Ulrich Horst : Citation Profile


Are you Ulrich Horst?

Humboldt-Universität Berlin

13

H index

16

i10 index

391

Citations

RESEARCH PRODUCTION:

21

Articles

45

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 20
   Journals where Ulrich Horst has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 32 (7.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pho443
   Updated: 2021-03-01    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 (14)

Bisin, Alberto (10)

Ioannides, Yannis (9)

Schienle, Melanie (8)

Chiarella, Carl (8)

Lagunoff, Roger (7)

Lux, Thomas (6)

Durlauf, Steven (6)

Härdle, Wolfgang (6)

Weron, Rafał (6)

Hautsch, Nikolaus (5)

Cites to:

Härdle, Wolfgang (29)

Brock, William (19)

Hautsch, Nikolaus (17)

Scheinkman, Jose (14)

Hommes, Cars (10)

Waldmann, Robert (10)

Shleifer, Andrei (10)

Durlauf, Steven (10)

Schied, Alexander (10)

Summers, Lawrence (10)

Wenzelburger, Jan (8)

Main data


Where Ulrich Horst has published?


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

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 / HAL3
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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2020Time-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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2020Optimal 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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2020Optimal 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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2020C\`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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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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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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2020Strategic information transmission with senders approval. (2020). Renault, Jerome ; Forges, Franoise. In: Working Papers. RePEc:hal:wpaper:hal-02440627.

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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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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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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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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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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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Works by Ulrich Horst:


YearTitleTypeCited
2007Changing Identity: The Emergence of Social Groups In: Economics Working Papers.
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paper15
2006Changing Identity: The Emergence of Social Groups.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 15
paper
2008Illiquidity and Derivative Valuation In: Papers.
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paper14
2010Illiquidity and Derivative Valuation.(2010) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 14
paper
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
paper
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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paper16
2017Smooth solutions to portfolio liquidation problems under price-sensitive market impact In: Papers.
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paper4
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: 4
paper
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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paper0
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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paper9
2007A Limit Theorem for Financial Markets with Inert Investors In: Papers.
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paper10
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: 10
article
2007Queueing Theoretic Approaches to Financial Price Fluctuations In: Papers.
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paper6
2010Equilibria in Systems of Social Interactions In: Levine's Working Paper Archive.
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paper36
2003Equilibria in Systems of Social Interactions.(2003) In: Princeton Economic Theory Working Papers.
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This paper has another version. Agregated cites: 36
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2006Equilibria in systems of social interactions.(2006) In: Journal of Economic Theory.
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This paper has another version. Agregated cites: 36
article
2008QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
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article15
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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article5
2005Stationary equilibria in discounted stochastic games with weakly interacting players In: Games and Economic Behavior.
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article28
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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article24
2005Equilibria in financial markets with heterogeneous agents: a probabilistic perspective In: Journal of Mathematical Economics.
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article54
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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article13
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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article7
2001Convergence of locally and globally interacting Markov chains.(2001) In: SFB 373 Discussion Papers.
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2015Feasibility and individual rationality in two-person Bayesian games In: Post-Print.
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2014Feasibility and individual rationality in two-person Bayesian games.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 2
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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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paper22
2011When to Cross the Spread: Curve Following with Singular Control In: SFB 649 Discussion Papers.
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paper15
2011Continuous Equilibrium under Base Preferences and Attainable Initial Endowments In: SFB 649 Discussion Papers.
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paper0
2011Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences In: SFB 649 Discussion Papers.
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paper9
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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article4
2017Sender-Receiver Games with Cooperation In: Rationality and Competition Discussion Paper Series.
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paper1
2017Mean Field Games with Singular Controls In: Rationality and Competition Discussion Paper Series.
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paper2
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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article23
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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article11
2011On derivatives with illiquid underlying and market manipulation In: Quantitative Finance.
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article1
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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