A statistical risk assessment of Bitcoin and its extreme tail behavior

J Osterrieder, J Lorenz - Annals of Financial Economics, 2017 - World Scientific
We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the
tail risk characteristics and we will provide an in-depth univariate extreme value analysis. …

[PDF][PDF] Adaptive arrival price

R Almgren, J Lorenz - Algorithmic trading III: precision, control …, 2007 - julian-lorenz.de
Electronic trading of equities and other securities makes heavy use of “arrival price” algorithms,
that determine optimal trade schedules by balancing the market impact cost of rapid …

Bitcoin and cryptocurrencies-not for the faint-hearted

J Osterrieder, J Lorenz, M Strika - Available at SSRN 2867671, 2016 - papers.ssrn.com
Cryptocurrencies became popular with the emergence of Bitcoin and have shown an
unprecedented growth over the last few years. As of November 2016, more than 720 …

Mean–variance optimal adaptive execution

J Lorenz, R Almgren - Applied Mathematical Finance, 2011 - Taylor & Francis
Electronic trading of equities and other securities makes heavy use of ‘arrival price’ algorithms
that balance the market impact cost of rapid execution against the volatility risk of slow …

Optimal Algorithms for k-Search with Application in Option Pricing

J Lorenz, K Panagiotou, A Steger - Algorithmica, 2009 - Springer
In the k-search problem, a player is searching for the k highest (respectively, lowest) prices
in a sequence, which is revealed to her sequentially. At each quotation, the player has to …

[PDF][PDF] Bayesian adaptive trading with a daily cycle

R Almgren, J Lorenz - Journal of Trading, 2006 - algorithmictradingpit.com
Standard models of algorithmic trading neglect the presence of a daily cycle. We construct a
model in which the trader uses information from observations of price evolution during the …

Reduction of platinum loading in gas diffusion electrodes for high temperature proton exchange membrane fuel cell application: Characterization and effect on oxygen …

…, T Zierdt, J Mueller-Huelstede, W Deter, J Lorenz… - Journal of Power …, 2022 - Elsevier
Lowering the Pt loading in catalyst layers of high temperature proton exchange membrane
fuel cells (HT PEMFC) is of particular importance due to the currently high amounts of noble …

Haystack: a panoptic scene graph dataset to evaluate rare predicate classes

J Lorenz, F Barthel, D Kienzle… - Proceedings of the …, 2023 - openaccess.thecvf.com
Current scene graph datasets suffer from strong long-tail distributions of their predicate classes.
Due to a very low number of some predicate classes in the test sets, no reliable metrics …

COVID detection and severity prediction with 3D-ConvNeXt and custom pretrainings

D Kienzle, J Lorenz, R Schön, K Ludwig… - European Conference on …, 2022 - Springer
Since COVID strongly affects the respiratory system, lung CT-scans can be used for the
analysis of a patients health. We introduce a neural network for the prediction of the severity of …

Application of ion chromatography for the reliable quantification of ammonium in electrochemical ammonia synthesis experiments: a practical guide

SCH Bragulla, J Lorenz, C Harms, M Wark… - …, 2023 - Wiley Online Library
Assessing novel electrocatalysts for the electrochemical ammonia synthesis (EAS) requires
reliable quantitative trace analysis of electrochemically produced ammonia to infer activity …