Details about Ulrich Horst

Access statistics for papers by Ulrich Horst.

Last updated 2011-11-14. Update your information in the RePEc Author Service.

Short-id: pho443

Working Papers

2011

1. Efficiency and Equilibria in Games of Optimal Derivative Design
   Papers, arXiv.org View citations (12)
   Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010)
2. Forward-backward systems for expected utility maximization
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
3. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US S&P500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60%
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
4. When to Cross the Spread: Curve Following with Singular Control
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (14)

2010

5. Dynamic Systems of Social Interactions
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
   See also Journal Article in Journal of Economic Behavior & Organization (2010)
6. Equilibria in Systems of Social Interactions
   Levine's Working Paper Archive, David K. Levine View citations (1)
   Also in Princeton Economic Theory Working Papers, David K. Levine (2003) View citations (18)
   See also Journal Article in Journal of Economic Theory (2006)
7. Illiquidity and Derivative Valuation
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (14)
   Also in Papers, arXiv.org (2008)
8. On Securitization, Market Completion and Equilibrium Risk Transfer
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (18)

2007

9. A Limit Theorem for Financial Markets with Inert Investors
   Papers, arXiv.org View citations (6)
10. Changing Identity: The Emergence of Social Groups
    Economics Working Papers, Institute for Advanced Study, School of Social Science View citations (7)
    Also in Working Papers, HAL (2006) View citations (4)
11. Queueing Theoretic Approaches to Financial Price Fluctuations
    Papers, arXiv.org

2006

12. A Limit Theorem for Systems of Social Interactions
    Levine's Bibliography, UCLA Department of Economics
    See also Journal Article in Journal of Mathematical Economics (2009)
13. Non-ergodic Behavior in a Financial Market with Interacting Investors
    2006 Meeting Papers, Society for Economic Dynamics View citations (1)

Journal Articles

2011

1. On derivatives with illiquid underlying and market manipulation
   Quantitative Finance, 2011, 11, (7), 1051-1066

2010

2. Dynamic systems of social interactions
   Journal of Economic Behavior & Organization, 2010, 73, (2), 158-170
   See also Working Paper (2010)

2009

3. A limit theorem for systems of social interactions
   Journal of Mathematical Economics, 2009, 45, (9-10), 609-623 View citations (3)
   See also Working Paper (2006)

2008

4. On non-ergodic asset prices
   Economic Theory, 2008, 34, (2), 207-234 View citations (4)
5. QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
   Macroeconomic Dynamics, 2008, 12, (02), 211-233 View citations (4)

2007

6. BookReview
   Quantitative Finance, 2007, 7, (1), 17-18
7. Stochastic cascades, credit contagion, and large portfolio losses
   Journal of Economic Behavior & Organization, 2007, 63, (1), 25-54 View citations (7)

2006

8. Equilibria in systems of social interactions
   Journal of Economic Theory, 2006, 130, (1), 44-77 View citations (13)
   See also Working Paper (2010)
9. Rational expectations equilibria of economies with local interactions
   Journal of Economic Theory, 2006, 127, (1), 74-116 View citations (18)

2005

10. A Simple Model for Trading Climate Risk
    Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, 2005, 74, (2), 175-195 View citations (2)
11. Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
    Journal of Mathematical Economics, 2005, 41, (1-2), 123-155 View citations (19)
12. Financial price fluctuations in a stock market model with many interacting agents
    Economic Theory, 2005, 25, (4), 917-932 View citations (10)
13. Stationary equilibria in discounted stochastic games with weakly interacting players
    Games and Economic Behavior, 2005, 51, (1), 83-108 View citations (10)

2001

14. Convergence of locally and globally interacting Markov chains
    Stochastic Processes and their Applications, 2001, 96, (1), 99-121 View citations (8)