Publications

160+ peer-reviewed publications in quantitative finance, machine learning, blockchain, and NLP for finance.

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2025

27 publications

Editorial: Applications of AI and machine learning in finance and economics
Alessia Paccagnini, Maria Iannario, Joerg Osterrieder, Adamaria Perrotta, Fabio Parla, et al.
Frontiers in Artificial Intelligence
DOI: 10.3389/frai.2025.1715929

Anatomy of Peer-to-Peer (P2P) Lending Fraud: A Review with Managerial Implications
Ioana Florina Coita, Marcos Machado, Lucía Gómez, Karsten Wenzlaff, Wouter van Heeswijk, et al.
Preprints.org
DOI: 10.20944/preprints202509.1144.v1

Advancing credit risk assessment in the retail banking industry: A hybrid approach using time series and supervised learning models
Sebastian H. Goldmann, Marcos Machado, Joerg Osterrieder
Data & Knowledge Engineering
DOI: 10.1016/j.datak.2025.102490

An analytical approach to credit risk assessment using machine learning models
Marcos Machado, Daniel Chen, Joerg Osterrieder
Decision Analytics Journal
5 citations
DOI: 10.1016/j.dajour.2025.100605

Modeling commodity price co-movement: building on traditional time series models and exploring applications of machine learning algorithms
Luca L. Kozian, Marcos Machado, Joerg Osterrieder
Decisions in Economics and Finance
4 citations
DOI: 10.1007/s10203-025-00512-1

Implementation of Share Buybacks and Their Impact on Corporate Governance
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
DOI: 10.2139/ssrn.5019696

Reaction Times to Economic News in High-Frequency Trading: An Analysis of Latency and Informed Trading Ahead of Macro-News Announcements
Joerg Osterrieder, Stefan Schlamp
SSRN Electronic Journal
DOI: 10.2139/ssrn.5112295

Network Evidence on Credit-Risk Pricing in P2p Lending
Lennart John Baals, Joerg Osterrieder, Branka Hadji Misheva, Lucía Gómez, Yizhi Wang
SSRN Electronic Journal
DOI: 10.2139/ssrn.5276337

State-Dependent Pricing in FinTech Credit: Evidence from P2P Lending
Lennart John Baals, Joerg Osterrieder, Ali Hirsa
SSRN Electronic Journal
DOI: 10.2139/ssrn.5421207

NLP_TokenJourney
Joerg Osterrieder
DOI: 10.24818/ida-ql/2025.223

NLP_Ngrams
Joerg Osterrieder
DOI: 10.24818/ida-ql/2025.224

NLP_Neural
Joerg Osterrieder
DOI: 10.24818/ida-ql/2025.225

NLP_Transformers3D
Joerg Osterrieder
DOI: 10.24818/ida-ql/2025.222

NLP_Embeddings
Joerg Osterrieder
DOI: 10.24818/ida-ql/2025.226

NLP_TransformersSimple
Joerg Osterrieder
DOI: 10.24818/ida-ql/2025.221

NLP_TransformersTraining
Joerg Osterrieder
DOI: 10.24818/ida-ql/2025.220

NLP - Predicting the next word
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.84

NLP - Advanced Transformers
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.82

NLP - Fine-tuning and Prompt Engineering
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.79

NLP - The Transformer Revolution
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.83

NLP - Efficiency and Deployment
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.80

NLP - Tokenization and Subword Models
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.77

NLP - Decoding Strategies
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.78

NLP - Sequence-to-Sequence Models
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.74

Foundations and Statistical Language Models
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.71

NLP - Neural Language Models
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.72

NLP - Recurrent Neural Networks
Joerg Osterrieder
DOI: 10.24818/ida-cl/2025.73

2024

29 publications

How can consumers without credit history benefit from the use of information processing and machine learning tools by financial institutions?
Bjorn van Braak, Joerg Osterrieder, Marcos Machado
Information Processing & Management
6 citations
DOI: 10.1016/j.ipm.2024.103972

Predicting retail customers’ distress in the finance industry: An early warning system approach
Jaap Beltman, Marcos Machado, Joerg Osterrieder
Journal of Retailing and Consumer Services
5 citations
DOI: 10.1016/j.jretconser.2024.104101

Stylized facts of metaverse non-fungible tokens
Stephen Chan, Durga Chandrashekhar, Ward Almazloum, Yuanyuan Zhang, Nicholas Lord, et al.
Physica A Statistical Mechanics and its Applications
6 citations
DOI: 10.1016/j.physa.2024.130103

Leveraging network topology for credit risk assessment in P2P lending: A comparative study under the lens of machine learning
Yiting Liu, Lennart John Baals, Joerg Osterrieder, Branka Hadji Misheva
Expert Systems with Applications
17 citations
DOI: 10.1016/j.eswa.2024.124100

How can artificial intelligence help customer intelligence for credit portfolio management? A systematic literature review
Alessandra Amato, Joerg Osterrieder, Marcos Machado
International Journal of Information Management Data Insights
11 citations
DOI: 10.1016/j.jjimei.2024.100234

Network centrality and credit risk: A comprehensive analysis of peer-to-peer lending dynamics
Yiting Liu, Lennart John Baals, Joerg Osterrieder, Branka Hadji Misheva
Finance research letters
11 citations
DOI: 10.1016/j.frl.2024.105308

Enhancing Security in Blockchain Networks: Anomalies, Frauds, and Advanced Detection Techniques
Joerg Osterrieder, Stephen Chan, Jeffrey Chu, Yuanyuan Zhang, Branka Hadji Misheva, et al.
arXiv (Cornell University)
4 citations
DOI: 10.48550/arxiv.2402.11231

Towards a new PhD Curriculum for Digital Finance
Lennart John Baals, Joerg Osterrieder, Branka Hadji Misheva, Yiting Liu
Open Research Europe
DOI: 10.12688/openreseurope.16513.1

Metaverse Non Fungible Tokens
Joerg Osterrieder, Stephen Chan, Jeffrey Chu, Yuanyuan Zhang
SSRN Electronic Journal
3 citations
DOI: 10.2139/ssrn.4733153

Crowdfunding Fraud Detection: A Systematic Review Highlights AI and Blockchain using Topic Modeling
Marcos Machado, Ioana Florina Coita, Lucía Gómez, Karsten Wenzlaff, Andreas Gregoriades, et al.
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.4948895

Network Centrality and Credit Risk: A Comprehensive Analysis of Peer-to-Peer Lending Dynamics
Yiting Liu, Lennart John Baals, Joerg Osterrieder, Branka Hadji Misheva
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.4726490

A discussion paper for possible approaches to building a statistically valid backtesting framework
Veni Arakelian, Karolina Bolesta, Silvija Vlah Jerić, Yiting Liu, Joerg Osterrieder, et al.
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.4893677

Network Centrality and Credit Risk: A Comprehensive Analysis of Peer-to-Peer Lending Dynamics
Yiting Liu, Lennart John Baals, Joerg Osterrieder, Branka Hadji Misheva
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.4706619

Hypothesizing Multimodal Influence: Assessing the Impact of Textual and Non-Textual Data on Financial Instrument Pricing Using NLP and Generative AI
Karolina Bolesta, Gabin Taibi, Codruța Mare, Branka Hadji Misheva, Christian Hopp, et al.
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4698153

Leveraging Network Topology for Credit Risk Assessment in P2P Lending: A Comparative Study under the Lens of Machine Learning
Yiting Liu, Lennart John Baals, Joerg Osterrieder, Branka Hadji Misheva
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4726481

Predicting Retail Customers’ Distress: Early Warning Systems and Machine Learning Applications
Jaap Beltman, Joerg Osterrieder, Marcos Machado
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4730470

Integration of Early Warning Systems and Customer Segmentation Methods in the Financial Industry - A Systematic Literature Review
Alessandro Amato, Joerg Osterrieder, Marcos Machado
SSRN Electronic Journal
DOI: 10.2139/ssrn.4730479

How can Consumers Without Credit History Benefit from the Use of Information Processing and Machine Learning Tools by Financial Institutions?
Marcos Machado, Joerg Osterrieder, Bjoern van Braak
SSRN Electronic Journal
DOI: 10.2139/ssrn.4730445

Modeling Commodity Price Co-Movement: Building on Traditional Methods & Exploring Applications of Machine Learning Models
Luca L. Kozian, Joerg Osterrieder, Marcos Machado
SSRN Electronic Journal
DOI: 10.2139/ssrn.4730474

Forecasting Commercial Customers Credit Risk Through Early Warning Signals Data: A Machine Learning based Approach
Marcos Machado, Joerg Osterrieder, Daniel Chen
SSRN Electronic Journal
DOI: 10.2139/ssrn.4754568

Integrating Early Warning Systems with Customer Segmentation: An Information Management Approach to Identifying Business Opportunities for Commercial Customers in the Financial Industry
Marcos Machado, Joerg Osterrieder, Alessandra Amato
SSRN Electronic Journal
DOI: 10.2139/ssrn.4779632

Ethical Artificial Intelligence, Fintech and Data Protection: A Path Forward for Training in Europe
Maria Moloney, Ioana Florina Coita, Eleftheria G. Paschalidou, Ekaterina Svetlova, Codruța Mare, et al.
SSRN Electronic Journal
DOI: 10.2139/ssrn.4885037

AI 4 Crowdfunding - A hands-on roadmap to study and understand crowdfunding data using critical thinking AI
Ștefana Belbe, Lucía Gómez, Liana Stanca, Karsten Wenzlaff, Codruța Mare, et al.
SSRN Electronic Journal
DOI: 10.2139/ssrn.4941279

AI-Driven Failed Trials in Investment Strategies: A Network Data Analysis Approach
Karolina Bolesta, Mutlu Akar, Ioana Florina Coita, Claudia Tarantola, Maria Iannario, et al.
SSRN Electronic Journal
DOI: 10.2139/ssrn.4944243

What do we Know About Fraud Detection in Peer-to-Peer Lending? A Systematic Literature Review
Marcos Machado, Ioana Florina Coita, Karolina Bolesta, Olivija Filipovska, Wouter van Heeswijk, et al.
SSRN Electronic Journal
DOI: 10.2139/ssrn.4948657

Generative Artificial Intelligence for Finance Professionals
Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.4956387

Stylized Facts of Metaverse Non-Fungible Tokens
Stephen Chan, Durga Chandrashekhar, Ward Almazloum, Yuanyuan Zhang, Nicholas Lord, et al.
SSRN Electronic Journal
DOI: 10.2139/ssrn.4959727

Integrating Early Warning Systems with Customer Segmentation: An Information Management Approach to Identifying Business Opportunities for Commercial Customers in the Financial Industry
Alessandro Amato, Marcos Machado, João B. Moreira, Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.4989541

Boards’ Dilemma: The Compounding Problem Hidden in Share Buyback Execution Products
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
DOI: 10.2139/ssrn.5019706

2023

43 publications

A Hypothesis on Good Practices for AI-based Systems for Financial Time Series Forecasting: Towards Domain-Driven XAI Methods
Branka Hadji Misheva, Joerg Osterrieder
arXiv (Cornell University)
1 citations
DOI: 10.48550/arxiv.2311.07513

Examining share repurchase executions: insights and synthesis from the existing literature
Joerg Osterrieder, Michael Seigne
Frontiers in Applied Mathematics and Statistics
DOI: 10.3389/fams.2023.1265254

Share buybacks: a theoretical exploration of genetic algorithms and mathematical optionality
Joerg Osterrieder
Frontiers in Artificial Intelligence
1 citations
DOI: 10.3389/frai.2023.1276804

Unraveling market mysteries: a comprehensive review of financial anomalies and puzzles
Joerg Osterrieder, Michael Seigne
Open Research Europe
2 citations
DOI: 10.12688/openreseurope.16436.1

Modelling taxpayers’ behaviour based on prediction of trust using sentiment analysis
Ioana-Florina Coita, Ștefana Belbe, Codruța Mare, Joerg Osterrieder, Christian Hopp
Finance research letters
4 citations
DOI: 10.1016/j.frl.2023.104549

Navigating the Environmental, Social, and Governance (ESG) landscape: constructing a robust and reliable scoring engine - insights into Data Source Selection, Indicator Determination, Weighting and Aggregation Techniques, and Validation Processes for Comprehensive ESG Scoring Systems
Yiting Liu, Joerg Osterrieder, Branka Hadji Misheva, Nicole Koenigstein, Lennart John Baals
Open Research Europe
13 citations
DOI: 10.12688/openreseurope.16278.1

The Great Deception: A Comprehensive Study of Execution Strategies in Corporate Share Buy-Backs
Michael Seigne, Joerg Osterrieder
arXiv (Cornell University)
3 citations
DOI: 10.48550/arxiv.2307.09617

Digital Finance: Reaching New Frontiers
Joerg Osterrieder, Branka Hadji Misheva, Marcos Machado
Open Research Europe
DOI: 10.12688/openreseurope.15386.1

A Primer on Deep Reinforcement Learning for Finance
Joerg Osterrieder, Chat GPT
SSRN Electronic Journal
14 citations
DOI: 10.2139/ssrn.4316650

A Primer on Natural Language Processing for Finance
Joerg Osterrieder
SSRN Electronic Journal
8 citations
DOI: 10.2139/ssrn.4317320

A Primer on Artificial Intelligence and Machine Learning for the Financial Services Industry
Joerg Osterrieder
SSRN Electronic Journal
5 citations
DOI: 10.2139/ssrn.4349078

Unraveling Market Mysteries: A Comprehensive Review of Financial Anomalies and Puzzles
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
4 citations
DOI: 10.2139/ssrn.4511992

The Mysteries of Share Buyback Execution: Trading Anomalies, Benchmarks, and Psychological Misconceptions
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
4 citations
DOI: 10.2139/ssrn.4511382

Examining Share Repurchase Executions: Insights and Synthesis from the Existing Literature
Joerg Osterrieder
SSRN Electronic Journal
4 citations
DOI: 10.2139/ssrn.4548038

Mitigating Digital Asset Risks
Huei-Wen Teng, Wolfgang Karl Härdle, Joerg Osterrieder, Lennart John Baals, Vassilios G. Papavassiliou, et al.
SSRN Electronic Journal
4 citations
DOI: 10.2139/ssrn.4594467

Examining Share Repurchase Executions: Insights and Synthesis from the Existing Literature
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.4512729

An Overview - Stress Test Designs for the Evaluation of AI and ML Models Under Shifting Financial Conditions to Improve the Robustness of Models
Joerg Osterrieder, Veni Arakelian, Ioana Florina Coita, Branka Hadji Misheva, Audrius Kabašinskas, et al.
SSRN Electronic Journal
3 citations
DOI: 10.2139/ssrn.4634266

Navigating the ESG Landscape: Constructing a Robust and Reliable Scoring Engine
Yiting Liu, Joerg Osterrieder, Branka Hadji Misheva, Lennart John Baals
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.4475651

Machine Learning for Asset Management
Joerg Osterrieder
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4638186

A Primer on Anomaly and Fraud Detection in Blockchain Networks
Joerg Osterrieder, Stephen Chan, Jeffrey Chu, Yuanyuan Zhang
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4317520

The Great Deception: A Comprehensive Study of Execution Strategies in Corporate Share Buy-Backs - Decoding the Enigma of Equity Repurchases and their Disproportionate Cost Structures
Michael Seigne, Joerg Osterrieder
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4499366

A Free Lunch Hypothesis for Share Buybacks
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4526098

Rethinking Share Buyback Execution: Insights into Temporal Optionality and Empirical Anomalies
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4539559

Navigating Share Buyback Programs: A Genetic Algorithm Approach to Outperform the Buyback Benchmark
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4539469

Share Buybacks: A Theoretical Exploration of Genetic Algorithms and Mathematical Optionality
Joerg Osterrieder
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4539768

Temporal Optionality in Share Buyback Execution: An Empirical Anomaly and Value Optimization Approach
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4525781

A Free Lunch for Share Buybacks
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4539767

The Hidden Impact of the SEC’s Share Repurchasing Disclosure Modernization on Corporate Governance
Michael Seigne, Joerg Osterrieder
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4537835

A Primer on Time Series Analysis with R
Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.4316960

A Primer on Information Systems for the Financial Services Industry
Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.4348941

A Primer on Narrative Finance
Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.4324860

The Art of Portfolio Management - Lecture Notes
Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.4420127

Enterprise Applications, Markets and Services in the Finance Industry
Jos van Hillegersberg, Joerg Osterrieder, Fethi Rabhi, Abhishta Abhishta, Vijay Marisetty, et al.
Lecture notes in business information processing
DOI: 10.1007/978-3-031-31671-5

Temporal Optionality in Share Buybacks: Hypothesizing an Inevitable Brokerage Outperformance
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
DOI: 10.2139/ssrn.4526100

Rethinking Share Buyback Execution: Insights into Temporal Optionality and Empirical Anomalies
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
DOI: 10.2139/ssrn.4525779

Leveraging Network Topology for Credit Risk Assessment in P2p Lending: A Comparative Study Under the Lens of Machine Learning
Lennart John Baals, Yiting Liu, Joerg Osterrieder, Branka Hadji Misheva
SSRN Electronic Journal
DOI: 10.2139/ssrn.4550985

Temporal Optionality in Share Buyback Execution: An Empirical Anomaly and Value Optimization Approach
Joerg Osterrieder, Michael Seigne
SSRN Electronic Journal
DOI: 10.2139/ssrn.4625594

Exploring Research Visibility of the FinAI COST Action Members: a Bibliometric Analysis of Topics
Piotr Wójcik, Maciej Świtała, Wolfgang Karl Härdle, Codruța Mare, Daniel Traian Pele, et al.
SSRN Electronic Journal
DOI: 10.2139/ssrn.4616662

Deep Reinforcement Learning
Branka Hadji Misheva, Joerg Osterrieder
DOI: 10.24818/ida-cl/2023.171

Generative Adversarial Networks
Joerg Osterrieder
DOI: 10.24818/ida-cl/2023.172

Asset Management
Joerg Osterrieder
DOI: 10.24818/ida-cl/2023.174

Deep Learning
Branka Hadji Misheva, Joerg Osterrieder
DOI: 10.24818/ida-cl/2023.170

Artificial Intelligence Intro
Joerg Osterrieder
DOI: 10.24818/ida-cl/2023.168

2022

10 publications

Feature Selection via the Intervened Interpolative Decomposition and its Application in Diversifying Quantitative Strategies
Jun Lü, Joerg Osterrieder
arXiv (Cornell University)
DOI: 10.48550/arxiv.2209.14532

Editorial: Artificial intelligence in finance and industry: Highlights from 6 European COST conferences
Andreas Henrici, Joerg Osterrieder
Frontiers in Artificial Intelligence
3 citations
DOI: 10.3389/frai.2022.1007074

Discussion on: “Programmable money: next generation blockchain based conditional payments” by Ingo Weber and Mark Staples
Joerg Osterrieder
Digital Finance
DOI: 10.1007/s42521-022-00063-9

Simulating financial time series using attention
Weilong Fu, Ali Hirsa, Joerg Osterrieder
arXiv (Cornell University)
1 citations
DOI: 10.48550/arxiv.2207.00493

Applications of Reinforcement Learning in Finance – Trading with a Double Deep Q-Network
Frensi Zejnullahu, Maurice Moser, Joerg Osterrieder
arXiv (Cornell University)
1 citations
DOI: 10.48550/arxiv.2206.14267

High-Frequency Causality in the VIX Index and its derivatives: Empirical Evidence
Kia Farokhnia, Joerg Osterrieder
arXiv (Cornell University)
DOI: 10.48550/arxiv.2206.13138

AI for trading strategies
Danijel Jevtic, Romain Deleze, Joerg Osterrieder
arXiv (Cornell University)
1 citations
DOI: 10.48550/arxiv.2208.07168

The Efficient Market Hypothesis for Bitcoin in the context of neural networks
Mike Kraehenbuehl, Joerg Osterrieder
arXiv (Cornell University)
DOI: 10.48550/arxiv.2208.07254

Digital Finance - Reaching New Frontiers
Joerg Osterrieder, Branka Hadji Misheva, Marcos Machado
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.4292504

High-Frequency Causality in the VIX Index and Its Derivatives: Empirical Evidence
Kia Farokhnia, Joerg Osterrieder
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.4087569

2021

14 publications

Audience-Dependent Explanations for AI-Based Risk Management Tools: A Survey
Branka Hadji Misheva, David Jaggi, Jan-Alexander Posth, Thomas Gramespacher, Joerg Osterrieder
Frontiers in Artificial Intelligence
4 citations
DOI: 10.3389/frai.2021.794996

Wasserstein GAN: Deep Generation applied on Bitcoins financial time series
Samuel Rikli, Daniel Nico Bigler, Moritz Pfenninger, Joerg Osterrieder
arXiv (Cornell University)
4 citations
DOI: 10.48550/arxiv.2107.06008

The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets
Jan-Alexander Posth, Piotr Kotlarz, Branka Hadji Misheva, Joerg Osterrieder, Peter Schwendner
Frontiers in Artificial Intelligence
5 citations
DOI: 10.3389/frai.2021.668465

Explainable AI in Credit Risk Management
Branka Hadji Misheva, Joerg Osterrieder, Ali Hirsa, Onkar P. Kulkarni, Stephen Fung Lin
Data Archiving and Networked Services (DANS)
6 citations
DOI: 10.48550/arxiv.2103.00949

The VIX index under scrutiny of machine learning techniques and neural\n networks
Ali Hirsa, Joerg Osterrieder, Branka Hadji Misheva, Wenxin Cao, Yiwen Fu, et al.
arXiv (Cornell University)
DOI: 10.48550/arxiv.2102.02119

Explainable AI in Credit Risk Management
Branka Hadji Misheva, Joerg Osterrieder, Ali Hirsa, Onkar Kulkarni, Stephen Fung Lin
SSRN Electronic Journal
8 citations
DOI: 10.2139/ssrn.3795322

Generative Adversarial Networks in finance: an overview
Florian Eckerli, Joerg Osterrieder
SSRN Electronic Journal
4 citations
DOI: 10.2139/ssrn.3864965

Deep Reinforcement Learning for Finance and the Efficient Market Hypothesis
Leander Odermatt, Jetmir Beqiraj, Joerg Osterrieder
SSRN Electronic Journal
3 citations
DOI: 10.2139/ssrn.3865019

The VIX Index Under Scrutiny of Machine Learning Techniques and Neural Networks
Ali Hirsa, Joerg Osterrieder, Branka Hadji Misheva, Wenxin Cao, Yiwen Fu, et al.
SSRN Electronic Journal
3 citations
DOI: 10.2139/ssrn.3796351

Analyzing Deep Generated Financial Time Series for Various Asset Classes
Antonio Rosolia, Joerg Osterrieder
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.3898792

Wasserstein GAN: Deep Generation Applied on Financial Time Series
Moritz Pfenninger, Daniel Nico Bigler, Samuel Rikli, Joerg Osterrieder
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.3885659

Risk Parity for Multi-Asset Futures Allocation – A Practical Analysis of the Equal Risk Contribution Portfolio
Chris Bucher, Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.3858730

Deep reinforcement learning on a multi-asset environment for trading
Ali Hirsa, Joerg Osterrieder, Branka Hadji Misheva, Jan-Alexander Posth
arXiv (Cornell University)
DOI: 10.21256/zhaw-22850

Deep Reinforcement Learning on a Multi-Asset Environment for Trading
Ali Hirsa, Joerg Osterrieder, Branka Hadji Misheva, Jan-Alexander Posth
SSRN Electronic Journal
DOI: 10.2139/ssrn.3867800

2020

4 publications

Neural networks and arbitrage in the VIX
Joerg Osterrieder, Dariusz Kucharczyk, Silas Rudolf, Daniel Wittwer
Digital Finance
14 citations
DOI: 10.1007/s42521-020-00026-y

The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets: A Feasibility Study
Piotr Kotlarz, Branka Hadji Misheva, Jan-Alexander Posth, Joerg Osterrieder, Peter Schwendner
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.3737714

Neural Networks and Arbitrage in the VIX
Joerg Osterrieder, Dariusz Kucharczyk, Silas Rudolf, Daniel Wittwer
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.3591755

Special Issue on Cryptocurrencies
Joerg Osterrieder, Andrea Barletta

2019

5 publications

Editorial: AI and Financial Technology
Paolo Giudici, Ronald Hochreiter, Joerg Osterrieder, Jochen Papenbrock, Peter Schwendner
Frontiers in Artificial Intelligence
8 citations
DOI: 10.3389/frai.2019.00025

Editorial on the Special Issue on Cryptocurrencies
Joerg Osterrieder, Andrea Barletta
Digital Finance
DOI: 10.1007/s42521-019-00015-w

The VIX Volatility Index - A Very Thorough Look at It
Joerg Osterrieder, Lars Vetter, Kevin Röschli
SSRN Electronic Journal
6 citations
DOI: 10.2139/ssrn.3311727

Neural Networks and Arbitrage in the VIX – A Deep Learning Approach for the VIX
Dariusz Kucharczyk, Joerg Osterrieder, Silas Rudolf, Daniel Wittwer
SSRN Electronic Journal
DOI: 10.2139/ssrn.3305686

Value Strategy FX
Joerg Osterrieder
DOI: 10.24818/ida-ql/2019.269

2018

3 publications

Pattern Learning Via Artificial Neural Networks for Financial Market Predictions
Andreas Gabler, Dominique Perez, Ueli Sutter, Dariusz Kucharczyk, Joerg Osterrieder, et al.
SSRN Electronic Journal
2 citations
DOI: 10.2139/ssrn.3243479

Pricing, Loss and Sensitivity Analysis of Barrier Options via Regression
Andreas Gabler, Martin Wiegand, Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.3194111

Pricing, Loss and Sensitivity Analysis of Barrier Options via Regression
Andreas Gabler, Martin Wiegand, Joerg Osterrieder

2017

11 publications

GARCH Modelling of Cryptocurrencies
Jeffrey Chu, Stephen Chan, Saralees Nadarajah, Joerg Osterrieder
Journal of risk and financial management
330 citations
DOI: 10.3390/jrfm10040017

Momentum and trend following trading strategies for currencies revisited : combining academia and industry
Janick Rohrbach, Silvan Suremann, Joerg Osterrieder
Zürcher Hochschule für Angewandte Wissenschaften digital collection (Zurich University of Applied Sciences)
7 citations
DOI: 10.2139/ssrn.2949379

A Statistical Analysis of Cryptocurrencies
Stephen Chan, Jeffrey Chu, Saralees Nadarajah, Joerg Osterrieder
Journal of risk and financial management
179 citations
DOI: 10.3390/jrfm10020012

A STATISTICAL RISK ASSESSMENT OF BITCOIN AND ITS EXTREME TAIL BEHAVIOR
Joerg Osterrieder, Julian Lorenz
Annals of Financial Economics
138 citations
DOI: 10.1142/s2010495217500038

Bitcoin and Cryptocurrencies—Not for the Faint-Hearted
Joerg Osterrieder, Martin Strika, Julian Lorenz
International Finance and Banking
58 citations
DOI: 10.5296/ifb.v4i1.10451

GARCH Modeling of Cryptocurrencies
Jeffrey Chu, Stephen Chan, Saralees Nadarajah, Joerg Osterrieder
SSRN Electronic Journal
28 citations
DOI: 10.2139/ssrn.3047027

A Statistical Analysis of Cryptocurrencies
Joerg Osterrieder, Stephen Chan, Jeffrey Chu, Saralees Nadarajah
SSRN Electronic Journal
18 citations
DOI: 10.2139/ssrn.2948315

The Statistics of Bitcoin and Cryptocurrencies
Joerg Osterrieder
Advances in economics, business and management research/Advances in Economics, Business and Management Research
14 citations
DOI: 10.2991/icefs-17.2017.33

Momentum in Traditional and Cryptocurrencies Made Simple
Janick Rohrbach, Silvan Suremann, Joerg Osterrieder
SSRN Electronic Journal
5 citations
DOI: 10.2139/ssrn.2949379

Bitcoin and Cryptocurrencies¡ªNot for the Faint-Hearted
Joerg Osterrieder, Martin Strika, Julian Lorenz
International Finance and Banking
1 citations

A Statistical Analysis of Carry Trading
Siro Fritzmann, David Jaggi, Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.2993902

2016

3 publications

A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behaviour
Joerg Osterrieder, Julian Lorenz
SSRN Electronic Journal
4 citations

Bitcoin and Cryptocurrencies - Not for the Faint-Hearted
Joerg Osterrieder, Julian Lorenz, Martin Strika
SSRN Electronic Journal
19 citations
DOI: 10.2139/ssrn.2867671

The Statistics of Bitcoin and Cryptocurrencies
Joerg Osterrieder
SSRN Electronic Journal
11 citations
DOI: 10.2139/ssrn.2872158

2009

1 publications

Arbitrage, Market Microstructure and the Limit Order Book
Joerg Osterrieder
9 citations

2008

2 publications

Simulation of a Limit Order Driven Market
Julian Lorenz, Joerg Osterrieder
The Journal of Trading
9 citations
DOI: 10.3905/jot.2009.4.1.023

Simulation of a Limit Order Driven Market
Julian Lorenz, Joerg Osterrieder
SSRN Electronic Journal
1 citations
DOI: 10.2139/ssrn.2984309

2007

1 publications

Arbitrage, the limit order book and market microstructure aspects in financial market models
Joerg Osterrieder
Repository for Publications and Research Data (ETH Zurich)
4 citations
DOI: 10.3929/ethz-a-005369031

2006

2 publications

Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change
Joerg Osterrieder, Thorsten Rheinländer
Annals of Finance
16 citations
DOI: 10.1007/s10436-006-0037-z

A Theoretical Model of the Limit Order Book and Some Applications
Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.881274

2005

2 publications

A Dynamic Market Microstructure Model with Insider Information and Order Book
Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.676028

A Dynamic Market Microstructure Model with Market Orders and Random Order Book Depth
Joerg Osterrieder
SSRN Electronic Journal
DOI: 10.2139/ssrn.2984315

2004

1 publications

Arbitrage Opportunities in Diverse Markets via a Non-Equivalent Measure Change
Joerg Osterrieder, Thorsten Rheinländer
SSRN Electronic Journal
DOI: 10.2139/ssrn.2984318