Ulrich Horst : Citation Profile

Humboldt-Universität Berlin

15

H index

23

i10 index

613

Citations

RESEARCH PRODUCTION:

21

Articles

54

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 32
   Journals where Ulrich Horst has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 38 (5.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho443
   Updated: 2026-02-21    RAS profile: 2023-02-24    
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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:

Härdle, Wolfgang (14)

He, Xuezhong (Tony) (14)

Lagunoff, Roger (11)

Bisin, Alberto (10)

Ioannides, Yannis (9)

Schienle, Melanie (8)

Lux, Thomas (6)

Weron, Rafał (6)

Durlauf, Steven (6)

Zheng, Min (5)

Gardini, Laura (5)

Cites to:

Härdle, Wolfgang (37)

Brock, William (24)

Hautsch, Nikolaus (20)

Schied, Alexander (17)

Taschini, Luca (15)

Hommes, Cars (15)

Scheinkman, Jose (15)

Hafner, Christian (14)

Burda, Michael (13)

Hunt, Jennifer (13)

Forges, Francoise (12)

Main data

Where Ulrich Horst has published?

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

Working Papers Series with more than one paper published# docs
Papers / arXiv.org15
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk10
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 (2025 and 2024)

YearTitle of citing document
2024$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures. (2024). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2202.07610.

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2024Existence of optimal controls for stochastic Volterra equations. (2024). Serrano, Rafael ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2207.05169.

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2025Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447.

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2024Second-Order Approximation of Limit Order Books in a Single-Scale Regime. (2024). Horst, Ulrich ; Starovoitovs, Konstantins ; Kreher, Dorte. In: Papers. RePEc:arx:papers:2308.00805.

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2025Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144.

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2025Sensitivity of robust optimization problems under drift and volatility uncertainty. (2025). Park, Kyunghyun ; Bartl, Daniel ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2311.11248.

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2025Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent. (2023). Sun, Yifan ; Zariphopoulou, Thaleia ; Liang, Gechun. In: Papers. RePEc:arx:papers:2401.00103.

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2025A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints. (2025). Horst, Ulrich ; Hager, Paul P ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2403.10441.

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2025Cooperation, 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.

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2024Risk, utility and sensitivity to large losses. (2024). Khan, Nazem ; Herdegen, Martin ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2405.12154.

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2024Long Time Behavior of Optimal Liquidation Problems. (2024). Cheng, Xinman ; Xia, Xiaonyu ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2405.14177.

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2024Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players. (2024). Chen, Yufan ; Zhang, Ruixun ; Xu, Renyuan ; Wu, Lan. In: Papers. RePEc:arx:papers:2408.09505.

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2024Path-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.

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2025A 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.

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2025Optimal Execution among $N$ Traders with Transient Price Impact. (2025). Campbell, Steven ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2501.09638.

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2025Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework. (2025). Ackermann, Julia ; Kruse, Thomas ; Urusov, Mikhail. In: Papers. RePEc:arx:papers:2503.05594.

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2025Randomization in Optimal Execution Games. (2025). Campbell, Steven ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2503.08833.

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2025Towards Realistic and Interpretable Market Simulations: Factorizing Financial Power Law using Optimal Transport. (2025). Izumi, Kiyoshi ; Hashimoto, Ryuji. In: Papers. RePEc:arx:papers:2507.09863.

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2025Agent-based model of information diffusion in the limit order book trading. (2025). Wilinski, Mateusz ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:2508.20672.

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2025Mean-Variance Stackelberg Games with Asymmetric Information. (2025). Huang, Yu-Jui ; Zhu, Shihao. In: Papers. RePEc:arx:papers:2509.03669.

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2024Cooperation, 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.

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2025Entropy Regularization in Mean-Field Games of Optimal Stopping. (2025). Dumitrescu, Roxana ; Xu, Renyuan ; Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:755.

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2025Decentralised finance and automated market making: Execution and speculation. (2025). Cartea, Lvaro ; Drissi, Fayal ; Monga, Marcello. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001009.

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2024Fractional 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.

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2025Momentum mechanisms under heterogeneous beliefs. (2025). Wang, Yiming ; Tong, Yan ; Yan, YU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001876.

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2024Binary choice with misclassification and social interactions, with an application to peer effects in attitude. (2024). Lin, Zhongjian ; Hu, Yingyao. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002671.

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2024Does 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.

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2024Viscosity solution for optimal liquidation problems with randomly-terminated horizon. (2024). Ching, Wai-Ki ; Wong, Tak Kwong ; Yang, Qing-Qing ; Gu, Jia-Wen ; Zhu, Dong-Mei. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000734.

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2024Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Storani, Saverio ; Cerqueti, Roy ; Pampurini, Francesca ; Quaranta, Anna Grazia. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916.

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2025Deep learning solution to mean field game of optimal liquidation. (2025). Cheng, Yilin ; Wang, Xinyu ; Qian, Shenghua ; Zhang, Shuhua. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016921.

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2025Deep Learning Strategies for Intraday Optimal Carbon Options Trading with Price Impact Considerations. (2025). Lai, Qianhui ; Yang, Qiang. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1035-:d:1618273.

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2024Parametric Estimation in Fractional Stochastic Differential Equation. (2024). Ghanam, Ryad A ; Pramanik, Paramahansa ; Boone, Edward L. In: Stats. RePEc:gam:jstats:v:7:y:2024:i:3:p:45-760:d:1439368.

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2025Existence of optimal controls for stochastic Volterra equations. (2025). Crdenas, Andrs ; Pulido, Sergio ; Serrano, Rafael. In: Post-Print. RePEc:hal:journl:hal-03720342.

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2025Optimal Liquidation with Signals: the General Propagator Case. (2025). Jaber, Eduardo Abi ; Neuman, Eyal. In: Post-Print. RePEc:hal:journl:hal-03835948.

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2024Análisis de la literatura sobre cobertura de riesgo climático: una revisión sistemática en repositorios internacionales. (2024). Pieiro, Vernica ; Chavez, Etelvina Stefani ; Pedroni, Florencia Vernica ; Pesce, Gabriela. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:19:y:2024:i:4:a:4.

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2025What are asset price bubbles? A survey on definitions of financial bubbles. (2025). Baumann, Michael Heinrich ; Janischewski, Anja. In: MPRA Paper. RePEc:pra:mprapa:123676.

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2024A Mean-Field Game of Market Entry. (2024). Horst, Ulrich ; Hager, Paul ; Fu, Guanxing. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:517.

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2024Self-exciting price impact via negative resilience in stochastic order books. (2024). Ackermann, Julia ; Urusov, Mikhail ; Kruse, Thomas. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04973-0.

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2024Optimal order execution under price impact: a hybrid model. (2024). Giacinto, Marina ; Wang, Tai-Ho ; Tebaldi, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05082-8.

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2024A discontinuous model of exchange rate dynamics with sentiment traders. (2024). Tramontana, Fabio ; Panchuk, Anastasiia ; Campisi, Giovanni. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:3:d:10.1007_s10479-023-05387-2.

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2025Linear-quadratic-singular stochastic differential games and applications. (2025). Dianetti, Jodi. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-023-00422-0.

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2024Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model. (2024). Srbu, Mihai ; Mostovyi, Oleksii. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-024-00532-6.

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2024Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies. (2024). Horst, Ulrich ; Kivman, Evgueni. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00536-2.

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2024Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems. (2024). Kruse, Thomas ; Urusov, Mikhail ; Ackermann, Julia. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00537-1.

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2025Studying economic complexity with agent-based models: advances, challenges and future perspectives. (2025). Chudziak, Szymon. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:20:y:2025:i:2:d:10.1007_s11403-024-00428-w.

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2025Statistical discrimination without knowing statistics: blame social interactions?. (2025). Tanimura, Emily. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:20:y:2025:i:2:d:10.1007_s11403-024-00430-2.

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2024Information spillover in multiple zero-sum games. (2024). Pahl, Lucas. In: International Journal of Game Theory. RePEc:spr:jogath:v:53:y:2024:i:1:d:10.1007_s00182-023-00855-2.

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2025What 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.

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Works by Ulrich Horst:

YearTitleTypeCited
2007Changing Identity: The Emergence of Social Groups In: Economics Working Papers.
[Full Text][Citation analysis]		paper21
2006Changing Identity: The Emergence of Social Groups.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 21		paper
2008Illiquidity and Derivative Valuation In: Papers.
[Full Text][Citation analysis]		paper0
2010Illiquidity and derivative valuation.(2010) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 0		paper
2011Efficiency and Equilibria in Games of Optimal Derivative Design In: Papers.
[Full Text][Citation analysis]		paper13
2010Efficiency and equilibria in games of optimal derivative design.(2010) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2012Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models In: Papers.
[Full Text][Citation analysis]		paper0
2013Continuous equilibrium in affine and information-based capital asset pricing models.(2013) In: Annals of Finance.
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This paper has nother version. Agregated cites: 0		article
2015A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions In: Papers.
[Full Text][Citation analysis]		paper31
2017Smooth solutions to portfolio liquidation problems under price-sensitive market impact In: Papers.
[Full Text][Citation analysis]		paper11
2018Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 11		paper
2016A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics In: Papers.
[Full Text][Citation analysis]		paper2
2015A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition In: Papers.
[Full Text][Citation analysis]		paper23
2016Conditional Analysis and a Principal-Agent problem In: Papers.
[Full Text][Citation analysis]		paper2
2015A law of large numbers for limit order books In: Papers.
[Full Text][Citation analysis]		paper4
2016A weak law of large numbers for a limit order book model with fully state dependent order dynamics In: Papers.
[Full Text][Citation analysis]		paper2
2016A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- In: Papers.
[Full Text][Citation analysis]		paper0
2017A diffusion approximation for limit order book models In: Papers.
[Full Text][Citation analysis]		paper2
2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience In: Papers.
[Full Text][Citation analysis]		paper36
2007A Limit Theorem for Financial Markets with Inert Investors In: Papers.
[Full Text][Citation analysis]		paper9
2007Queueing Theoretic Approaches to Financial Price Fluctuations In: Papers.
[Full Text][Citation analysis]		paper11
2010Equilibria in Systems of Social Interactions In: Levine's Working Paper Archive.
[Full Text][Citation analysis]		paper53
2003Equilibria in Systems of Social Interactions.(2003) In: Princeton Economic Theory Working Papers.
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This paper has nother version. Agregated cites: 53		paper
2006Equilibria in systems of social interactions.(2006) In: Journal of Economic Theory.
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This paper has nother version. Agregated cites: 53		article
2008QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article16
2005A Simple Model for Trading Climate Risk In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research.
[Full Text][Citation analysis]		article3
2015Optimal order display in limit order markets with liquidity competition In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
2005Stationary equilibria in discounted stochastic games with weakly interacting players In: Games and Economic Behavior.
[Full Text][Citation analysis]		article36
2002Stationary equilibria in discounted stochastic games with weakly interacting players.(2002) In: SFB 373 Discussion Papers.
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This paper has nother version. Agregated cites: 36		paper
2007Stochastic cascades, credit contagion, and large portfolio losses In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article19
2010Dynamic systems of social interactions In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article3
2010Dynamic Systems of Social Interactions.(2010) In: Post-Print.
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This paper has nother version. Agregated cites: 3		paper
2010Dynamic systems of social interactions.(2010) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 3		paper
2006Rational expectations equilibria of economies with local interactions In: Journal of Economic Theory.
[Full Text][Citation analysis]		article28
2005Equilibria in financial markets with heterogeneous agents: a probabilistic perspective In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article67
2009A limit theorem for systems of social interactions In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article4
2014Forward–backward systems for expected utility maximization In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article15
2011Forward-backward systems for expected utility maximization.(2011) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 15		paper
2001Convergence of locally and globally interacting Markov chains In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article9
2001Convergence of locally and globally interacting Markov chains.(2001) In: SFB 373 Discussion Papers.
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This paper has nother version. Agregated cites: 9		paper
2014Feasibility and individual rationality in two-person Bayesian games In: Working Papers.
[Full Text][Citation analysis]		paper6
2016Feasibility and individual rationality in two-person Bayesian games.(2016) In: International Journal of Game Theory.
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This paper has nother version. Agregated cites: 6		article
2010On Securitization, Market Completion and Equilibrium Risk Transfer In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper25
2010Illiquidity and Derivative Valuation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper14
2010Dynamic Systems of Social Interactions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper3
2010Efficiency and Equilibria in Games of Optimal Derivative Design In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2011When to Cross the Spread: Curve Following with Singular Control In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper16
2011Forward-backward systems for expected utility maximization In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2011Continuous Equilibrium under Base Preferences and Attainable Initial Endowments In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2011Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2012Hidden Liquidity: Determinants and Impact In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2006A Limit Theorem for Financial Markets with Inert Investors In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article14
2007On the Spanning Property of Risk Bonds Priced by Equilibrium In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article16
2016Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article13
2017Sender-Receiver Games with Cooperation In: Rationality and Competition Discussion Paper Series.
[Full Text][Citation analysis]		paper4
2017Mean Field Games with Singular Controls In: Rationality and Competition Discussion Paper Series.
[Full Text][Citation analysis]		paper17
2017Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2014Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 0		paper
2017Trading under Market Impact In: Rationality and Competition Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2006Non-ergodic Behavior in a Financial Market with Interacting Investors In: 2006 Meeting Papers.
[Citation analysis]		paper0
2005Financial price fluctuations in a stock market model with many interacting agents In: Economic Theory.
[Full Text][Citation analysis]		article29
2001Financial 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: 29		paper
2008On non-ergodic asset prices In: Economic Theory.
[Full Text][Citation analysis]		article14
2011On derivatives with illiquid underlying and market manipulation In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2007BookReview In: Quantitative Finance.
[Full Text][Citation analysis]		article0
1999Ergodic fluctuations in a stock market model with interacting agents: The mean field case In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper1
2000The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper0
2001Asymptotics of locally interacting Markov chains with global signals In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper0
2002Stability of linear stochastic difference equations in controlled random environments In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper0
2010On securitization, market completion and equilibrium risk transfer In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2011When to cross the spread: Curve following with singular control In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2011Optimal display of Iceberg orders In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2011Continuous equilibrium under base preferences and attainable initial endowments In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2011Equilibrium pricing in incomplete markets under translation invariant preferences In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2012Hidden liquidity: Determinants and impact In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0

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