Difference between revisions of "Joerg Osterrieder"

Revision as of 15:22, 28 June 2021

Summary

Joerg Osterrieder is Associate Professor for Artificial Intelligence and Finance at University of Twente (Netherlands), through a joint appointment with ING and Kickstart AI, a Dutch National Initiative on Artificial Intelligence and Professor of Finance and Risk Modelling at the ZHAW School of Engineering (Switzerland), and . He has been working in the area of financial statistics, quantitative finance, algorithmic trading, and digitisation of the finance industry for more than 15 years. Joerg is the Action Chair of the European COST Action 19130 Fintech and Artificial Intelligence in Finance, an interdisciplinary research network combining 200+ researchers and 38 European countries as well as five international partner countries. He is the director of studies for an executive education course on "Big Data Analytics, Blockchain and Distributed Ledger" and has been the main organizer of an annual research conference series on Artificial Intelligence in Industry and Finance since 2016. He is a founding associate editor of Digital Finance, an editor of Frontiers Artificial Intelligence in Finance and frequent reviewer for academic papers. In addition, he serves as an expert reviewer for the European Commission on the "Executive Agency for Small & Medium-sized Enterprises" and the "European Innovation Council Accelerator Pilot" programmes. Previously he worked as an executive director at Goldman Sachs and Merrill Lynch as well as a member of the senior management at Credit Suisse Group. Joerg is now also active at the intersection of academia and industry, focusing on the transfer of research results to the financial services sector in order to implement practical solutions.

Publications

see google scholar

Arxiv: Arxiv Author

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

Media

Conferences

Flagship Conferences AI in Industry and Finance

Innovation Workshops

Collaboration Workshops

Seminars and Talks (co-) organized

- 19th June 2020 11.00 – 12.00 Momentum and contrarian effects on the cryptocurrency market - an interactive shiny application I Prof. Pawel Sakowski, University of Warsaw
- 1st July 2020 10.00 – 11.00 Explainability of a Machine Learning Granting Scoring Model in Peer-to-Peer Lending I Prof. Javier Arroyo, UCM
- 30th September 2020 10.00 – 11.00 Blockchain for finance: Bond issuance and asset trading I Dr. Veni Arakelian, Senior Manager Piraeus Bank
- 29th October 2020 11.00 – 12.00 Investing with Cryptocurrencies - On the Informative Effects of Experts Sentiment I Dr. Simon Trimborn, City University of Hong Kong
- 11th November 2020 10.00 – 11.00 Central Bank Digital Currencies I Henry Holden, Advisor – Bank for International Settlements - Innovation HUB
- 3rd December 2020 11.00 – 12.00 Portfolio Compression in Financial Networks: Incentives and Systemic Risk I Dr. Steffen Schuldenzucker, Goethe University Frankfurt
- 08 January 2021- 10.00 – 11.00 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 - 13.00 – 14.00 Blockchain Technology as a Regulatory Technology: From Code is Law to Law is Code I Samer Hassan, Universidad Complutense de Madrid
- 9 April 2021 - 09.00 – 10.00 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 - 11.00 – 12.00 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
- Nov 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)
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

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

7th annual Columbia-Bloomberg Machine Learning in Finance conference, September 17, 2021 at Columbia University in the City of New York, Bloomberg and Columbia University, Generative Adversarial Networks and its Applications in Finance, joint work with Ali Hirsa, Columbia University

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, September 13-17, 2021, 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

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

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 researchers at graduate and postgraduate level

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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, Deep Reinforcement Learning for Finance and the Efficient Market Hypothesis, BSc, Spring 2021
Chris, Bucher, Risk Parity for Multi-Asset Futures Allocation - A Practical Analysis of the Equal Risk Contribution Portfolio, BSc, Spring 2021
Florian, Eckerli, Generative Adversarial Networks in finance: an overview, 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, 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
de Koning, Cas, The effect of firm-specific characteristics on the stock market returns during the COVID-19 pandemic: An event study, MSc BA, 2021, University of Twente

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

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"

Trainings and other extracurricular activities

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

Other academic activities

Reviews of academic papers

May 2021: Programmable Money: Next-Generation Conditional Payments using Blockchain - Discussed Paper", submitted to Digital Finance

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

@@ Line 167: / Line 167: @@
 === MSc ===
-* Antonio, Rosolia, Predicting VIX Futures with Neural Networks, MSc, Fall 2020
+* Antonio, Rosolia, Predicting VIX Futures with Neural Networks, MSE, Fall 2020, ZHAW
-* Antonio, Rosolia, Analyzing deep generated financial time series for various asset classes, MSc, Spring 2021
+* 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
+* David, Müller, Technologische Implikationen auf das Kreditgeschäft einer mittelgrossen Kantonalbank – eine Szenarioentwicklung, MAS Digital Transformation, Q4 2021 / Q1 2022, ZHAW
-* de Koning, Cas, The effect of firm-specific characteristics on the stock market returns during the COVID-19 pandemic: An event study, MSc, 2021
+* de Koning, Cas, The effect of firm-specific characteristics on the stock market returns during the COVID-19 pandemic: An event study, MSc BA, 2021, University of Twente
 === PhD ===