Ulrich Horst : Citation Profile


Are you Ulrich Horst?

Humboldt-Universität Berlin

14

H index

19

i10 index

475

Citations

RESEARCH PRODUCTION:

21

Articles

44

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 25
   Journals where Ulrich Horst has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 35 (6.86 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho443
   Updated: 2022-06-25    RAS profile: 2017-07-27    
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Relations with other researchers


Works with:

Forges, Francoise (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ulrich Horst.

Is cited by:

He, Xuezhong (Tony) (14)

Härdle, Wolfgang (11)

Lagunoff, Roger (11)

Bisin, Alberto (10)

Ioannides, Yannis (9)

Chiarella, Carl (8)

Schienle, Melanie (8)

Weron, Rafał (8)

Lux, Thomas (6)

Durlauf, Steven (6)

Hautsch, Nikolaus (5)

Cites to:

Härdle, Wolfgang (33)

Brock, William (22)

Hautsch, Nikolaus (17)

Scheinkman, Jose (15)

Hommes, Cars (13)

Hunt, Jennifer (12)

Burda, Michael (12)

Taschini, Luca (12)

Schied, Alexander (12)

Durlauf, Steven (11)

Shleifer, Andrei (10)

Main data


Where Ulrich Horst has published?


Journals with more than one article published# docs
Mathematics of Operations Research3
Economic Theory2
Quantitative Finance2
Journal of Economic Theory2
Journal of Economic Behavior & Organization2
Stochastic Processes and their Applications2
Journal of Mathematical Economics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org15
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany9
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes7
Rationality and Competition Discussion Paper Series / CRC TRR 190 Rationality and Competition4
Post-Print / HAL2
Working Papers / HAL2

Recent works citing Ulrich Horst (2021 and 2020)


YearTitle of citing document
2020Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. (2019). Xia, Xiaonyu ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1809.01972.

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2021Time-inconsistent consumption-investment problems in incomplete markets under general discount functions. (2019). Hamaguchi, Yushi. In: Papers. RePEc:arx:papers:1912.01281.

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2020Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations. (2019). Feinstein, Zachary ; Ararat, cCaugin . In: Papers. RePEc:arx:papers:1912.06916.

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2022Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2002.09549.

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2020Reinforcement Learning in Economics and Finance. (2020). Remlinger, Carl ; Elie, Romuald ; Charpentier, Arthur. In: Papers. RePEc:arx:papers:2003.10014.

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2021Optimal trade execution in an order book model with stochastic liquidity parameters. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05843.

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2021C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05863.

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2020Mean Field Exponential Utility Game: A Probabilistic Approach. (2020). Zhou, Chao ; Su, Xizhi ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2006.07684.

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2020Relative wealth concerns with partial information and heterogeneous priors. (2020). Zhou, Chao ; Su, Xizhi ; Deng, Chao. In: Papers. RePEc:arx:papers:2007.11781.

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2020Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Horst, Ulrich ; Fu, Guanxing ; Xia, Xiaonyu. In: Papers. RePEc:arx:papers:2011.05589.

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2020Static Hedging of Weather and Price Risks in Electricity Markets. (2020). Vera, Juan C ; Robayo, Javier Pantoja . In: Papers. RePEc:arx:papers:2011.08620.

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2021On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731.

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2021Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957.

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2021A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption. (2021). Sircar, Ronnie ; Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:2104.06152.

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2021Stationary Discounted and Ergodic Mean Field Games of Singular Control. (2021). Cao, Haoyang ; Ferrari, Giorgio ; Dianetti, Jodi. In: Papers. RePEc:arx:papers:2105.07213.

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2021Mean Field Portfolio Games in Incomplete Markets: Nonconstant Equilibria Do Not Exist in $L^\infty$. (2021). Zhou, Chao ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2106.06185.

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2021Information Spillover in Multiple Zero-sum Games. (2021). Pahl, Lucas. In: Papers. RePEc:arx:papers:2111.01647.

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2021On effects of negative resilience on optimal trade execution in stochastic order books. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2112.03789.

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2022Pricing principle via Tsallis relative entropy in incomplete market. (2022). Tian, Dejian. In: Papers. RePEc:arx:papers:2201.05316.

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2022Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610.

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2022On Parametric Optimal Execution and Machine Learning Surrogates. (2022). Voss, Moritz ; Ludkovski, Mike ; Chen, Tao. In: Papers. RePEc:arx:papers:2204.08581.

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2021Stationary Discounted and Ergodic Mean Field Games of Singular Control. (2021). Ferrari, Giorgio ; Dianetti, Jodi ; Cao, Haoyang. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:650.

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2022A Unifying Framework for Submodular Mean Field Games. (2022). Nendel, Max ; Fischer, Markus ; Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:661.

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2021Markov Switching Panel with Endogenous Synchronization Effects. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps82.

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2022Order scoring, bandit learning and order cancellations. (2022). Xu, Tianrun ; Gao, Xuefeng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002220.

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2021Uncovering heterogeneous social effects in binary choices. (2021). Tang, Xun ; Lin, Zhongjian ; Yu, Ning Neil. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:959-973.

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2022Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

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2021An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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2021The social multiplier of environmental policy: Application to carbon taxation. (2021). van den Bergh, Jeroen ; Savin, Ivan ; Konc, Theo. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:105:y:2021:i:c:s0095069620301194.

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2020Multi-group binary choice with social interaction and a random communication structure—A random graph approach. (2020). Vermet, Franck ; Schubert, Kristina ; Lowe, Matthias. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:556:y:2020:i:c:s0378437120303678.

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2021The stochastic evolution of a rumor spreading model with two distinct spread inhibiting and attitude adjusting mechanisms in a homogeneous social network. (2021). Li, Tan ; Georgescu, Paul ; Zhang, Hong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120306968.

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2021Broken detailed balance and non-equilibrium dynamics in noisy social learning models. (2021). Piliouras, Georgios ; Chotibut, Thiparat ; Vaidya, Tushar. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:570:y:2021:i:c:s037843712100090x.

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2020Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model. (2020). Campi, Luciano ; Benazzoli, Chiara ; di Persio, Luca. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:11:p:6927-6964.

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2020Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire. (2020). Mostovyi, Oleksii. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4444-4469.

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2021Asymptotic approach for backward stochastic differential equation with singular terminal condition. (2021). Popier, Alexandre ; Graewe, Paulwin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:133:y:2021:i:c:p:247-277.

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2021Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach. (2021). Nam, Kihun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:141:y:2021:i:c:p:376-411.

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2022Strong solutions of forward–backward stochastic differential equations with measurable coefficients. (2022). Tangpi, Ludovic ; Menoukeu-Pamen, Olivier ; Luo, Peng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:144:y:2022:i:c:p:1-22.

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2022Mean Reversions in Major Developed Stock Markets: Recent Evidence from Unit Root, Spectral and Abnormal Return Studies. (2022). Chen, Clara Chia-Sheng ; Li, Wei-Xuan ; Nguyen, James. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:162-:d:785500.

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2021Statistical discrimination without knowing statistics: blame social interactions?. (2021). Tanimura, Emily. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03096126.

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2021Strategic information transmission with senders approval. (2021). Renault, Jerome ; Forges, Franoise. In: Post-Print. RePEc:hal:journl:hal-02440627.

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2020Strategic information transmission with senders approval. (2020). Renault, Jerome ; Forges, Franoise. In: Working Papers. RePEc:hal:wpaper:hal-02440627.

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2021Statistical discrimination without knowing statistics: blame social interactions?. (2021). Tanimura, Emily. In: Working Papers. RePEc:hal:wpaper:hal-03096126.

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2020A Stochastic Analysis of Queues with Customer Choice and Delayed Information. (2020). Wesson, Elizabeth ; Rand, Richard ; Pender, Jamol. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:1104-1126.

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2021Selection and Endogenous Treatment Models with Social Interactions: An Application to the Impact of Exercise on Self-Esteem. (2021). Vella, Francis ; Lin, Zhongjian. In: IZA Discussion Papers. RePEc:iza:izadps:dp14167.

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2022Segmented assimilation: a minoritys dilemma. (2022). Sen, Arijit ; Bhowmik, Anuj. In: MPRA Paper. RePEc:pra:mprapa:111655.

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2020Exploring the financial risk of a temperature index: a fractional integrated approach. (2020). Rotundo, Giulia ; Cerqueti, Roy ; Castellano, Rosella. In: Annals of Operations Research. RePEc:spr:annopr:v:284:y:2020:i:1:d:10.1007_s10479-018-3063-0.

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2020Trading strategy with stochastic volatility in a limit order book market. (2020). Siu, Tak Kuen ; Gu, Jiawen ; Ching, Wai-Ki ; Yang, Qing-Qing . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8.

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2021Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach. (2021). Tramontana, Fabio ; Muzzioli, Silvia ; Campisi, Giovanni. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00346-7.

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2021Set-valued risk measures as backward stochastic difference inclusions and equations. (2021). Feinstein, Zachary ; Ararat, Ain. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00445-0.

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2021Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00464-5.

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2020Much ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over time. (2020). Righi, Simone ; Biondi, Yuri. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-017-0201-8.

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2022Large and uncertain heterogeneity of expectations: stability of equilibrium from a policy maker standpoint. (2022). Valori, Vincenzo ; Vigna, Matteo ; Colucci, Domenico. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:17:y:2022:i:1:d:10.1007_s11403-021-00335-4.

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2021Strategic information transmission with sender’s approval. (2021). Renault, Jerome ; Forges, Franoise. In: International Journal of Game Theory. RePEc:spr:jogath:v:50:y:2021:i:2:d:10.1007_s00182-021-00757-1.

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2020Parameter-Dependent Stochastic Optimal Control in Finite Discrete Time. (2020). Jamneshan, Asgar ; Zapata-Garcia, Jose Miguel ; Kupper, Michael. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:2:d:10.1007_s10957-020-01711-z.

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2021Strategic information transmission with sender’s approval. (2021). Renault, Jerome ; Forges, Franoise. In: TSE Working Papers. RePEc:tse:wpaper:125607.

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Works by Ulrich Horst:


YearTitleTypeCited
2007Changing Identity: The Emergence of Social Groups In: Economics Working Papers.
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paper21
2006Changing Identity: The Emergence of Social Groups.(2006) In: Working Papers.
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paper
2008Illiquidity and Derivative Valuation In: Papers.
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paper15
2010Illiquidity and Derivative Valuation.(2010) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 15
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2011Efficiency and Equilibria in Games of Optimal Derivative Design In: Papers.
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paper13
2010Efficiency and Equilibria in Games of Optimal Derivative Design.(2010) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 13
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2012Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models In: Papers.
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paper0
2013Continuous equilibrium in affine and information-based capital asset pricing models.(2013) In: Annals of Finance.
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This paper has another version. Agregated cites: 0
article
2015A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions In: Papers.
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paper19
2017Smooth solutions to portfolio liquidation problems under price-sensitive market impact In: Papers.
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paper6
2018Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 6
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2016A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics In: Papers.
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paper2
2015A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition In: Papers.
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paper0
2016Conditional Analysis and a Principal-Agent problem In: Papers.
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2015A law of large numbers for limit order books In: Papers.
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paper4
2016A weak law of large numbers for a limit order book model with fully state dependent order dynamics In: Papers.
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paper2
2016A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- In: Papers.
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2017A diffusion approximation for limit order book models In: Papers.
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paper1
2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience In: Papers.
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paper13
2007A Limit Theorem for Financial Markets with Inert Investors In: Papers.
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paper15
2006A Limit Theorem for Financial Markets with Inert Investors.(2006) In: Mathematics of Operations Research.
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This paper has another version. Agregated cites: 15
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2007Queueing Theoretic Approaches to Financial Price Fluctuations In: Papers.
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paper9
2010Equilibria in Systems of Social Interactions In: Levine's Working Paper Archive.
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2003Equilibria in Systems of Social Interactions.(2003) In: Princeton Economic Theory Working Papers.
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This paper has another version. Agregated cites: 45
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2006Equilibria in systems of social interactions.(2006) In: Journal of Economic Theory.
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2008QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
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article16
2005A Simple Model for Trading Climate Risk In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research.
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article3
2015Optimal order display in limit order markets with liquidity competition In: Journal of Economic Dynamics and Control.
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article6
2005Stationary equilibria in discounted stochastic games with weakly interacting players In: Games and Economic Behavior.
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article32
2002Stationary equilibria in discounted stochastic games with weakly interacting players.(2002) In: SFB 373 Discussion Papers.
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2007Stochastic cascades, credit contagion, and large portfolio losses In: Journal of Economic Behavior & Organization.
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article13
2010Dynamic systems of social interactions In: Journal of Economic Behavior & Organization.
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article3
2010Dynamic Systems of Social Interactions.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 3
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2010Dynamic Systems of Social Interactions.(2010) In: SFB 649 Discussion Papers.
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2006Rational expectations equilibria of economies with local interactions In: Journal of Economic Theory.
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article27
2005Equilibria in financial markets with heterogeneous agents: a probabilistic perspective In: Journal of Mathematical Economics.
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article60
2009A limit theorem for systems of social interactions In: Journal of Mathematical Economics.
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article3
2014Forward–backward systems for expected utility maximization In: Stochastic Processes and their Applications.
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article14
2011Forward-backward systems for expected utility maximization.(2011) In: SFB 649 Discussion Papers.
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2001Convergence of locally and globally interacting Markov chains In: Stochastic Processes and their Applications.
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article8
2001Convergence of locally and globally interacting Markov chains.(2001) In: SFB 373 Discussion Papers.
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2014Feasibility and individual rationality in two-person Bayesian games In: Working Papers.
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2016Feasibility and individual rationality in two-person Bayesian games.(2016) In: International Journal of Game Theory.
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2010On Securitization, Market Completion and Equilibrium Risk Transfer In: SFB 649 Discussion Papers.
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2011When to Cross the Spread: Curve Following with Singular Control In: SFB 649 Discussion Papers.
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2011Continuous Equilibrium under Base Preferences and Attainable Initial Endowments In: SFB 649 Discussion Papers.
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paper2
2011Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences In: SFB 649 Discussion Papers.
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2016Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences.(2016) In: Mathematics of Operations Research.
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2012Hidden Liquidity: Determinants and Impact In: SFB 649 Discussion Papers.
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2007On the Spanning Property of Risk Bonds Priced by Equilibrium In: Mathematics of Operations Research.
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article12
2017Sender-Receiver Games with Cooperation In: Rationality and Competition Discussion Paper Series.
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paper4
2017Mean Field Games with Singular Controls In: Rationality and Competition Discussion Paper Series.
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2017Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series.
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2014Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series.
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2017Trading under Market Impact In: Rationality and Competition Discussion Paper Series.
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2006Non-ergodic Behavior in a Financial Market with Interacting Investors In: 2006 Meeting Papers.
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2005Financial price fluctuations in a stock market model with many interacting agents In: Economic Theory.
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2001Financial price fluctuations in a stock market model with many interacting agents.(2001) In: SFB 373 Discussion Papers.
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2008On non-ergodic asset prices In: Economic Theory.
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2011On derivatives with illiquid underlying and market manipulation In: Quantitative Finance.
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2007BookReview In: Quantitative Finance.
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1999Ergodic fluctuations in a stock market model with interacting agents: The mean field case In: SFB 373 Discussion Papers.
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paper1
2000The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients In: SFB 373 Discussion Papers.
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2001Asymptotics of locally interacting Markov chains with global signals In: SFB 373 Discussion Papers.
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2002Stability of linear stochastic difference equations in controlled random environments In: SFB 373 Discussion Papers.
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