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Details about Ulrich Horst

Homepage:http://www.math.hu-berlin.de/~horst
Workplace:Sonderforschungsbereich 649: Ökonomisches Risiko (Collaborative Research Center 649: Economic Risk), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC)

Access statistics for papers by Ulrich Horst.

Last updated 2017-07-27. Update your information in the RePEc Author Service.

Short-id: pho443


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Working Papers

2018

  1. Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact
    Post-Print, HAL Downloads View citations (2)
    Also in Papers, arXiv.org (2017) Downloads View citations (4)

2017

  1. A diffusion approximation for limit order book models
    Papers, arXiv.org Downloads
  2. Mean Field Games with Singular Controls
    Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition Downloads View citations (1)
  3. Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
    Papers, arXiv.org Downloads View citations (7)
  4. Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
    Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads
  5. Sender-Receiver Games with Cooperation
    Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition Downloads
  6. Trading under Market Impact
    Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition Downloads

2016

  1. A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
    Papers, arXiv.org Downloads View citations (4)
  2. A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-
    Papers, arXiv.org Downloads
  3. A weak law of large numbers for a limit order book model with fully state dependent order dynamics
    Papers, arXiv.org Downloads View citations (2)
  4. Conditional Analysis and a Principal-Agent problem
    Papers, arXiv.org Downloads

2015

  1. A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
    Papers, arXiv.org Downloads
  2. A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
    Papers, arXiv.org Downloads View citations (17)
  3. A law of large numbers for limit order books
    Papers, arXiv.org Downloads View citations (4)
  4. Feasibility and individual rationality in two-person Bayesian games
    Post-Print, HAL
    Also in Working Papers, HAL (2014) Downloads

    See also Journal Article in International Journal of Game Theory (2016)

2012

  1. Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
    Papers, arXiv.org Downloads
    See also Journal Article in Annals of Finance (2013)
  2. Hidden Liquidity: Determinants and Impact
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2011

  1. Continuous Equilibrium under Base Preferences and Attainable Initial Endowments
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Efficiency and Equilibria in Games of Optimal Derivative Design
    Papers, arXiv.org Downloads View citations (15)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads
  3. Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    See also Journal Article in Mathematics of Operations Research (2016)
  4. Forward-backward systems for expected utility maximization
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
    See also Journal Article in Stochastic Processes and their Applications (2014)
  5. When to Cross the Spread: Curve Following with Singular Control
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (17)

2010

  1. Dynamic Systems of Social Interactions
    Post-Print, HAL Downloads View citations (1)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads View citations (2)

    See also Journal Article in Journal of Economic Behavior & Organization (2010)
  2. Equilibria in Systems of Social Interactions
    Levine's Working Paper Archive, David K. Levine Downloads View citations (1)
    Also in Princeton Economic Theory Working Papers, David K. Levine (2003) Downloads View citations (16)

    See also Journal Article in Journal of Economic Theory (2006)
  3. Illiquidity and Derivative Valuation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (15)
    Also in Papers, arXiv.org (2008) Downloads
  4. On Securitization, Market Completion and Equilibrium Risk Transfer
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (26)

2007

  1. A Limit Theorem for Financial Markets with Inert Investors
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Mathematics of Operations Research (2006)
  2. Changing Identity: The Emergence of Social Groups
    Economics Working Papers, Institute for Advanced Study, School of Social Science Downloads View citations (10)
    Also in Working Papers, HAL (2006) Downloads View citations (7)
  3. Queueing Theoretic Approaches to Financial Price Fluctuations
    Papers, arXiv.org Downloads View citations (8)

2006

  1. Non-ergodic Behavior in a Financial Market with Interacting Investors
    2006 Meeting Papers, Society for Economic Dynamics

2002

  1. Stability of linear stochastic difference equations in controlled random environments
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  2. Stationary equilibria in discounted stochastic games with weakly interacting players
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article in Games and Economic Behavior (2005)

2001

  1. Asymptotics of locally interacting Markov chains with global signals
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (3)
  2. Convergence of locally and globally interacting Markov chains
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (9)
    See also Journal Article in Stochastic Processes and their Applications (2001)
  3. Financial price fluctuations in a stock market model with many interacting agents
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in Economic Theory (2005)

2000

  1. The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads

1999

  1. Ergodic fluctuations in a stock market model with interacting agents: The mean field case
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)

Journal Articles

2016

  1. Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences
    Mathematics of Operations Research, 2016, 41, (1), 174-195 Downloads View citations (5)
    See also Working Paper (2011)
  2. Feasibility and individual rationality in two-person Bayesian games
    International Journal of Game Theory, 2016, 45, (1), 11-36 Downloads View citations (3)
    See also Working Paper (2015)

2015

  1. Optimal order display in limit order markets with liquidity competition
    Journal of Economic Dynamics and Control, 2015, 58, (C), 81-100 Downloads View citations (5)

2014

  1. Forward–backward systems for expected utility maximization
    Stochastic Processes and their Applications, 2014, 124, (5), 1813-1848 Downloads View citations (9)
    See also Working Paper (2011)

2013

  1. Continuous equilibrium in affine and information-based capital asset pricing models
    Annals of Finance, 2013, 9, (4), 725-755 Downloads
    See also Working Paper (2012)

2011

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

2010

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

2009

  1. A limit theorem for systems of social interactions
    Journal of Mathematical Economics, 2009, 45, (9-10), 609-623 Downloads View citations (5)

2008

  1. On non-ergodic asset prices
    Economic Theory, 2008, 34, (2), 207-234 Downloads View citations (11)
  2. QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
    Macroeconomic Dynamics, 2008, 12, (2), 211-233 Downloads View citations (15)

2007

  1. BookReview
    Quantitative Finance, 2007, 7, (1), 17-18 Downloads
  2. On the Spanning Property of Risk Bonds Priced by Equilibrium
    Mathematics of Operations Research, 2007, 32, (4), 784-807 Downloads View citations (3)
  3. Stochastic cascades, credit contagion, and large portfolio losses
    Journal of Economic Behavior & Organization, 2007, 63, (1), 25-54 Downloads View citations (15)

2006

  1. A Limit Theorem for Financial Markets with Inert Investors
    Mathematics of Operations Research, 2006, 31, (4), 789-810 Downloads View citations (1)
    See also Working Paper (2007)
  2. Equilibria in systems of social interactions
    Journal of Economic Theory, 2006, 130, (1), 44-77 Downloads View citations (24)
    See also Working Paper (2010)
  3. Rational expectations equilibria of economies with local interactions
    Journal of Economic Theory, 2006, 127, (1), 74-116 Downloads View citations (27)

2005

  1. A Simple Model for Trading Climate Risk
    Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, 2005, 74, (2), 175-195 Downloads View citations (2)
  2. Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
    Journal of Mathematical Economics, 2005, 41, (1-2), 123-155 Downloads View citations (56)
  3. Financial price fluctuations in a stock market model with many interacting agents
    Economic Theory, 2005, 25, (4), 917-932 Downloads View citations (30)
    See also Working Paper (2001)
  4. Stationary equilibria in discounted stochastic games with weakly interacting players
    Games and Economic Behavior, 2005, 51, (1), 83-108 Downloads View citations (27)
    See also Working Paper (2002)

2001

  1. Convergence of locally and globally interacting Markov chains
    Stochastic Processes and their Applications, 2001, 96, (1), 99-121 Downloads View citations (11)
    See also Working Paper (2001)
 
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