Details about Ulrich Horst

Access statistics for papers by Ulrich Horst.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pho443

Working Papers

2018

1. Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact
   Post-Print, HAL View citations (7)
   Also in Papers, arXiv.org (2017) View citations (4)

2017

2. A diffusion approximation for limit order book models
   Papers, arXiv.org View citations (2)
3. Mean Field Games with Singular Controls
   Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition View citations (14)
4. Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
   Papers, arXiv.org View citations (30)
5. Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
   Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014)
6. Sender-Receiver Games with Cooperation
   Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition
7. Trading under Market Impact
   Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition

2016

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

2015

12. A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
    Papers, arXiv.org View citations (26)
13. A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
    Papers, arXiv.org View citations (32)
14. A law of large numbers for limit order books
    Papers, arXiv.org View citations (4)

2014

15. Feasibility and individual rationality in two-person Bayesian games
    Working Papers, HAL View citations (1)
    See also Journal Article Feasibility and individual rationality in two-person Bayesian games, International Journal of Game Theory, Springer (2016) View citations (5) (2016)

2012

16. Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
    Papers, arXiv.org
    See also Journal Article Continuous equilibrium in affine and information-based capital asset pricing models, Annals of Finance, Springer (2013) (2013)
17. Hidden liquidity: Determinants and impact
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2011

18. Continuous equilibrium under base preferences and attainable initial endowments
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
19. Efficiency and Equilibria in Games of Optimal Derivative Design
    Papers, arXiv.org View citations (15)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
20. Equilibrium pricing in incomplete markets under translation invariant preferences
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
21. Forward-backward systems for expected utility maximization
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Forward–backward systems for expected utility maximization, Stochastic Processes and their Applications, Elsevier (2014) View citations (13) (2014)
22. Optimal display of Iceberg orders
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
23. When to cross the spread: Curve following with singular control
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2010

24. Dynamic Systems of Social Interactions
    Post-Print, HAL View citations (3)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
    See also Journal Article Dynamic systems of social interactions, Journal of Economic Behavior & Organization, Elsevier (2010) View citations (3) (2010)
25. Equilibria in Systems of Social Interactions
    Levine's Working Paper Archive, David K. Levine View citations (2)
    Also in Princeton Economic Theory Working Papers, David K. Levine (2003) View citations (17)
    See also Journal Article Equilibria in systems of social interactions, Journal of Economic Theory, Elsevier (2006) View citations (42) (2006)
26. Illiquidity and derivative valuation
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    Also in Papers, arXiv.org (2008)
27. On securitization, market completion and equilibrium risk transfer
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2007

28. A Limit Theorem for Financial Markets with Inert Investors
    Papers, arXiv.org View citations (7)
29. Changing Identity: The Emergence of Social Groups
    Economics Working Papers, Institute for Advanced Study, School of Social Science View citations (11)
    Also in Working Papers, HAL (2006) View citations (14)
30. Queueing Theoretic Approaches to Financial Price Fluctuations
    Papers, arXiv.org View citations (11)

2006

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

2002

32. 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
33. 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
    See also Journal Article Stationary equilibria in discounted stochastic games with weakly interacting players, Games and Economic Behavior, Elsevier (2005) View citations (37) (2005)

2001

34. 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 View citations (4)
35. 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 View citations (17)
    See also Journal Article Convergence of locally and globally interacting Markov chains, Stochastic Processes and their Applications, Elsevier (2001) View citations (18) (2001)
36. 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 View citations (2)
    See also Journal Article Financial price fluctuations in a stock market model with many interacting agents, Economic Theory, Springer (2005) View citations (35) (2005)

2000

37. 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 View citations (1)

1999

38. 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 View citations (1)

Journal Articles

2016

1. Feasibility and individual rationality in two-person Bayesian games
   International Journal of Game Theory, 2016, 45, (1), 11-36 View citations (5)
   See also Working Paper Feasibility and individual rationality in two-person Bayesian games, Working Papers (2014) View citations (1) (2014)

2015

2. Optimal order display in limit order markets with liquidity competition
   Journal of Economic Dynamics and Control, 2015, 58, (C), 81-100 View citations (9)

2014

3. Forward–backward systems for expected utility maximization
   Stochastic Processes and their Applications, 2014, 124, (5), 1813-1848 View citations (13)
   See also Working Paper Forward-backward systems for expected utility maximization, SFB 649 Discussion Papers (2011) (2011)

2013

4. Continuous equilibrium in affine and information-based capital asset pricing models
   Annals of Finance, 2013, 9, (4), 725-755
   See also Working Paper Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models, Papers (2012) (2012)

2011

5. On derivatives with illiquid underlying and market manipulation
   Quantitative Finance, 2011, 11, (7), 1051-1066 View citations (2)

2010

6. Dynamic systems of social interactions
   Journal of Economic Behavior & Organization, 2010, 73, (2), 158-170 View citations (3)
   See also Working Paper Dynamic Systems of Social Interactions, Post-Print (2010) View citations (3) (2010)

2009

7. A limit theorem for systems of social interactions
   Journal of Mathematical Economics, 2009, 45, (9-10), 609-623 View citations (6)

2008

8. On non-ergodic asset prices
   Economic Theory, 2008, 34, (2), 207-234 View citations (14)
9. QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
   Macroeconomic Dynamics, 2008, 12, (2), 211-233 View citations (17)

2007

10. BookReview
    Quantitative Finance, 2007, 7, (1), 17-18
11. Stochastic cascades, credit contagion, and large portfolio losses
    Journal of Economic Behavior & Organization, 2007, 63, (1), 25-54 View citations (22)

2006

12. Equilibria in systems of social interactions
    Journal of Economic Theory, 2006, 130, (1), 44-77 View citations (42)
    See also Working Paper Equilibria in Systems of Social Interactions, Levine's Working Paper Archive (2010) View citations (2) (2010)
13. Rational expectations equilibria of economies with local interactions
    Journal of Economic Theory, 2006, 127, (1), 74-116 View citations (31)

2005

14. A Simple Model for Trading Climate Risk
    Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, 2005, 74, (2), 175-195 View citations (4)
15. Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
    Journal of Mathematical Economics, 2005, 41, (1-2), 123-155 View citations (69)
16. Financial price fluctuations in a stock market model with many interacting agents
    Economic Theory, 2005, 25, (4), 917-932 View citations (35)
    See also Working Paper Financial price fluctuations in a stock market model with many interacting agents, SFB 373 Discussion Papers (2001) View citations (2) (2001)
17. Stationary equilibria in discounted stochastic games with weakly interacting players
    Games and Economic Behavior, 2005, 51, (1), 83-108 View citations (37)
    See also Working Paper Stationary equilibria in discounted stochastic games with weakly interacting players, SFB 373 Discussion Papers (2002) (2002)

2001

18. Convergence of locally and globally interacting Markov chains
    Stochastic Processes and their Applications, 2001, 96, (1), 99-121 View citations (18)
    See also Working Paper Convergence of locally and globally interacting Markov chains, SFB 373 Discussion Papers (2001) View citations (17) (2001)