14
H index
22
i10 index
589
Citations
Ulrich Horst : Citation Profile
Humboldt-Universität Berlin | RESEARCH PRODUCTION: 21 Articles 54 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (1999 - 2018). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ulrich Horst. | Is cited by:
| Cites to:
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Main data
Where Ulrich Horst has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Economic Behavior & Organization | 2 |
| Journal of Mathematical Economics | 2 |
| Quantitative Finance | 2 |
| Economic Theory | 2 |
| Journal of Economic Theory | 2 |
| Stochastic Processes and their Applications | 2 |
Recent works citing Ulrich Horst (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610. Full description at Econpapers || Download paper |
| 2024 | Existence of optimal controls for stochastic Volterra equations. (2022). Serrano, Rafael ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2207.05169. Full description at Econpapers || Download paper |
| 2024 | Second-Order Approximation of Limit Order Books in a Single-Scale Regime. (2023). Starovoitovs, Konstantins ; Kreher, Dorte ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2308.00805. Full description at Econpapers || Download paper |
| 2025 | A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints. (2024). Horst, Ulrich ; Hager, Paul P ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2403.10441. Full description at Econpapers || Download paper |
| 2024 | Cooperation, Correlation and Competition in Ergodic $N$-player Games and Mean-field Games of Singular Controls: A Case Study. (2024). Ferrari, Giorgio ; Cannerozzi, Federico. In: Papers. RePEc:arx:papers:2404.15079. Full description at Econpapers || Download paper |
| 2024 | Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2412.16436. Full description at Econpapers || Download paper |
| 2025 | A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching. (2025). Xu, Zuo Quan ; Shi, Xiaomin ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2412.19058. Full description at Econpapers || Download paper |
| 2025 | Optimal Execution among $N$ Traders with Transient Price Impact. (2025). Campbell, Steven ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2501.09638. Full description at Econpapers || Download paper |
| 2024 | Cooperation, Correlation and Competition in Ergodic $N$-Player Games and Mean-Field Games of Singular Controls: A Case Study. (2024). Ferrari, Giorgio ; Cannerozzi, Federico. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:691. Full description at Econpapers || Download paper |
| 2024 | Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations. (2024). Dufera, Tamirat Temesgen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001407. Full description at Econpapers || Download paper |
| 2024 | Binary choice with misclassification and social interactions, with an application to peer effects in attitude. (2024). Hu, Yingyao ; Lin, Zhongjian. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002671. Full description at Econpapers || Download paper |
| 2024 | Does minority shareholder activism impede corporate default risk? Evidence from China. (2024). Wang, Zhibin ; Huang, Xue. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000084. Full description at Econpapers || Download paper |
| 2024 | Viscosity solution for optimal liquidation problems with randomly-terminated horizon. (2024). Zhu, Dong-Mei ; Wong, Tak Kwong ; Gu, Jia-Wen ; Ching, Wai-Ki ; Yang, Qing-Qing. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000734. Full description at Econpapers || Download paper |
| 2024 | Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Quaranta, Anna Grazia ; Pampurini, Francesca ; Cerqueti, Roy ; Storani, Saverio. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916. Full description at Econpapers || Download paper |
| 2024 | A Mean-Field Game of Market Entry. (2024). Horst, Ulrich ; Hager, Paul ; Fu, Guanxing. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:517. Full description at Econpapers || Download paper |
| 2025 | What are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles. (2025). Baumann, Michael Heinrich ; Janischewski, Anja. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep065. Full description at Econpapers || Download paper |
Works by Ulrich Horst:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Changing Identity: The Emergence of Social Groups In: Economics Working Papers. [Full Text][Citation analysis] | paper | 21 |
| 2006 | Changing Identity: The Emergence of Social Groups.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2008 | Illiquidity and Derivative Valuation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | ||
| 2011 | Efficiency and Equilibria in Games of Optimal Derivative Design In: Papers. [Full Text][Citation analysis] | paper | 13 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | ||
| 2012 | Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Continuous equilibrium in affine and information-based capital asset pricing models.(2013) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions In: Papers. [Full Text][Citation analysis] | paper | 29 |
| 2017 | Smooth solutions to portfolio liquidation problems under price-sensitive market impact In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2018 | Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2016 | A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition In: Papers. [Full Text][Citation analysis] | paper | 23 |
| 2016 | Conditional Analysis and a Principal-Agent problem In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | A law of large numbers for limit order books In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | A weak law of large numbers for a limit order book model with fully state dependent order dynamics In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A diffusion approximation for limit order book models In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience In: Papers. [Full Text][Citation analysis] | paper | 30 |
| 2007 | A Limit Theorem for Financial Markets with Inert Investors In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2007 | Queueing Theoretic Approaches to Financial Price Fluctuations In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2010 | Equilibria in Systems of Social Interactions In: Levine's Working Paper Archive. [Full Text][Citation analysis] | paper | 52 |
| 2003 | Equilibria in Systems of Social Interactions.(2003) In: Princeton Economic Theory Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2006 | Equilibria in systems of social interactions.(2006) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | article | |
| 2008 | QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 15 |
| 2005 | A Simple Model for Trading Climate Risk In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research. [Full Text][Citation analysis] | article | 3 |
| 2015 | Optimal order display in limit order markets with liquidity competition In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
| 2005 | Stationary equilibria in discounted stochastic games with weakly interacting players In: Games and Economic Behavior. [Full Text][Citation analysis] | article | 36 |
| 2002 | Stationary equilibria in discounted stochastic games with weakly interacting players.(2002) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2007 | Stochastic cascades, credit contagion, and large portfolio losses In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 19 |
| 2010 | Dynamic systems of social interactions In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 3 |
| 2010 | Dynamic Systems of Social Interactions.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | ||
| 2006 | Rational expectations equilibria of economies with local interactions In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 28 |
| 2005 | Equilibria in financial markets with heterogeneous agents: a probabilistic perspective In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 66 |
| 2009 | A limit theorem for systems of social interactions In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 4 |
| 2014 | Forward–backward systems for expected utility maximization In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 13 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | ||
| 2001 | Convergence of locally and globally interacting Markov chains In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 9 |
| 2001 | Convergence of locally and globally interacting Markov chains.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2014 | Feasibility and individual rationality in two-person Bayesian games In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Feasibility and individual rationality in two-person Bayesian games.(2016) In: International Journal of Game Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2010 | On Securitization, Market Completion and Equilibrium Risk Transfer In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 25 |
| 2010 | Illiquidity and Derivative Valuation In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
| 2010 | Dynamic Systems of Social Interactions In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Efficiency and Equilibria in Games of Optimal Derivative Design In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | When to Cross the Spread: Curve Following with Singular Control In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
| 2011 | Forward-backward systems for expected utility maximization In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Continuous Equilibrium under Base Preferences and Attainable Initial Endowments In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Hidden Liquidity: Determinants and Impact In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | A Limit Theorem for Financial Markets with Inert Investors In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 13 |
| 2007 | On the Spanning Property of Risk Bonds Priced by Equilibrium In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 15 |
| 2016 | Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 13 |
| 2017 | Sender-Receiver Games with Cooperation In: Rationality and Competition Discussion Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Mean Field Games with Singular Controls In: Rationality and Competition Discussion Paper Series. [Full Text][Citation analysis] | paper | 14 |
| 2017 | Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Trading under Market Impact In: Rationality and Competition Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Non-ergodic Behavior in a Financial Market with Interacting Investors In: 2006 Meeting Papers. [Citation analysis] | paper | 0 |
| 2005 | Financial price fluctuations in a stock market model with many interacting agents In: Economic Theory. [Full Text][Citation analysis] | article | 26 |
| 2001 | Financial price fluctuations in a stock market model with many interacting agents.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2008 | On non-ergodic asset prices In: Economic Theory. [Full Text][Citation analysis] | article | 14 |
| 2011 | On derivatives with illiquid underlying and market manipulation In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2007 | BookReview In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 1999 | Ergodic fluctuations in a stock market model with interacting agents: The mean field case In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2000 | The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Asymptotics of locally interacting Markov chains with global signals In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Stability of linear stochastic difference equations in controlled random environments In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| In: . [Full Text][Citation analysis] | paper | 0 |
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