14
H index
22
i10 index
581
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 |
|---|---|
| Economic Theory | 2 |
| Quantitative Finance | 2 |
| Journal of Economic Behavior & Organization | 2 |
| Stochastic Processes and their Applications | 2 |
| Journal of Mathematical Economics | 2 |
| Journal of Economic Theory | 2 |
Recent works citing Ulrich Horst (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731. Full description at Econpapers || Download paper |
| 2023 | Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957. Full description at Econpapers || Download paper |
| 2023 | Information Spillover in Multiple Zero-sum Games. (2021). Pahl, Lucas. In: Papers. RePEc:arx:papers:2111.01647. Full description at Econpapers || Download paper |
| 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 |
| 2023 | On Parametric Optimal Execution and Machine Learning Surrogates. (2022). Voss, Moritz ; Ludkovski, Mike ; Chen, Tao. In: Papers. RePEc:arx:papers:2204.08581. Full description at Econpapers || Download paper |
| 2023 | Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2022). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2206.03772. Full description at Econpapers || Download paper |
| 2023 | A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2207.00446. 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 |
| 2023 | Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models. (2023). Trivellato, Barbara ; Siri, Paola ; Santacroce, Marina. In: Papers. RePEc:arx:papers:2302.08253. Full description at Econpapers || Download paper |
| 2023 | Mean-Field Liquidation Games with Market Drop-out. (2023). Horst, Ulrich ; Hager, Paul P ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2303.05783. Full description at Econpapers || Download paper |
| 2023 | A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy. (2023). Ferrari, Giorgio ; Basei, Matteo ; Ren'e Aid, . In: Papers. RePEc:arx:papers:2305.00541. Full description at Econpapers || Download paper |
| 2023 | Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024. 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 |
| 2023 | Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers || Download paper |
| 2023 | Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Neufeld, Ariel ; Bartl, Daniel ; Park, Kyunghyun. In: Papers. RePEc:arx:papers:2311.11248. Full description at Econpapers || Download paper |
| 2024 | 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 |
| 2023 | Linear-Quadratic-Singular Stochastic Differential Games and Applications. (2023). Vepsaelaeinen, M ; Laine, Mikko ; Burnier, Yannis. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:678. 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 | . Full description at Econpapers || Download paper |
| 2023 | Portfolio liquidation with delayed information. (2023). Wong, Hoi Ying ; Chiu, Mei Choi ; Yan, Tingjin. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002109. 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 |
| 2023 | Strategic trading with information acquisition and long-memory stochastic liquidity. (2023). Kennedy, Adrian Patrick ; Ma, Guiyuan ; Li, Xiaolong ; Han, Jinhui. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:480-495. 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 |
| 2023 | A deterministic model of the spread of scam rumor and its numerical simulations. (2023). Chikwendu, C R ; Nwaibeh, E A. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:111-129. Full description at Econpapers || Download paper |
| 2023 | Social influence: The Usage History heuristic. (2023). , Bary. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:123:y:2023:i:c:p:105-113. Full description at Econpapers || Download paper |
| 2023 | Itô’s formula for flows of measures on semimartingales. (2023). Wei, Xiaoli ; Pham, Huyen ; Guo, Xin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:159:y:2023:i:c:p:350-390. Full description at Econpapers || Download paper |
| 2023 | Reinforcement Learning in Economics and Finance. (2023). Remlinger, Carl ; Elie, Romuald ; Charpentier, Arthur. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-021-10119-4. Full description at Econpapers || Download paper |
| 2023 | Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market. (2023). Song, Shijia ; Luo, Qixuan ; Li, Handong. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10316-9. Full description at Econpapers || Download paper |
| 2023 | Mean field portfolio games. (2023). Zhou, Chao ; Fu, Guanxing. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00492-9. Full description at Econpapers || Download paper |
| 2023 | Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents. (2023). Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo ; Vodret, Michele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00379-8. 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 | 28 |
| 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 | 27 |
| 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 | 51 |
| 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: 51 | 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: 51 | 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 | 7 |
| 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 | 65 |
| 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 | 25 |
| 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: 25 | 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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