Joerg Osterrieder

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Summary

Joerg Osterrieder is Associate Professor of Finance and Artificial Intelligence at the University of Twente in the Netherlands, Professor of Sustainable Finance at Bern Business School in Switzerland, and Advisor on Artificial Intelligence to the ING Group's Global Data Analytics Team. He has more than 15 years of experience in financial statistics, quantitative finance, algorithmic trading, and the digitization of the finance industry. Joerg is the Chair of the European COST Action 19130 Fintech and Artificial Intelligence in Finance, an interdisciplinary research network comprised of over 200 researchers from 49 countries. He is the director of studies for an executive education course titled "Blockchain, Machine Learning, and Data Science in Finance" and the primary organizer of a series of annual research conferences on Artificial Intelligence in Finance. He is a founding associate editor of Digital Finance, editor of Frontiers Artificial Intelligence in Finance, and frequent reviewer for leading academic journals. He also serves as an expert reviewer for the European Commission's "Executive Agency for Small and Medium-Sized Enterprises" and "European Innovation Council Accelerator Pilot" programs. In close collaboration with the Finance industry, he has led or co-led over thirty national and international research projects on a wide range of quantitative, data-driven topics over the past few years. Previously he worked as an executive director at Goldman Sachs and Merrill Lynch, as quantitative analyst at AHL as well as a member of the senior management at Credit Suisse Group. Joerg is now active at the intersection of academia and industry, focusing on the implementation of research results in the financial services industry.

Research Interests

European COST (Cooperation in Science and Technology) Action 19130 Fintech and Artificial Intelligence in Finance

I am the Action Chair of the COST Action Fintech and AI in Finance. With a network of 49 countries and 200+ researchers, we are working on a substantial number of research topics, including, but not limited to: Reinforcement learning for trading, Sentiment analysis for Finance, Machine learning for Finance, Fintech applications, Blockchain and Cryptocurrencies.

Global reseearch cooperations

I have close research cooperations with academics from around the globe

  • Professor Ali Hirsa, Columbia University, US, jointly working on synthetic data generation, reinforcement learning for finance, explainable artificial intelligence, co-supervising MSc and PhD students
  • Professor Stephan Sturm, Worcester Polytechnic Institute, US, working on financial mathematics, including reinforcement learning for Finance, co-supervising MSc and PhD students
  • Dr. Alex Posth, Zurich University of Applied Sciences, Switzerland, working on self-play algorithms for Finance
  • Professor Stephen Chan, American University of Sharjah, UAE, working on blockchain and cryptocurrencies
  • Professor Saralees Nadarajah, Manchester University, UK, working on statistical properties of cryptocurrencies
  • Professor Codruta Mare, Babes-Bolyai University, Romania, working on sentiment analysis for Finance
  • Professor Ioana-Florina Coita, University of Oradea, Romania, working on sentiment analysis for Finance
  • Professor Branka Hadji Misheva, Bern University of Applied Sciences, Switzerland, working on reinforcement learning for finance and explainable AI for Finance
  • Professor Ronald Hochreiter, Vienna University of Business and Economics, Austria, working on AI and financial technology

PhD Co-supervision and PhD committees

I am involved in the PhD Co-Supervision and PhD committees of several universities in Europe and the US.

Patchara Santawisook, August 2022, "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, University of Twente, Dr. Andrew Papanicolaou, North Carolina State University, Dr. Qingshuo Song, WPI Dr. Frank Zou, WPI Sebastian Singer, 2021 - 2025, co-advisor and member of the PhD Committee, main supervisor: Prof. Dr. Ronald Hochreiter, WU Vienna, Austria Dr. Piotr Kotlarz, 2019 - 2023, local advisor, PhD at University of Liechtenstein Dr. Branka Hadji Misheva, 2019 - 2023, local advisor, PhD at University of Pavia, Italy 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

ING Group - University of Twente Cooperation - Associate Professorship Finance and Artificial Intelligence

I am working closing with ING Group, the Global Analytics team, on advanced, quantitative, data-driven research projects, relevant both for academia and industry.

1. Applications of synthetic data generation for Finance

•Testing trading strategies robustness, comparing portfolio construction methods, estimating the risk of a portfolio or a strategy, alternative pricing and hedging of options and other derivatives, generating trading signals, detecting anomalies in fundamental data, with a particular focus on using generative adversarial networks.

•Synthetic generator for (arbitrage-free) volatility surfaces

•Synthetic data generators that are differentially private, i.e. do not leak information about the original data, and still have enough features

2. Research on risk management related topics

3. Privacy-enhancing techniques for storing and analysing confidential data

4. Federated Learning. This is a machine learning technique that trains an algorithm across multiple servers holding local data samples, without exchanging them. Research is needed into how this can be used in Finance applications, especially those that use confidential data.

5. Applications of Reinforcement learning in Finance. Existing applications include portfolio optimization and optimal trade execution. Further research is needed to extend this technique to other areas in finance.

6. The value of innovation projects in Finance. Innovative projects have a high-risk of failure and are often also focused on cost reduction and loss-avoidance topics. Therefore the impact on the P&L of the company is not immediately clear. The project is supposed to find ways of measuring the cost/benefit ratio and provide a conceptual approach.

7. The use of "meta labeling" technique (tailored to non-HFT strategies). The approach consist in building a secondary ML model that learns how to use a primary exogenous model. It can help build an ML system on top of a white box (like a fundamental model founded on economic theory). The advantages of the approach is that it uses a way higher signal to noise ratio than when applying ML directly to (very noisy) traditional financial data.

8. Early warning systems for credit risk. Despite many years of research into credit risk, large and unexpected losses still happen frequently. Research on the causal relationships between market prices and external ratings as well as applying machine learning techniques and using new datasets for predicting downgrading and default of loans is beneficial to reduce credit losses.

Academic Appointments

  • June 2021 – University of Twente, Netherlands

Department of High-tech Business and Entrepreneurship Professor of Finance and Artificial Intelligence

  • August 2022 – Bern University of Applied Sciences, Switzerland

Institute of Applied Data Science and Finance Professor of Sustainable Finance

  • January 2017 – July 2022 Zurich University of Applied Sciences, Switzerland

Professor of Finance and Risk Management

  • January 2015 – December 2016 Zurich University of Applied Sciences, Switzerland

Senior Lecturer in Quantitative Finance

Industry Experience

  • 2012 - 2015: Man Investments, Pfäffikon, Switzerland
  • 2012: Senior Vice President, Credit Suisse Group, Regulatory Projects, Zürich, Switzerland
  • 2009- 2012: Vice President, Global Markets, Goldman Sachs, London, UK
  • 2007- 2009: Associate, Global Markets, Merrill Lynch, London, UK

Recent Publications

  • Google Scholar
  • Arxiv Author
  • OrcID: 0000-0003-0189-8636
  • May 2021: The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets, Jan-Alexander Posth, Piotr Kamil Kotlarz, Branka Hadji-Misheva, Joerg Osterrieder, Peter Schwendner, 31 May 2021, Frontiers Artificial Intelligence - Artificial Intelligence in Finance, https://doi.org/10.3389/frai.2021.668465
  • Hirsa, A., Osterrieder, J., Misheva, B.H., Cao, W., Fu, Y., Sun, H., & Wong, K.W. (2021). The VIX index under scrutiny of machine learning techniques and neural networks. arxiv
  • Hirsa, Ali and Hadji Misheva, Branka and Osterrieder, Joerg and Posth, Jan-Alexander, Deep reinforcement learning on a multi-asset environment for trading (June 15, 2021). Available at SSRN: https://ssrn.com/abstract=3867800

Publications and Preprints

Working papers

[1] J. Osterrieder, Review and discussion of “Programmable Money: Next-Generation Blockchain-Based Conditional Payments" by I. Weber and M. Staples, Digital Finance, forth-coming, 2022

[2] A. Hirsa, J. Osterrieder, B. Hadji-Misheva, and J.-A. Posth. Deep reinforcement learning on a multi-asset environment for trading. arXiv preprint arXiv:2106.08437, 2021.

[3] B. H. Misheva, J. Osterrieder, A. Hirsa, O. Kulkarni, and S. F. Lin. Explainable AI in credit risk management. arXiv preprint arXiv:2103.00949, 2021.

[4] B. Affolter, H. Bärtschi, C. Gosdenoz, J. Osterrieder. Economic, legal and technical considerations for FairTrade using tokens and blockchain, 2021

[5] N. Königstein and J. Osterrieder, Dynamic and Context-Dependent Stock Price Prediction Using Attention Modules and News Sentiment, 2022

Publications

[6] B. Hadji Misheva, D. Jaggi, J. Posth, T. Gramespacher, J. Osterrieder, Audience-dependent Explanations for AI-based Risk Management Tools: A Survey, Frontiers in Artificial Intelligence, 186, 2021

[7] J.-A. Posth, P. Kotlarz, B. H. Misheva, J. Osterrieder, and P. Schwendner. The applicability of self-play algorithms to trading and forecasting financial markets. Frontiers in Artificial Intelligence, 4:57, 2021.

[8] J. Osterrieder, D. Kucharczyk, S. Rudolf, and D. Wittwer. Neural networks and arbitrage in the Vix. Digital Finance, 2(1):97–115, 2020.

[9] P. Giudici, R. Hochreiter, J. Osterrieder, J. Papenbrock, and P. Schwendner. AI and financial technology. Frontiers in Artificial Intelligence, 2:25, 2019.

[10] J. Osterrieder and A. Barletta. Editorial on the Special Issue on Cryptocurrencies. Digital Finance 1, 1–4, 2019.

[11] J. Osterrieder and J. Lorenz. A statistical risk assessment of bitcoin and its extreme tail behavior. Annals of Financial Economics, 12(01):1750003, 2017.

[12] J. Osterrieder, M. Strika, and J. Lorenz. Bitcoin and cryptocurrencies — not for the faint-hearted. International Finance and Banking, 4(1):56, 2017.

[13] S. Chan, J. Chu, S. Nadarajah, and J. Osterrieder. A statistical analysis of cryptocurrencies. Journal of Risk and Financial Management, 10(2):12, 2017.

[14] J. Chu, S. Chan, S. Nadarajah, and J. Osterrieder. Garch modelling of cryptocurrencies. Journal of Risk and Financial Management, 10(4):17, 2017.

[15] J. Osterrieder. The statistics of bitcoin and cryptocurrencies. In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017), Hong Kong, 14-15 January 2017. Atlantis Press, 2017.

[16] J. Osterrieder and J. Lorenz. A statistical risk assessment of bitcoin and its extreme tail behavior. Annals of Financial Economics, 2017.

[17] J. Lorenz and J. Osterrieder. Simulation of a limit order driven market. The Journal Of Trading, 4(1):23–30, 2008.

[18] J. R. Osterrieder et al. Arbitrage, the limit order book and market microstructure aspects in financial market models. PhD thesis, Diss., Eidgenössische Technische Hochschule ETH Zürich, Nr. 17121, 2007, 2007.

[19] J. R. Osterrieder and T. Rheinländer. Arbitrage opportunities in diverse markets via a non-equivalent measure change. Annals of Finance, 2(3):287– 301, 2006.

Pre-prints and other publications

[20] F. Eckerli and J. Osterrieder. Generative adversarial networks in finance: an overview. arXiv preprint arXiv:2106.06364, 2021.

[21] R. Samuel, B. D. Nico, P. Moritz, and J. Osterrieder. Wasserstein GAN: Deep generation applied on bitcoins financial time series. arXiv preprint arXiv: 2107.06008, 2021

[22] L. Odermatt, J. Beqiraj, and J. Osterrieder. Deep reinforcement learning for finance and the efficient market hypothesis. Available at SSRN 3865019, 2021.

[23] A. Hirsa, B. Hadji Misheva, J. Osterrieder, W. Cao, Y. Fu, H. Sun, and K. W. Wong. The Vix index under scrutiny of machine learning techniques and neural networks. Available at SSRN 3796351, 2021.

[24] J. Choudary and J. Osterrieder. Machine learning tools for probability of default and rating downgrades of corporate and government bonds. Available at SSRN 3461558, 2019.

[25] J. Osterrieder, L. Vetter, and K. Röschli. The vix volatility index-a very thorough look at it. Available at SSRN 3311727, 2019.

[26] A. Gabler, D. Perez, U. Sutter, D. Kucharczyk, J. Osterrieder, and M. Reitenbach. Pattern learning via artificial neural networks for financial market predictions. Available at SSRN 3243479, 2018.

[27] A. Gabler, M. Wiegand, and J. Osterrieder. Pricing, loss and sensitivity analysis of barrier options via regression. Available at SSRN 3194111, 2018.

[28] D. Kucharczyk, J. Osterrieder, S. Rudolf, and D. Wittwer. Neural networks and arbitrage in the vix–a deep learning approach for the vix. Available at SSRN 3305686, 2018.

[29] S. Fritzmann, D. Jaggi, and J. Osterrieder. A statistical analysis of carry trading. Available at SSRN 2993902, 2017.

[30] J. Rohrbach, S. Suremann, and J. Osterrieder. Momentum and trend following trading strategies for currencies revisited-combining academia and industry. Available at SSRN 2949379, 2017.

[31] J. Osterrieder. The statistics of bitcoin and cryptocurrencies. Available at SSRN 2872158, 2016.

[32] J. Osterrieder. A theoretical model of the limit order book and some applications. Available at SSRN 881274, 2006.

[33] J. Osterrieder. A dynamic market microstructure model with insider information and order book. Available at SSRN 676028, 2005.

Media

Conference Organization

  • June 18 -, 2023, Queensland, Australia, International joint conference on neural networks, IJCNN is the premier international conference in the area of neural networks theory, analysis and applications., Session Organizer, Fair, explainable, and interpretable AI to address Fintech challenges, together with Prof. Silva and Prof. Ribeiro from the University of Coimbra, Portugal
  • 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)


Seminars and Talks (co-) organized

For a recent overview, see Meetup Fintech AI in Finance

  • August 22 - 24, 2022: Head of the Local Organizing Committee, FinanceCom 2022, International Research Conference on Fintech and Artificial Intelligence in Finance with 30 speakers from 13 countries, University of Twente, Enschede, Netherlands
  • August 22, 2022, Organizer, COST Action 19130 Fintech and Artificial Intelligence in Finance, Core Group Meeting, University of Twente, Enschede, Netherlands
  • August 23, 2022, Co-Organizer, COST Action 19130 Fintech and Artificial Intelligence in Finance, Working Group Meeting, University of Twente, Enschede, Netherlands
  • September 9, 2021: Main organizer of the 6th European COST Conference on Artificial Intelligence in Industry and Finance
  • 19th June 2020 Momentum and contrarian effects on the cryptocurrency market - an interactive shiny application I Prof. Pawel Sakowski, University of Warsaw
  • 1st July 2020 Explainability of a Machine Learning Granting Scoring Model in Peer-to-Peer Lending I Prof. Javier Arroyo, UCM
  • 30th September 2020 Blockchain for finance: Bond issuance and asset trading I Dr. Veni Arakelian, Senior Manager Piraeus Bank
  • 29th October 2020 Investing with Cryptocurrencies - On the Informative Effects of Experts Sentiment I Dr. Simon Trimborn, City University of Hong Kong
  • 11th November 2020 Central Bank Digital Currencies I Henry Holden, Advisor – Bank for International Settlements - Innovation HUB
  • 3rd December 2020 Portfolio Compression in Financial Networks: Incentives and Systemic Risk I Dr. Steffen Schuldenzucker, Goethe University Frankfurt
  • 08 January 2021 Blockchain Technology and Financial Regulation: A Risk-Based Approach to the Regulation of Initial Coin Offerings (ICOs) I Alexis Collomb & Primavera de Filippi, CNAM
  • 12 March 2021 Blockchain Technology as a Regulatory Technology: From Code is Law to Law is Code I Samer Hassan, Universidad Complutense de Madrid
  • 9 April 2021 FinTech, RegTech, and the Reconceptualization of Financial Regulation I Douglas W. Arner and Ross P. Buckley, University of Hong Kong and University of New South Wales
  • 17 May 2021 Machine Learning Inference I Andreas Joseph, Bank of England
  • 01.07.2020 Research Seminar: Explainability of a Machine Learning Model in Peer-to-Peer Lending
  • 09.07.2020 Research Seminar: Transparency in Fintech
  • 30.09.2020 Research Seminar: Blockchain for finance: Bond issuance and asset trading
  • 26.10.2020 Workshop for the Central Bank of Hungary: Fintech Risk Management - Day 1
  • 27.10.2020 Workshop for the Central Bank of Hungary: Fintech Risk Management - Day 2
  • 29.10.2020 Research Seminar: Investing with Cryptocurrencies: On the Informative Effects of Experts Sentiment
  • 11.11.2020 Research Seminar: Central Bank Digital Currencies
  • 03.12.2020 Research Seminar: Portfolio Compression in Financial Networks: Incentives and Systemic Risk
  • 08.01.2021 Research Seminar: A Risk-Based Approach to the Regulation of Initial Coin Offerings
  • 22.02.2021 Research Seminar: Digital Asset Banking: Innovation in a Highly Regulated Market
  • 25.03.2021 2nd European Research Conference: Blockchain in Finance
  • 14.04.2021 Research Seminar: Central Banks on the Blockchain: Risk and Opportunity of CB Digital Currencies
  • 10.05.2021 Research Seminar: Blockchain as a Regulatory Technology: From Code is Law to Law is Code
  • 12.05.2021 CONFEDERATING THE SWISS CRYPTO MARKET: Blockchain Regulation Conference - Day 1
  • 13.05.2021 CONFEDERATING THE SWISS CRYPTO MARKET: Blockchain Regulation Conference - Day 2
  • 17.05.2021 Research Seminar: Machine Learning Inference
  • 09.09.2021 6th European COST Conference on Artificial Intelligence in Industry and Finance
  • June 2020 COST Fintech and AI in Finance Core Group Meeting
  • July 2020 COST Fintech and AI in Finance Core Group Meeting
  • Sep 20 COST Fintech and AI in Finance Core Group Meeting
  • October 2020 COST Fintech and AI in Finance Core Group Meeting
  • November 20 COST Fintech and AI in Finance Core Group Meeting
  • December 2020 COST Fintech and AI in Finance Core Group Meeting
  • January 2021 COST Fintech and AI in Finance Core Group Meeting
  • February 2021 COST Fintech and AI in Finance Core Group Meeting
  • March 2021 COST Fintech and AI in Finance Core Group Meeting
  • Apr 21 COST Fintech and AI in Finance Core Group Meeting
  • Mai 21 COST Fintech and AI in Finance Core Group Meeting
  • Sep 20 1st COST Fintech and AI in Finance Management Committee Meeting
  • December 2020 2nd COST Fintech and AI in Finance Management Committee Meeting
  • January 2021 3rd COST Fintech and AI in Finance Management Committee Meeting
  • Apr 21 4th COST Fintech and AI in Finance Management Committee Meeting

Services to the Academic Community

  • Book Series Editor "Financial Innovation and Technology" (Springer) (since November 2020, joint with Prof. Ali Hirsa, Columbia University)
  • 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)
  • Member of the Editorial Board of the Journal of Investment Strategies
  • Reviewer for the Journal of Investment Strategies (since November 2020)
  • Reviewer for The European Journal of Finance

Habilitation Commitees

  • Member of the Habilitation committee of Ing. Tomáš Plíhal, Ph.D., Finance, Department of Finance, Faculty of Economics and Administration, Masaryk University

PhD students

  • Weilong Fu, Innovative Derivate Pricing and Time Series Simulation techniques via machine and deep learning, member of the PhD Committee and co-supervisor, main supervisor: Prof. Dr. Ali Hirsa, Columbia University, US, June 2022
  • Patchara Santawisook, April 2021 until August 2022, member of the PhD Committee, main supervisor: Prof. Dr. Stephan Sturm, Worcester Polytechnic University (WPI), US
  • Sebastian Singer, 2021 - 2025, The Role of Equity Correlations in Financial Crises - Empirical Findings, Predictions and Agent-Based Simulations, member of the PhD Committee, main supervisor: Prof. Dr. Ronald Hochreiter, WU Vienna, Austria

Scientific Committees


  • Technology, Innovation and Stability: New Directions in Finance (TINFIN), organised by the Faculty of Economics and Business of the University of Zagreb, Croatian Academy of Sciences and Arts and COST Action CA19130 FinAI - Fintech and Artificial Intelligence in Finance - Towards a Transparent Financial Industry, Zagreb, Croatia, May 5-6, 2022
  • 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 and Presentations

  • October 5-7, 2022, Co-Organizer, European Alternative Finance Conference, Utrecht, Netherlands
  • October 6, 2022, Session Chair, Central Bank Digital Currencies, European Alternative Finance Conference, Utrecht, Netherlands
  • October 5, 2022, Management Committee COST Action CA19130, Utrecht, Netherlands, Fintech and AI in Finance
  • September 23, 2022, Invited Honorary Speaker, Artificial Intelligence in Finance, FinTech Days Tirana: Digital Transformation: Where Tech meets Finance, Tirana, Albania, opening the conference together with the Vice-Major of Tirana and the Vice-Governor of the Central Bank of Albania
  • September 22, 2022, COST FinAI Datathon, Award Ceremony, awarding the COST FinAI Datathon prize to the winners, Tirana, Albania
  • September 22, 2022, Co-opening of the COST FinAI Workshop on Diversity, together with the Dean of the Economics Faculty, Tirana, Albania
  • September 21, 2022, Moderator of the Session: Fintech: challenges and opportunities – Ongoing COST FinAI projects session, Moderator: Professor Joerg Osterrieder, University of Twente, Netherlands and Bern University of Applied Sciences, Switzerland
    • Prof. Assoc. Dr. Maria Iannario, “The assessment of financial knowledge and the treatment of “don't know” responses by a Multidimentional Latent Mixed Models for panel data”
    • Dr. Olivija Filipovska, “Determinants of SDG-oriented banking in North Macedonia”
    • Prof. Assoc. Dr. Esra Kabaklarli, “Impact of FinTech on Banking Industry”
    • Prof. Assoc. Dr. Luciana Dalla Valle, “Data Integration and Graphical Models for Cryptocurrencies”
  • August 24, 2022, FinanceCom 2022, University of Twente, Netherlands, Fintech and Artificial Intelligence, Cooperation between University of Twente and ING Group, Short talk
  • August 22, 2022, COST FinAI Management Committee, University of Twente, Netherlands, The European COST (Cooperation in Science and Technology) Action Fintech and Artificial Intelligence in Finance
  • June 16 - 17, 2022, Co-Chair, Digital Disruption in Financial Markets Roundtable, A workshop in the framework of ICESS (The 5th international conference on economics and social sciences) 2022, Bucharest, Romania
  • June 16 - 17, 2022, The European COST (Cooperation in Science and Technology) Action Fintech and Artificial Intelligence in Finance - A History and Definition of Artificial Intelligence, Digital Disruption in Financial Markets Roundtable, A workshop in the framework of ICESS (The 5th international conference on economics and social sciences) 2022
  • May 16 - 17, 2022, COST Action Fintech and Artificial Intelligence in Finance - An introduction, Diversity challenges and opportunities in FinTech, University of Naples Federico II, Italy
  • May 16 - 17, 2022, Welcome Address and Session Chair, Diversity challenges and opportunities in FinTech, University of Naples Federico II, Italy
  • May 5-6, 2022, Machine learning and artificial intelligence in Finance – with applications to optimal trading strategies, Technology, Innovation and Stability: New Directions in Finance, Zagreb, Croatia, Faculty of Economics and Business, University of Zagreb, Croatian Academy of Sciences and Arts and COST Action CA19130 FinAI - Fintech and Artificial Intelligence in Finance - Towards a Transparent Financial Industry
  • Oct 28, 2021, Leading the 2nd Annual Management Committee Meeting of the COST Action CA19130 Fintech and Artificial Intelligence in Finance, Bucharest University of Economic Studies; Local Organizers: Prof. Vasile Strat, Dean of the Bucharest Business School; Prof. Daniel Pele
  • Oct 28, 2021, Annual research conference of the COST Action CA19130 Fintech and Artificial Intelligence in Finance, Bucharest University of Economic Studies; Invited Speaker, Deep Generation of Financial Data
  • Oct 15, 2021, European COST (Cooperation in Science and Technology) Action Fintech and Artificial Intelligence in Finance, Skopje, North Macedonia, Fintech and Artificial Intelligence in Finance - An Overview
  • Sept 30, 2021, Digital Finance Journal (DFIN) online paper discussion, "Programmable Money: Next-Generation Blockchain-Based Conditional Payments" by Prof. Ingo Weber from the Technical University of Berlin and Prof. Mark Staples from CSIRO's Data61
  • Sept 13-17, 2021, Generative Adversarial Networks and some applications in Finance, Advances in Stochastic Analysis for Handling Risks in Finance and Insurance at the CIRM in Luminy (near Marseille), Invited Speaker, Centre International de Rencontres Mathématiques, CIRM Conference
  • Trustworthy AI in Europe: multiple perspectives, June 24, 2021, IEEE Portugal, Round table on multiple perspectives of the use of Artificial Intelligence in Europe (event, talk)
  • The Impact of AI on Germany's Industry, June 8, 2021, Artificial intelligence for Finance - opportunities and challenges, Invited panel participant, EU Tech Chamber
  • Swiss AI4Good – Building a Nexus between Research, Innovation & Society, May 26, 2021, European COST Action Fintech and Artificial Intelligence in Finance, Running a European research network on Artificial Intelligence during Corona-times, online.
  • 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)
  • Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry, 23.10.2020, RegTech Workshop: Fintech Risk Management
  • Training ML Models: Decision Trees and Random Forest, 27.10.2020, SupTech Training Sessions for the Central Bank of Hungary: Fintech risk management
  • What is Artificial Intelligence? How is it transforming the financial ecosystem? 26.10.2020, SupTech Training Sessions for the Central Bank of Hungary: Fintech risk management
  • Blockchain and Distributed Trust, October 1, 2020, Winlink Winterthur, Switzerland
  • 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

Research Stay

  • Invited Research Stay at WU Vienna, Business and Economics Department, Vienna, Austria, June 2022, Prof. Hochreiter
  • Invited Research Stay at the American University of Sharjah, Department of Mathematics, UAE (April 2022), Prof. Chen
  • Invited Research Stay at the American University of Sharjah, Department of Mathematics, UAE (February 2022), Prof. Chen
  • Invited Research Stay at the American University of Sharjah, Department of Mathematics, UAE (February 2020), Prof. Chen
  • Invited Research Stay at the Haindorf Seminar, Ladislaus von Bortkiewicz Chair of Statistics, International Training Group “High-Dimensional Non-Stationary Time-Series” (Jan. 2019), Prof. Härdle
  • Research stay at the Ladislaus von Bortkiewicz Chair of Statistics, International Training Group “High-Dimensional Non-Stationary Time-Series”, Nov. 26 - 30, 2018, Prof. Härdle

Teaching

Executive Education

  • Data Science, MSc Executive Course, modules on Data Science for Business, Data Science for Finance, Summer 2022, Uni Münster, Germany
  • Corporate Banking, Certificate of Advanced Studies (CAS), module on the Future of Banking, Summer 2021, Summer 2022, ZHAW Zurich, Switzerland
  • Blockchain, Big Data and Distributed Ledger, Certificate of Advanced Studies (CAS), individual modules, Fall 2018, Spring and Fall 2019, 2020, 2021, Spring 2022, ZHAW Zurich, Switzerland
  • Machine Learning and Deep Learning in Finance, Continuing Education, individual modules, Fall 2021, ZHAW Zurich, Switzerland
  • MAS / DAS / CAS Sustainable Finance, Focus on Artificial Intelligence, University of Zurich, Fall 2021, Fall 2022

Courses

  • Reinforcement Learning in Finance, Spring 2022
  • Information Systems for the Financial Services Industry, Spring 2022
  • Empirical Methods in Finance, Fall 2022, ZHAW Zurich, Switzerland
  • Topics of Financial Engineering, Spring 2021, 2020, 2019, 2018, 2017, 2016, ZHAW Zurich, Switzerland
  • Quantitative Risk Management, Spring 2021, 2017, 2016, 2015, ZHAW Zurich, Switzerland
  • Mathematics of Financial Markets I, Spring 2015, 2016, ZHAW Zurich, Switzerland
  • Mathematics of Financial Markets II, Fall 2015, 2016, ZHAW Zurich, Switzerland
  • Introduction to interest rate theory, Spring 2018, 2019, ZHAW Zurich, Switzerland

Supervision of researchers at graduate and postgraduate level

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BSc

MSc

  • Antonio, Rosolia, Predicting VIX Futures with Neural Networks, MSE, Fall 2020, ZHAW
  • Antonio, Rosolia, Analyzing deep generated financial time series for various asset classes, MSE, Spring 2021, ZHAW
  • David, Müller, Technologische Implikationen auf das Kreditgeschäft einer mittelgrossen Kantonalbank – eine Szenarioentwicklung, MAS Digital Transformation, Q4 2021 / Q1 2022, ZHAW
  • Bella, Wu, Predicting Directional Movements of E-Mini S&P 500 Futures for Intraday Trading, MSFE, Summer 2022, Columbia University
  • Mina, Meng, Predicting Directional Movements of E-Mini S&P 500 Futures for Intraday Trading, Management Science & Engineering, Summer 2022, Columbia University
  • Loohuis, Daan, The Impact of Carbon Emissions on Corporate Financial Performance, Digital Business and Analytics, 3rd and 4th semester 2022, University of Twente

Executive Education

  • CAS Big Data Analytics, Blockchain and Distributed Ledger, June 2022, Andre Camenzind, Analysis of LendingClub big data sets with the help of visualizations, co-supervisor
  • CAS Big Data Analytics, Blockchain and Distributed Ledger, April 2022, Frank Peisert, Data Based Project Insights, co-supervisor
  • CAS Big Data Analytics, Blockchain and Distributed Ledger, April 2022, Christian Meier, k-means clustering, co-supervisor
  • CAS Big Data Analytics, Blockchain and Distributed Ledger, April 2022, Lukas Ruppen (UBS), Credit card limit management - Machine learning for real-time default prediction, co-supervisor
  • CAS Big Data Analytics, Blockchain and Distributed Ledger, September 2021, Thomas Aebi (ZKB), An interactive Shiny application for trading systems for the structured products business, co-supervisor
  • CAS Big Data Analytics, Blockchain and Distributed Ledger, September 2021, Fabienne Rehnelt (Vontobel ), Analytic Platform for Vontobel Electronic Trading Solutions, main supervisor

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
  • 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, 2019 - 2021
  • Florian Hinz, 2020
  • Dr. Branka Hadji Misheva, PhD at University of Pavia, 2020
  • Piotr Kotlarz, PhD at University of Liechtenstein, since 2018
  • Matas Pocevicius, Finance industry, 2017 – 2018
  • Dr. Martin Wiegand, PhD at University of Manchester, 2018
  • Dr. Daniel Kucharczyk, Finance industry, 2017- 2019

Projects and other student works

  • Title of project, Link to google colab, link to google folder with documents, Names of Authors, Name University, Month Year
  • Predict S&P 500 with Neural Networks and Classifiers, Google Drive,Google Colab, Maurice, Moser, Frensi, Zejnullahu, Jannic, Cavegn, Zurich University of Applied Sciences, June 2022
  • Minimizing global drawdowns in financial markets during the COVID-19 pandemic using Machine Learning, Google Drive, Google Colab, Rafael Berther, Tobias Kuhn, Alexander Kunz, Leonhard Keller, Zurich University of Applied Sciences, June 2022
  • The use of different ML algorithms for day trading the bitcoin, Google Colab, Alessandro dos Santos Simões, Yannick Höfler, Senthuran Elankeswaran, Zurich University of Applied Sciences, June 2022

Research projects

Since 2015, I have worked on more than 30 research projects, mainly as project lead or principal investigator, funded by Europe Horizon 2020, Horizon Europe, Swiss National Science Foundation, Innosuisse and the Finance industry. The topics cover many aspects of quantitative, data-driven topics for Finance, ranging from trading strategies, efficient markets to machine learning and artificial intelligence in Finance, including latest developments such as blockchain, virtual currencies, Fintech and sustainable Finance.

Most notable international projects:

  • Cooperation ING Group - University of Twente
  • Action Chair COST Action 19130 Fintech and Artificial Intelligence, Horizon Europe
  • FIN-TECH – Financial Supervision and Technology Compliance Training Programme, EU Horizon 2020
  • Network-based credit risk models in P2P lending markets, Swiss National Science Foundation

More details:

  • Narrative Digital Finance: a tale of structural breaks, bubbles & market narratives / Project leader / Swiss National Science Foundation / 236'118 CHF / August 2023 - August 2026
  • Network-based credit risk models in P2P lending markets / Project leader / Swiss National Science Foundation / 347'836 CHF / August 2022 - August 2025
  • Anomaly and fraud detection in blockchain networks / Project leader / Swiss National Science Foundation / 6'700 CHF / August 2022 - August 2023
  • Fintech and AI in Finance / Project leader / COST Action CA19130 Travel Grants / 6300 EUR/ November 2021 - October 2022
  • 8th European COST Conference on AI in Finance, Bern Business School, Switzerland / Project leader / COST Action CA19130 Conference Grant / 4000 EUR / September 2022
  • 11th FinanceCom Conference, University of Twente, Netherlands / Project leader / COST Action CA19130 Conference Grant / 6000 EUR / August 2022
  • Fintech and AI in Finance / Project leader / COST Action CA19130 Dissemination Grant / 200 CHF / September 2022
  • Fintech and AI in Finance / Project leader / COST Action CA19130 Dissemination Grant / 800 CHF / October 2022
  • Conferences on Artificial Intelligence in Finance / Innosuisse / Project leader / 80'000 CHF / Januar 2021 - July 2022
  • Strengthening Swiss Financial SMEs through Applicable Reinforcement Learning / Deputy project leader / Innosuisse / 312'315 CHF / April 2021 - July 2022
  • COST Action Fintech and Artificial Intelligence in Finance - Grant Holder / Project leader / Horizon Europe / 800'000 EUR / April 2020 - April 2025
  • Human-machine centered collaboration to crowdsource insights / Project leader / Innosuisse / 15'000 CHF / June 2021 - December 2021
  • Towards Explainable Artificial Intelligence and Machine Learning in Credit Risk Management / Project co-leader / Innosuisse / 282'969 CHF / Sept 2020 - Sept 2022
  • Decentralized financing of Fairtrade producers using a blockchain-based solution / Deputy project leader / Innosuisse / 250'539 CHF / August 2020 - January 2023
  • Advanced/AI-supported Rating Models for P2P systems / Project co-leader / Innosuisse / 15'000 CHF / July 2020 - July 2021
  • Currency hedging for SMEs and pension funds / Project leader / Innosuisse / 439'610 CHF / Oct 2018 - Oct 2021
  • 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 / Swiss National Science Foundation / 150'000 CHF / February 2020 - August 2021
  • Digitalisation non-bankable assets (specifically: art) / Deputy project leader / Innosuisse / 300k CHF / January 2020 - June 2020
  • Deep Learning & Neuronal Networks: Selbstständige KI-Agenten zur Entwicklung von neuartigen Handelsstrategien im Asset Management auf Basis von Self-Play / Deputy project leader / Innosuisse / 15'000 CHF / July 2019 - January 2020
  • Assessment of derivatives-based hedging solutions / Project co-leader / Swiss Asset Manager / 15'000 CHF / June 2021 - November 2021
  • Enhancing the Financing of Fairtrade Producers using Blockchain Technology / Innosuisse / Team member / 250'539 CHF/ August 2020 - January 2023
  • 6th European Conference on Artificial Intelligence in Finance and Industry 2021 / Project leader / 20'000 CHF / Industry funding / January 2021 - September 2021
  • 5th European Conference on Artificial Intelligence in Finance and Industry 2020 / Project leader / 20'000 CHF / Industry funding / January 2020 - September 2020
  • 4th European Conference on Artificial Intelligence in Finance and Industry 2019 / Project leader / 20'000 CHF / Industry funding / January 2019 - September 2019
  • 3th European Conference on Artificial Intelligence in Finance and Industry 2018 / Project leader / 20'000 CHF / Industry funding / January 2018 - September 2018
  • 2nd European Conference on Artificial Intelligence in Finance and Industry 2017 / Project leader / 20'000 CHF / Industry funding / January 2017 - September 2017
  • 1st European Conference on Artificial Intelligence in Finance and Industry 2016 / Project leader / 20'000 CHF / Industry funding /January 2016 - September 2016
  • FIN-TECH – Financial Supervision and Technology Compliance Training Programme / Project leader / 200'000 EUR / Europe Horizon 2020 / April 2018 - April 2021
  • Digitales Immobilien Dossier (DIGIM) / Project co-leader / Innosuisse / 204'012 CHF / November 2018 - April 2020
  • Swisscom E-Signatur TP Technik / Project leader / Swisscom / 80k CHF / January 2018 - December 2019
  • Blockchain and Virtual Currencies / Project co-leader / Swiss National Science Foundation / 100k CHF / January 2018 - December 2018
  • Large Scale Data-Driven Financial Risk Modelling / Team member / Innosuisse / 309'000 CHF / January 2017 - July 2019 /
  • Mathematics and Fintech: The next revolution in the digital transformation of the finance industry / Project leader / Swiss National Science Foundation / 300k CHF / January 2017 - December 2019 /
  • Swissnex Research Stay New York / Project leader / Swissnex / 10k CHF / July 2018
  • Quantitative trading strategies / Project leader / Industry funding / 80k CHF / April 2016 - December 2017
  • Long historical data for futures / Project leader / Industry funding / 20k CHF / April 2016 - December 2016
  • Automation and industrialization of quantitative research / Project leader / University funding / 10k CHF / April 2015 - December 2016
  • RENERG2 - RENewable enERGies in future energy supply / Innosuisse / Team member / 48'000 CHF / July 2013 - December 2016

Research grants under evaluation

European Union

  • September 2022, Erasmus+ Alliance for Innovation, LaunchPad for Innovation in FinTech through academia-industry alliances, work package leader for LaunchPad framework and methodology for collaboration between industry and academia in FinTech, consortium members from Netherlands, France, Estonia, Hungary, Malta
  • MSCA Industrial Doctoral Network, Digital Finance

Swiss Naional Science Foundation (SNSF)

  • June 2021: SNF COST, Frontiers of Reinforcement Learning for Finance with a particular focus on informational and multi-agent aspects, Principal Investigator
  • Mai 2021: SNF Era-Net (EU H2020), Network-based credit risk models in P2P lending markets, Co-Principal Investigator
  • April 2021: SNSF Lead Agency with Czech Republic, Switzerland (B. Hadji Misheva, E. Baumohl, Š. Lyócsa, O. Deev, T. Plíhal, J. Osterrieder, A. Posth, C. Schmidhuber, P. Schwendner), "Network-based credit risk models in P2P lending markets", Co-Principal Investigator

Trainings and other extracurricular activities

  • COST Academy: How to manage and coordinate international research networks, March 30 and March 31, Training for COST Action Chairs
  • Presenting with impact, Presentation Skills Training, October and December 2021
  • COST Academy: Science Diplomacy in practice every day! September 21 and October 21, Training for COST Action Chairs
  • COST Academy: How to pitch your research (elevator pitch) - May 18 and May 25, 2021, Training for COST Action Chairs
  • COST Academy: How to engage with European Union Policymakers - April 27, 2021, Training for COST Action Chairs
  • Certificate in Advanced Studies: University Teaching certificate, ZHPH, Switzerland, 2018
  • Leadership in Academia, University training, ZHAW, Switzerland, 2018

Other academic activities

Reviewer of academic papers

  • Frequent reviewer for academic journals, such as Annals of Operations Research (Springer), Journal of Banking and Finance (since 2018), Empirical Economics (Springer, since 2018), European Finance Journal (since 2019), Frontiers in Artificial Intelligence in Finance (since 2018), Journal of Investment Strategies (since 2020)

Editorships

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 round-table 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

Activities on Fintech and AI

  • Chair of a research network on Fintech and Artificial Intelligence in Finance (150 researchers from 36 countries)
  • Member of the Board of a European Fintech, Blockchain and Artificial Intelligence project with 22 participating European countries and 27 national supervisory authorities
  • Blockchain Work Package Manager in Finance, EU H2020 Project
  • Member of the Management Committee of a European COST network for mathematics and industry
  • Director of studies for an executive education course on "Blockchain, Big Data and Distributed Ledgers" as well as "Machine Learning and Deep Learning in Finance"
  • Project leader for several research projects with the financial industry on blockchain
  • Project leader for the SNSF project "Mathematics and Fintech - The Next Revolution in the Digital Transformation of the Financial Industry"
  • Extensive research networks at a national and international level, interdisciplinary with teams from business, law and engineering schools
  • Contributor to a research application for a European industrial doctorate on "Financial Data Science"
  • Responsible for the Fintech Initiative of the School of Engineering
  • Head of the organisation committee of an annual (since 2016) conference on "Artificial Intelligence in Finance and Industry" (260 participants from 19 European countries)
  • Head of the organisation committee of an international research workshop on "Big Data Analytics"


Current as of August 2021.

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