFTs tends to infinity. While transactions in ROB suffer from a temporary price impact, transactions in TASOB do not, but they trade at an unknown price, the daily settlement price that is only determined at the end of the trading day. We use the extended mean-field games approach, interactions between agents through controls instead of states, to solve an optimal trading problem in two order books. We plan to extend our framework to include ETFs/ETNs to act as a major player in the VIX futures market.
 +
Tuesday, April 27, 2021
 +
 
 
* Sebastian Singer, 2021 - 2025, member of the PhD Committee, main supervisor: Prof. Dr. Ronald Hochreiter, WU Vienna, Austria
 
* Sebastian Singer, 2021 - 2025, member of the PhD Committee, main supervisor: Prof. Dr. Ronald Hochreiter, WU Vienna, Austria
 
* Dr. Rui Li, 2020, PhD examiner, main supervisor: Saralees Nadarajah, University of Manchester, UK
 
* Dr. Rui Li, 2020, PhD examiner, main supervisor: Saralees Nadarajah, University of Manchester, UK

Revision as of 21:38, 26 April 2021

Summary

Professor of Quantitative Finance, ZHAW, Switzerland

Associate Professor Artificial Intelligence and Finance, University of Twente, Netherlands 

   Research focus on Finance, Technology and Artificial Intelligence

Publications

see google scholar

Media

Services to the Academic Community

  • Book Series Editor "Financial Innovation and Technology" (Springer) (since November 2020)
  • Editor Frontier Topics in AI in Finance "Financial Risk and Blockchain" (since November 2020)
  • Editor Frontier Topics in AI in Finance and Industry (since November 2020)
  • Reviewer for the Journal of Investment Strategies (since November 2020)

PhD students

  • Fernando de Meer Pardo, Reinforcement Learning and Generative Adversarial Networks, March 2021 to February 2025, joint with Worcester Polytechnic University (WPI), US, Prof. Dr. Stephan Sturm
  • Patchara Santawisook, April 2021, member of the PhD Committee, main supervisor: Prof. Dr. Stephan Sturm, Worcester Polytechnic University (WPI), US
  • Sebastian Singer, 2021 - 2025, member of the PhD Committee, main supervisor: Prof. Dr. Ronald Hochreiter, WU Vienna, Austria

Scientific Committees

  • ECMI 2021 Conference, European Consortium for Mathematics in Industry, April 13-15, 2021, Wupperthal, Germany
  • European Conference on Artificial Intelligence in Industry and Finance, September 2021, Winterthur, Switzerland (main organizer)
  • European Conference on Artificial Intelligence in Industry and Finance, September 2020, Winterthur, Switzerland (main organizer)
  • European Conference on Artificial Intelligence in Industry and Finance, September 2019, Winterthur, Switzerland (main organizer)
  • European Conference on Artificial Intelligence in Industry and Finance, September 2018, Winterthur, Switzerland (main organizer)
  • European Conference on Artificial Intelligence in Industry and Finance, September 2017, Winterthur, Switzerland (main organizer)

Talks

  • Fintech and Artificial Intelligence in Finance, 1st International Conference on Economics and FinTech, Athens, Greece, April 12, 2021, organized within the framework of the EU H2020 project Fintech no. 825215 (topic ICT-35-2018, Type of action: CSA) and the COST Action Fintech and AI in Finance (Action Chair: Joerg Osterrieder)
  • Bitcoin and Cryptocurrencies, Third International Conference on Mathematics and Statistics, American University of Sharjah, Feb. 2020
  • Invited Research Stay at the American University of Sharjah (Feb. 2020)
  • Invited Talk at the Haindorf Seminar, Ladislaus von Bortkiewicz Chair of Statistics, International Training Group “High-Dimensional Non-Stationary Time-Series” (Jan. 2019)
  • Research stay at the Ladislaus von Bortkiewicz Chair of Statistics, International Training Group “High-Dimensional Non-Stationary Time-Series”, Nov. 26 - 30, 2018
  • 2nd Berlin Conference, Crypto-Currencies in a Digital Economy, Nov. 29/30, Berlin, Session Chair “Markets, Bank and Finance”, https://www.ccconf.org
  • 2nd Berlin Conference, Crypto-Currencies in a Digital Economy, Nov. 29/30, Berlin, “Introducing Trust into Blockchain”, https://www.ccconf.org
  • 11th Conference on Computational and Financial Econometrics (CFE 2017), University of London, Dec. 16, 2017, “Trend-following strategies for currency markets”
  • Crypto-Currencies in a Digital Economy, Einstein Center Digital Future, TU Berlin, Nov. 16, 2017, “Cryptocurrencies – Not for the faint-hearted”
  • FinTech Innovation Conference, Zurich, Mar. 2017, “Cryptocurrencies and risk management”
  • Fintech Workshop, London, Jan. 2017, “A unified standard for modelling financial contracts”
  • Keynote Speaker International Conference on Economics and Finance, Hong Kong, Jan. 2017
  • Algorithmic Trading - The Rise of the Machines (for Experts), Thursday, Sept. 15, 2016, Swiss Finance Institute Breakfast Seminar with Dr. Jörg Osterrieder
  • Algorithmic Trading, internal talk at UBS, 2016
  • Invited talk at the Conference: “Creating and Combining Alpha Streams from Big Data”, Research Symposium London, Nov. 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

Executive Education

  • Blockchain, Big Data and Distributed Ledger, Certificate of Advanced Studies (CAS), Fall 2018, Spring and Fall 2019, 2020, 2021
  • Machine Learning and Deep Learning in Finance, Continuing Education, Fall 2021

Courses

  • Topics of Financial Engineering, Spring 2021, 2020, 2019, 2018, 2017, 2016
  • Quantitative Risk Management, Spring 2021, 2017, 2016, 2015
  • Mathematics of Financial Markets I, Spring 2015, 2016
  • Mathematics of Financial Markets II, Fall 2015, 2016

Supervision of junior researchers at graduate and postgraduate level

BSc

  • Chris, Bucher, Deep Reinforcement Learning for different macro-environments, BSc, Fall 2020
  • Leander, Odermatt, Jetmir, Beqiraj, Deep Reinforcement Learning and trading in simulated stock movements, BSc, Fall 2020
  • Leander, Odermatt, Jetmir, Beqiraj, Informational gain of using global multi assets to predict S & P 500 continuous futures with Deep Reinforcement Learning, BSc, Spring 2021
  • Chris, Bucher, A practical look at risk parity in futures allocation, BSc, Spring 2021
  • Florian, Eckerli, GANs in Finance: Overview and practical applications, BSc , Spring 2021
  • Moritz, Pfenninger, Samuel, Rikli, Bigler, Daniel Nico, Generation of financial time series on the basis of Wasserstein GAN, BSc, Fall 2020

MSc

  • Antonio, Rosolia, Analyzing deep generated financial time series for various asset classes, MSc, Spring 2021

PhD

  • Fernando de Meer Pardo, Reinforcement Learning and Generative Adversarial Networks, March 2021 to February 2025, joint with Worcester Polytechnic University (WPI), US, Prof. Dr. Stephan Sturm
  • Patchara Santawisook, April 27,2021, "Price Impact of VIX Futures and Two Order Book Mean-Field Games", member of the PhD Committee, main supervisor: Prof. Dr. Stephan Sturm, Worcester Polytechnic University (WPI), US

Dissertation Committee: Dr. Stephan Sturm, WPI (Advisor) Dr. Marcel Y. Blais, WPI Dr. Jörg Osterrieder, Zurich University of Applied Sciences Dr. Andrew Papanicolaou, North Carolina State University Dr. Qingshuo Song, WPI Dr. Frank Zou, WPI


This Ph.D. thesis deals with the price impact in the VIX futures market from a statistical and mathematical perspective. The CBOE volatility index, VIX, is known by investors as the fear index. It was introduced to measure the investors' view on the future expected volatility of the S&P 500 stock index. Investors cannot trade the VIX index directly; however, one can trade VIX futures, which gauge the market's expectation of the 30-day implied volatility. Market volatility spiked on February 8, 2018, drawing wide attention to volatility-based products. On that day, the VIX went up more than 100% in intraday trading. The XIV, one of the VIX-based exchange-traded products (ETPs), dropped more than 80%, triggering an "acceleration event." As a consequence, the XIV issuer had to terminate this product. One of the factors contributing to this event was the architecture of the ETPs written on VIX: a daily contracts rolling where the short-term (mid-term) ETPs roll every day to maintain a weighted average of one month (five months) to expiration. Therefore, a large number of shares is expected to be acquired and liquidated every day before the market closes. We study the effect of VIX ETPs on the price of VIX futures by investigating the impact curves at different times of the trading day. We find that the impact curve corresponding to the time before market close is the lowest. Our empirical results show that impact curves exhibit a power-law. This is theoretically justified by using dimensional analysis to show that if the immediate price impact is a function of the trade size, it is given by a power function. We propose a mean-field game framework for the VIX futures market to complement our empirical study, where traders can trade in a regular order book (ROB) and a trade-at-settlement order book (TASOB). We assume that there are many high frequency traders (HFTs) in the market, and they trade in both order books. We investigate the case where the number of HFTs tends to infinity. While transactions in ROB suffer from a temporary price impact, transactions in TASOB do not, but they trade at an unknown price, the daily settlement price that is only determined at the end of the trading day. We use the extended mean-field games approach, interactions between agents through controls instead of states, to solve an optimal trading problem in two order books. We plan to extend our framework to include ETFs/ETNs to act as a major player in the VIX futures market. Tuesday, April 27, 2021

  • Sebastian Singer, 2021 - 2025, member of the PhD Committee, main supervisor: Prof. Dr. Ronald Hochreiter, WU Vienna, Austria
  • Dr. Rui Li, 2020, PhD examiner, main supervisor: Saralees Nadarajah, University of Manchester, UK
  • Dr. Idika Okorie, 2019, PhD examiner, main supervisor: Saralees Nadarajah, University of Manchester, UK
  • Dr. M. Weibel, 2019, PhD examiner, main supervisor: Juri Hinz, University of Technology, Sydney, Australia

other graduate and post-graduate students

  • Florian Bozdharaj, since 2019
  • Florian Hinz, 2020
  • Dr. Branka Hadji Misheva, University of Pavia, 2020
  • Piotr Kotlarz, University of Liechtenstein, since 2018
  • Matas Pocevicius, Finance industry, 2017 – 2018
  • Dr. Martin Wiegand, 2018, University of Manchester
  • Dr. Daniel Kucharczyk, Finance industry, 2017- 2019

Research projects

More details as of April 2021

  • Strengthening Swiss Financial SMEs through Applicable Reinforcement Learning / Deputy project leader / Project ongoing
  • COST Action Fintech and Artificial Intelligence in Finance - Grant Holder / Project leader / Project ongoing
  • Towards Explainable Artificial Intelligence and Machine Learning in Credit Risk Management / Project co-leader / Project ongoing
  • Decentralized financing of Fairtrade producers using a blockchain-based solution / Deputy project leader / Project ongoing
  • Advanced/AI-supported Rating Models for P2P systems / Project co-leader / Project ongoing
  • Currency hedging for SMEs and pension funds / Project leader / Project ongoing
  • 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
  • Digitalisation non-bankable assets (specifically: art) / 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-based model to enhance the financing of fairtrade producers / Team member / Project completed
  • 4th Conference Finance and Industry 2019 / Project leader / Project completed
  • European 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
  • Swisscom E-Signatur TP Technik / Project leader / Project completed
  • 3rd European COST Conference on Mathematics for Industry in Switzerland / Project leader / Project completed
  • Blockchain and Virtual Currencies / 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

Proposed research topics

  • April 2021: Czech Republic, Switzerland (B. Hadji Misheva, E. Baumohl, Š. Lyócsa, O. Deev, T. Plíhal, J. Osterrieder, A. Posth, C. Schmidhuber, P. Schwendner), SNF Lead Agency Process, "Network-based credit risk models in P2P lending markets"

Outreach activities

  • Research workshop on Blockchain at the Hungarian Central Bank (April 2021)
  • Research workshop on Artificial Intelligence at the Hungarian Central Bank (March 2020)
  • Research workshop on Big Data at the Hungarian Central Bank (June 2019)
  • Swissnex mobility grant, New York City (2016)
  • "Von Chatbots, Tradingrobotern und Versicherungsoptimierern", contribution to ZHAW Impact (2019)
  • Academia-industry roundtable discussion: Big Data Analytics – FinTech Risk Management Tools (July 2019)
  • Organization of Academia-Industry conferences:
  • 5th European Conference on AI in Finance and Industry (2020)
  • 4th European Conference on AI in Finance and Industry (2019), 30 speakers; 250 participants from Switzerland and 19 European countries
  • 3rd European COST Conference on AI in Finance and Industry (2018), 30 speakers; 260 participants from Switzerland and 16 European countries
  • 2nd European COST Conference on AI in Finance and Industry (2017), 20 speakers; 180 participants from within Switzerland and across Europe
  • 1st European COST Conference on Mathematics for Industry (2016), 20 speakers; 120 participants from within Switzerland
  • Many Academia-Industry research projects with knowledge transfer since 2015
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