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 0 1 16
A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics 0 0 0 19 0 0 2 38
A Limit Theorem for Financial Markets with Inert Investors 0 0 0 7 0 4 5 53
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions 0 0 0 14 0 2 4 32
A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- 0 0 0 35 1 1 2 29
A diffusion approximation for limit order book models 0 0 2 5 1 2 6 24
A law of large numbers for limit order books 0 0 1 29 0 0 3 46
A weak law of large numbers for a limit order book model with fully state dependent order dynamics 0 0 0 11 1 2 4 39
Asymptotics of locally interacting Markov chains with global signals 0 0 0 22 0 0 0 166
Changing Identity: The Emergence of Social Groups 0 0 0 343 0 0 4 1,026
Changing Identity: The Emergence of Social Groups 0 0 0 77 0 0 3 280
Conditional Analysis and a Principal-Agent problem 0 0 1 39 3 3 4 36
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models 0 0 0 8 1 3 3 50
Continuous equilibrium under base preferences and attainable initial endowments 0 0 0 4 2 2 4 65
Convergence of locally and globally interacting Markov chains 0 0 0 29 1 2 3 162
Dynamic Systems of Social Interactions 0 0 0 1 0 0 0 26
Dynamic systems of social interactions 0 0 1 40 0 1 2 74
Efficiency and Equilibria in Games of Optimal Derivative Design 0 0 0 13 2 3 4 73
Efficiency and equilibria in games of optimal derivative design 0 0 0 15 3 4 5 67
Equilibria in Systems of Social Interactions 0 0 1 168 3 3 5 410
Equilibria in Systems of Social Interactions 0 0 0 24 0 2 3 184
Equilibrium pricing in incomplete markets under translation invariant preferences 0 0 0 18 2 4 4 94
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 1 1 1 36
Financial price fluctuations in a stock market model with many interacting agents 0 0 0 46 0 0 0 197
Forward-backward systems for expected utility maximization 0 0 0 22 0 1 3 108
Hidden liquidity: Determinants and impact 0 0 0 38 0 2 4 119
Illiquidity and Derivative Valuation 0 0 0 20 0 1 3 93
Illiquidity and derivative valuation 0 0 0 30 1 1 1 127
Mean Field Games with Singular Controls 0 0 2 19 1 3 9 73
Non-ergodic Behavior in a Financial Market with Interacting Investors 0 0 0 0 0 0 4 230
On securitization, market completion and equilibrium risk transfer 0 0 0 49 0 0 0 114
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience 0 0 0 16 0 0 3 31
Optimal display of Iceberg orders 0 1 1 55 1 5 7 534
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 1 23 1 1 4 44
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 1 17 0 0 2 63
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 23 1 2 4 72
Sender-Receiver Games with Cooperation 0 0 0 20 1 1 3 59
Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact 0 0 0 14 0 1 2 24
Smooth solutions to portfolio liquidation problems under price-sensitive market impact 0 0 0 8 0 0 1 56
Stability of linear stochastic difference equations in controlled random environments 0 0 0 5 0 0 1 23
Stationary equilibria in discounted stochastic games with weakly interacting players 0 0 1 9 1 1 4 40
The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients 0 0 0 15 0 1 2 78
Trading under Market Impact 0 0 0 19 1 2 4 24
When to cross the spread: Curve following with singular control 0 0 0 32 1 1 1 136
Total Working Papers 0 1 13 1,460 30 62 134 5,467

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 0 1 258
A limit theorem for systems of social interactions 0 0 0 25 1 1 4 155
BookReview 0 0 0 4 1 1 2 26
Continuous equilibrium in affine and information-based capital asset pricing models 0 0 0 3 0 2 3 62
Convergence of locally and globally interacting Markov chains 0 0 0 6 0 1 2 29
Dynamic systems of social interactions 0 0 0 16 1 3 4 80
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective 0 0 0 256 0 0 1 556
Equilibria in systems of social interactions 0 0 0 96 1 1 2 358
Feasibility and individual rationality in two-person Bayesian games 0 0 0 1 3 4 7 48
Financial price fluctuations in a stock market model with many interacting agents 0 1 1 33 1 2 2 123
Forward–backward systems for expected utility maximization 0 1 1 10 1 3 5 50
On derivatives with illiquid underlying and market manipulation 0 1 1 20 1 4 8 71
On non-ergodic asset prices 0 0 0 32 1 2 3 110
Optimal order display in limit order markets with liquidity competition 0 0 1 7 2 3 6 63
QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS 0 0 0 41 1 2 6 118
Rational expectations equilibria of economies with local interactions 0 0 0 76 0 2 2 216
Stationary equilibria in discounted stochastic games with weakly interacting players 0 0 0 44 1 2 2 126
Stochastic cascades, credit contagion, and large portfolio losses 0 0 1 29 0 0 1 96
Total Journal Articles 0 3 5 735 15 33 61 2,545
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Statistics updated 2025-12-06