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 3 18
A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics 0 0 0 19 1 4 6 42
A Limit Theorem for Financial Markets with Inert Investors 0 0 0 7 1 4 9 57
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions 0 0 0 14 0 4 7 36
A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- 0 0 0 35 0 7 8 36
A diffusion approximation for limit order book models 0 0 1 5 1 1 4 25
A law of large numbers for limit order books 0 1 2 30 1 5 7 51
A weak law of large numbers for a limit order book model with fully state dependent order dynamics 0 0 0 11 0 0 4 39
Asymptotics of locally interacting Markov chains with global signals 0 0 0 22 1 1 1 167
Changing Identity: The Emergence of Social Groups 0 0 0 77 0 2 2 282
Changing Identity: The Emergence of Social Groups 0 0 0 343 3 12 12 1,038
Conditional Analysis and a Principal-Agent problem 0 0 1 39 1 3 7 39
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models 0 0 0 8 0 4 7 54
Continuous equilibrium under base preferences and attainable initial endowments 0 0 0 4 1 11 13 76
Convergence of locally and globally interacting Markov chains 0 0 0 29 1 7 10 169
Dynamic Systems of Social Interactions 0 0 0 1 0 4 4 30
Dynamic systems of social interactions 0 0 1 40 0 2 4 76
Efficiency and Equilibria in Games of Optimal Derivative Design 0 0 0 13 4 7 11 80
Efficiency and equilibria in games of optimal derivative design 0 0 0 15 0 4 9 71
Equilibria in Systems of Social Interactions 0 0 0 24 0 2 5 186
Equilibria in Systems of Social Interactions 0 0 0 168 0 1 5 411
Equilibrium pricing in incomplete markets under translation invariant preferences 0 0 0 18 1 4 8 98
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 8 9 44
Financial price fluctuations in a stock market model with many interacting agents 0 0 0 46 1 4 4 201
Forward-backward systems for expected utility maximization 0 0 0 22 1 3 6 111
Hidden liquidity: Determinants and impact 0 0 0 38 0 5 7 124
Illiquidity and Derivative Valuation 0 0 0 20 0 4 7 97
Illiquidity and derivative valuation 0 0 0 30 0 8 9 135
Mean Field Games with Singular Controls 0 0 2 19 0 3 12 76
Non-ergodic Behavior in a Financial Market with Interacting Investors 0 0 0 0 1 12 16 242
On securitization, market completion and equilibrium risk transfer 0 0 0 49 0 7 7 121
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience 0 1 1 17 0 2 5 33
Optimal display of Iceberg orders 0 0 1 55 2 7 13 541
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 23 1 6 9 50
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 1 17 0 6 8 69
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 23 2 8 12 80
Sender-Receiver Games with Cooperation 0 0 0 20 4 10 13 69
Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact 0 0 0 14 0 2 4 26
Smooth solutions to portfolio liquidation problems under price-sensitive market impact 0 0 0 8 0 3 3 59
Stability of linear stochastic difference equations in controlled random environments 0 0 0 5 1 8 9 31
Stationary equilibria in discounted stochastic games with weakly interacting players 0 0 0 9 1 3 6 43
The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients 0 0 0 15 1 8 9 86
Trading under Market Impact 0 0 0 19 1 6 10 30
When to cross the spread: Curve following with singular control 0 0 0 32 0 3 4 139
Total Working Papers 0 2 11 1,462 32 217 328 5,684

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 1 2 259
A limit theorem for systems of social interactions 0 0 0 25 0 7 11 162
BookReview 0 0 0 4 0 6 7 32
Continuous equilibrium in affine and information-based capital asset pricing models 0 0 0 3 0 4 7 66
Convergence of locally and globally interacting Markov chains 0 0 0 6 1 3 4 32
Dynamic systems of social interactions 0 0 0 16 0 3 7 83
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective 0 1 1 257 0 11 11 567
Equilibria in systems of social interactions 0 0 0 96 1 7 8 365
Feasibility and individual rationality in two-person Bayesian games 0 0 0 1 0 7 14 55
Financial price fluctuations in a stock market model with many interacting agents 0 0 1 33 0 4 6 127
Forward–backward systems for expected utility maximization 0 0 1 10 1 4 7 54
On derivatives with illiquid underlying and market manipulation 0 0 1 20 0 9 16 80
On non-ergodic asset prices 0 0 0 32 0 3 6 113
Optimal order display in limit order markets with liquidity competition 0 0 0 7 2 9 14 72
QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS 0 0 0 41 0 2 5 120
Rational expectations equilibria of economies with local interactions 0 0 0 76 0 5 7 221
Stationary equilibria in discounted stochastic games with weakly interacting players 0 1 1 45 2 8 10 134
Stochastic cascades, credit contagion, and large portfolio losses 0 0 1 29 0 3 4 99
Total Journal Articles 0 2 6 737 7 96 146 2,641
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Statistics updated 2026-03-04