Access Statistics for Ulrich Horst

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition 0 0 0 3 0 2 5 21
A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics 0 0 0 19 0 3 9 45
A Limit Theorem for Financial Markets with Inert Investors 0 0 0 7 0 5 15 63
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions 0 0 0 14 1 3 9 39
A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- 0 0 0 35 0 0 8 36
A diffusion approximation for limit order book models 0 0 1 5 0 1 8 29
A law of large numbers for limit order books 0 0 1 30 1 2 9 54
A weak law of large numbers for a limit order book model with fully state dependent order dynamics 0 0 0 11 0 1 5 40
Asymptotics of locally interacting Markov chains with global signals 0 0 0 22 0 2 3 169
Changing Identity: The Emergence of Social Groups 0 0 0 77 1 5 7 287
Changing Identity: The Emergence of Social Groups 0 0 0 343 0 1 14 1,040
Conditional Analysis and a Principal-Agent problem 0 0 0 39 0 1 7 40
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models 0 0 0 8 0 3 10 57
Continuous equilibrium under base preferences and attainable initial endowments 0 0 0 4 0 2 19 82
Convergence of locally and globally interacting Markov chains 0 0 0 29 0 1 11 170
Dynamic Systems of Social Interactions 0 0 0 1 0 1 5 31
Dynamic systems of social interactions 0 0 0 40 1 4 7 80
Efficiency and Equilibria in Games of Optimal Derivative Design 0 0 0 13 1 4 15 85
Efficiency and equilibria in games of optimal derivative design 0 0 0 15 1 2 11 73
Equilibria in Systems of Social Interactions 0 0 0 168 0 2 6 413
Equilibria in Systems of Social Interactions 0 0 0 24 0 1 5 187
Equilibrium pricing in incomplete markets under translation invariant preferences 0 0 0 18 1 3 13 103
Ergodic fluctuations in a stock market model with interacting agents: The mean field case 0 0 0 42 0 0 0 196
Feasibility and individual rationality in two-person Bayesian games 0 0 0 14 0 1 11 46
Financial price fluctuations in a stock market model with many interacting agents 0 0 0 46 1 3 8 205
Forward-backward systems for expected utility maximization 0 0 0 22 0 6 10 117
Hidden liquidity: Determinants and impact 0 0 0 38 0 1 9 126
Illiquidity and Derivative Valuation 0 0 0 20 0 3 8 100
Illiquidity and derivative valuation 0 0 0 30 0 4 13 139
Mean Field Games with Singular Controls 0 0 1 19 1 6 17 84
Non-ergodic Behavior in a Financial Market with Interacting Investors 0 0 0 0 1 6 21 251
On securitization, market completion and equilibrium risk transfer 0 0 0 49 0 4 11 125
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience 0 0 1 17 1 2 7 36
Optimal display of Iceberg orders 0 0 1 55 1 4 18 546
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 23 0 2 11 52
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 0 17 0 11 17 80
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 23 1 2 16 85
Sender-Receiver Games with Cooperation 0 0 0 20 1 6 19 77
Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact 0 0 0 14 0 3 6 29
Smooth solutions to portfolio liquidation problems under price-sensitive market impact 0 0 0 8 1 4 10 66
Stability of linear stochastic difference equations in controlled random environments 0 0 0 5 0 3 13 36
Stationary equilibria in discounted stochastic games with weakly interacting players 0 0 0 9 0 3 8 46
The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients 0 0 0 15 0 2 12 89
Trading under Market Impact 0 0 0 19 0 1 11 31
When to cross the spread: Curve following with singular control 0 0 0 32 0 1 6 141
Total Working Papers 0 0 6 1,462 15 127 463 5,847

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Model for Trading Climate Risk 0 0 0 36 0 2 5 262
A limit theorem for systems of social interactions 0 0 0 25 0 1 12 164
BookReview 0 0 0 4 0 3 10 35
Continuous equilibrium in affine and information-based capital asset pricing models 0 0 0 3 1 2 9 68
Convergence of locally and globally interacting Markov chains 0 0 0 6 0 1 6 34
Dynamic systems of social interactions 0 0 0 16 1 3 12 88
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective 0 0 1 257 0 2 15 571
Equilibria in systems of social interactions 0 0 0 96 1 4 12 369
Feasibility and individual rationality in two-person Bayesian games 0 0 0 1 0 3 17 59
Financial price fluctuations in a stock market model with many interacting agents 0 0 1 33 0 1 7 128
Forward–backward systems for expected utility maximization 0 0 1 10 0 4 14 61
On derivatives with illiquid underlying and market manipulation 0 0 1 20 1 4 20 85
On non-ergodic asset prices 0 0 0 32 0 1 7 115
Optimal order display in limit order markets with liquidity competition 0 0 0 7 1 2 15 75
QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS 0 0 0 41 0 2 7 122
Rational expectations equilibria of economies with local interactions 0 0 0 76 0 1 8 222
Stationary equilibria in discounted stochastic games with weakly interacting players 0 0 1 45 1 3 13 137
Stochastic cascades, credit contagion, and large portfolio losses 0 0 0 29 0 1 4 100
Total Journal Articles 0 0 5 737 6 40 193 2,695
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Statistics updated 2026-07-10