Ulrich Horst : Citation Profile


Are you Ulrich Horst?

Humboldt-Universität Berlin

12

H index

13

i10 index

334

Citations

RESEARCH PRODUCTION:

21

Articles

45

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 17
   Journals where Ulrich Horst has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 32 (8.74 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pho443
   Updated: 2019-10-15    RAS profile: 2017-07-27    
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Relations with other researchers


Works with:

Hautsch, Nikolaus (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 (12)

Lagunoff, Roger (11)

Bisin, Alberto (10)

Ioannides, Yannis (9)

Chiarella, Carl (8)

Schienle, Melanie (8)

Härdle, Wolfgang (6)

Durlauf, Steven (6)

Weron, Rafał (6)

Lux, Thomas (6)

Hautsch, Nikolaus (5)

Cites to:

Härdle, Wolfgang (29)

Brock, William (19)

Hautsch, Nikolaus (17)

Scheinkman, Jose (14)

Shleifer, Andrei (10)

Waldmann, Robert (10)

Schied, Alexander (10)

Hommes, Cars (10)

Durlauf, Steven (10)

Summers, Lawrence (9)

Bayraktar, Erhan (8)

Main data


Where Ulrich Horst has published?


Journals with more than one article published# docs
Mathematics of Operations Research3
Journal of Economic Theory2
Journal of Economic Behavior & Organization2
Economic Theory2
Stochastic Processes and their Applications2
Quantitative Finance2
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 / HAL3
Working Papers / HAL2

Recent works citing Ulrich Horst (2018 and 2017)


YearTitle of citing document
2017Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218.

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2017Perfect hedging under endogenous permanent market impacts. (2017). Fukasawa, Masaaki ; Stadje, Mitja. In: Papers. RePEc:arx:papers:1702.01385.

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2017Particle systems with singular interaction through hitting times: application in systemic risk modeling. (2017). Nadtochiy, Sergey ; Shkolnikov, Mykhaylo. In: Papers. RePEc:arx:papers:1705.00691.

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2018Second order approximations for limit order books. (2018). Horst, Ulrich ; Kreher, Dorte . In: Papers. RePEc:arx:papers:1708.07394.

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2018A Scaling Limit for Limit Order Books Driven by Hawkes Processes. (2018). Horst, Ulrich ; Xu, Wei. In: Papers. RePEc:arx:papers:1709.01292.

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2018Economic inequality and Islamic Charity: An exploratory agent-based modeling approach. (2018). Sabzian, Hossein ; Mirzaee, Madjid ; Azar, Adel ; Aliahmadi, Alireza. In: Papers. RePEc:arx:papers:1804.09284.

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2018Optimal Trading with General Signals and Liquidation in Target Zone Models. (2018). Belak, Christoph ; Ou, Kevin ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1808.00515.

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2019Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. (2018). Horst, Ulrich ; Xia, Xiaonyu. In: Papers. RePEc:arx:papers:1809.01972.

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2018Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Fu, Guanxing ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1809.04401.

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2019Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case. (2019). Sun, Li-Hsien ; Sheu, Shuenn-Jyi ; Hata, Hiroaki. In: Papers. RePEc:arx:papers:1903.08957.

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2019Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. (2019). Dianetti, Jodi ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:605.

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2019A MODEL OF ADDICTION AND SOCIAL INTERACTIONS. (2019). Reif, Julian . In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:2:p:759-773.

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2018AGENT‐BASED MACROECONOMICS AND DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS: WHERE DO WE GO FROM HERE?. (2018). Levine, Paul ; Calvert Jump, Robert ; Dilaver, Ozge. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:1134-1159.

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2018CONTAGION AND CORRELATION IN EMPIRICAL MODELS OF BANK CREDIT RISK IN ISRAEL. (2018). Beenstock, Michael ; Khatib, Mahmood. In: Israel Economic Review. RePEc:boi:isrerv:v:15:y:2018:i:1:p:1-34.

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2019Trading under market impact: Crossing networks interacting with dealer markets. (2019). Moreno-Bromberg, Santiago ; Horst, Ulrich ; Bielagk, Jana . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:131-151.

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2019Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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2018Optimal order execution using hidden orders. (2018). Chen, Yuanyuan ; Li, Duan ; Gao, Xuefeng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:89-116.

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2017Speculative behavior in a housing market: Boom and bust. (2017). Zheng, Min ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:50-64.

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2018Capabilities, Identity, Aspirations and Ecosystem Services: An Integrated Framework. (2018). Pelenc, Jérôme ; ballet, jerome ; Vos, Robin ; Marchand, Lucile. In: Ecological Economics. RePEc:eee:ecolec:v:147:y:2018:i:c:p:21-28.

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2017Equilibrium trust. (2017). terlizzese, daniele ; Anderlini, Luca. In: Games and Economic Behavior. RePEc:eee:gamebe:v:102:y:2017:i:c:p:624-644.

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2018Peer effects and risk-taking among entrepreneurs: Lab-in-the-field evidence. (2018). Marchand, Steeve ; Lopera, Maria Adelaida. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:150:y:2018:i:c:p:182-201.

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201920 years of WEHIA: A journey in search of a safer road. (2019). Kirman, Alan ; Gallegati, Mauro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:5-14.

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2017Stationary Markov perfect equilibria in discounted stochastic games. (2017). He, Wei ; Sun, Yeneng. In: Journal of Economic Theory. RePEc:eee:jetheo:v:169:y:2017:i:c:p:35-61.

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2018On aggregation and representative agent equilibria. (2018). Jarrow, Robert ; Larsson, Martin. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:74:y:2018:i:c:p:119-127.

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2018Sender–receiver games with cooperation. (2018). Forges, Franoise ; Horst, Ulrich. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:76:y:2018:i:c:p:52-61.

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2017From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2017). Henkel, Christof . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:447-458.

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2019Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment. (2019). He, Yuanping ; Liu, Haifei ; Wang, Jiepeng ; Chen, Tingqiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:458-480.

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2017Weak solution for a class of fully nonlinear stochastic Hamilton–Jacobi–Bellman equations. (2017). Qiu, Jinniao . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1926-1959.

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2018Smooth solutions to portfolio liquidation problems under price-sensitive market impact. (2018). Graewe, Paulwin ; Sere, Eric ; Horst, Ulrich. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:979-1006.

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2019Multidimensional Markovian FBSDEs with super-quadratic growth. (2019). Tangpi, Ludovic ; Luo, Peng ; Kupper, Michael. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:3:p:902-923.

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2018A class of globally solvable Markovian quadratic BSDE systems and applications. (2018). Itkovi, Gordan ; Xing, Hao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:73440.

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2017A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk. (2017). Härdle, Wolfgang ; Osipenko, Maria ; Hardle, Wolfgang Karl. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:4:p:23-:d:115840.

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2018Optimal position targeting via decoupling fields. (2018). Ankirchner, Stefan ; Popier, Alexandre ; Kruse, Thomas ; Fromm, Alexander . In: Working Papers. RePEc:hal:wpaper:hal-01500311.

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2017Dynamic Valuation of Weather Derivatives under Default Risk. (2017). Härdle, Wolfgang ; Osipenko, Cmaria ; Hardle, Wolfgang Karl. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-005.

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2018Misclassification and the hidden silent rivalry. (2018). Hu, Yingyao ; Lin, Zhongjian. In: CeMMAP working papers. RePEc:ifs:cemmap:12/18.

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2017Peer effects and risk-taking among entrepreneurs: Lab-in-the-field evidence. (2017). Marchand, Steeve ; Lopera, Maria Adelaida. In: Working Papers PIERI. RePEc:lvl:piercr:2017-21.

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2018Social interaction effects on immigrant integration. (2018). Agliari, Elena ; Vernia, Cecilia ; Pizzoferrato, Andrea ; Contucci, Pierluigi ; Barra, Adriano. In: Palgrave Communications. RePEc:pal:palcom:v:4:y:2018:i:1:d:10.1057_s41599-018-0097-5.

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2018Forbidden zones for the expectation. New mathematical results for behavioral and social sciences. (2018). Harin, Alexander. In: MPRA Paper. RePEc:pra:mprapa:86650.

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2018Expectations, Price Fluctuations and Lorenz Attractor. (2018). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:89105.

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2018Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Fu, Guanxing ; Horst, Ulrich. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:129.

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2017Total Reward Semi-Markov Mean-Field Games with Complementarity Properties. (2017). Wicek, Piotr. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:7:y:2017:i:3:d:10.1007_s13235-016-0194-2.

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2018Optimal liquidation under stochastic liquidity. (2018). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2.

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2018Perfect hedging under endogenous permanent market impacts. (2018). Fukasawa, Masaaki ; Stadje, Mitja. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-017-0352-4.

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2018A risk-neutral equilibrium leading to uncertain volatility pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0356-8.

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2018Long-run heterogeneity in an exchange economy with fixed-mix traders. (2018). Dindo, Pietro ; Giachini, Daniele ; Bottazzi, Giulio. In: Economic Theory. RePEc:spr:joecth:v:66:y:2018:i:2:d:10.1007_s00199-017-1066-8.

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2018Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients. (2018). Jin, Sixian ; Schellhorn, Henry ; Peng, Qidi. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:1:d:10.1007_s11203-016-9145-1.

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2018Social Diversity and Bridging Identity. (2018). Wahhaj, Zaki ; Garcia-Alonso, Maria. In: Studies in Economics. RePEc:ukc:ukcedp:1802.

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2017Bureaucratic Identity and the Shape of Public Policy: A Game Theoretic Analysis. (2017). Naseer, Shaheen ; Heine, Klaus . In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168144.

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Works by Ulrich Horst:


YearTitleTypeCited
2007Changing Identity: The Emergence of Social Groups In: Economics Working Papers.
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2006Changing Identity: The Emergence of Social Groups.(2006) In: Working Papers.
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2008Illiquidity and Derivative Valuation In: Papers.
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2010Illiquidity and Derivative Valuation.(2010) In: SFB 649 Discussion Papers.
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2011Efficiency and Equilibria in Games of Optimal Derivative Design In: Papers.
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2010Efficiency and Equilibria in Games of Optimal Derivative Design.(2010) In: SFB 649 Discussion Papers.
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2012Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models In: Papers.
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2013Continuous equilibrium in affine and information-based capital asset pricing models.(2013) In: Annals of Finance.
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2015A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions In: Papers.
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2017Smooth solutions to portfolio liquidation problems under price-sensitive market impact In: Papers.
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paper3
2018Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact.(2018) In: Post-Print.
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2016A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics In: Papers.
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2015A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition In: Papers.
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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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2016A weak law of large numbers for a limit order book model with fully state dependent order dynamics In: Papers.
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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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2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience In: Papers.
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2007A Limit Theorem for Financial Markets with Inert Investors In: Papers.
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2006A Limit Theorem for Financial Markets with Inert Investors.(2006) In: Mathematics of Operations Research.
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2007Queueing Theoretic Approaches to Financial Price Fluctuations In: Papers.
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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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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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2005A Simple Model for Trading Climate Risk In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research.
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2015Optimal order display in limit order markets with liquidity competition In: Journal of Economic Dynamics and Control.
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article3
2005Stationary equilibria in discounted stochastic games with weakly interacting players In: Games and Economic Behavior.
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article23
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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2010Dynamic systems of social interactions In: Journal of Economic Behavior & Organization.
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2010Dynamic Systems of Social Interactions.(2010) In: Post-Print.
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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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2005Equilibria in financial markets with heterogeneous agents: a probabilistic perspective In: Journal of Mathematical Economics.
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article45
2009A limit theorem for systems of social interactions In: Journal of Mathematical Economics.
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article2
2014Forward–backward systems for expected utility maximization In: Stochastic Processes and their Applications.
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article9
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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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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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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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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2017Sender-Receiver Games with Cooperation In: Rationality and Competition Discussion Paper Series.
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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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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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