Access Statistics for Ulrich Horst

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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 0 15
A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics 0 0 0 19 0 0 0 36
A Limit Theorem for Financial Markets with Inert Investors 0 0 0 7 0 0 0 48
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions 0 0 0 14 1 1 1 29
A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets- 0 0 0 35 1 1 2 28
A diffusion approximation for limit order book models 1 1 1 4 2 3 6 21
A law of large numbers for limit order books 0 0 0 28 1 1 3 44
A weak law of large numbers for a limit order book model with fully state dependent order dynamics 0 0 0 11 0 0 1 35
Asymptotics of locally interacting Markov chains with global signals 0 0 0 22 0 0 1 166
Changing Identity: The Emergence of Social Groups 0 0 0 77 1 3 4 280
Changing Identity: The Emergence of Social Groups 0 0 0 343 1 4 5 1,026
Conditional Analysis and a Principal-Agent problem 0 0 0 38 0 0 0 32
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models 0 0 0 8 0 0 1 47
Continuous equilibrium under base preferences and attainable initial endowments 0 0 0 4 2 2 3 63
Convergence of locally and globally interacting Markov chains 0 0 0 29 0 0 1 159
Dynamic Systems of Social Interactions 0 0 0 1 0 0 0 26
Dynamic systems of social interactions 0 0 0 39 0 0 1 72
Efficiency and Equilibria in Games of Optimal Derivative Design 0 0 0 13 0 0 1 69
Efficiency and equilibria in games of optimal derivative design 0 0 1 15 0 0 2 62
Equilibria in Systems of Social Interactions 0 0 0 24 0 0 1 181
Equilibria in Systems of Social Interactions 1 1 2 168 1 1 3 406
Equilibrium pricing in incomplete markets under translation invariant preferences 0 0 0 18 0 0 0 90
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 0 0 35
Financial price fluctuations in a stock market model with many interacting agents 0 0 0 46 0 0 1 197
Forward-backward systems for expected utility maximization 0 0 0 22 0 0 2 105
Hidden liquidity: Determinants and impact 0 0 0 38 0 2 2 117
Illiquidity and Derivative Valuation 0 0 0 20 0 0 1 90
Illiquidity and derivative valuation 0 0 0 30 0 0 1 126
Mean Field Games with Singular Controls 0 0 1 17 0 0 5 64
Non-ergodic Behavior in a Financial Market with Interacting Investors 0 0 0 0 0 0 4 226
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 0 28
Optimal display of Iceberg orders 0 0 0 54 0 1 4 528
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 1 1 23 0 1 2 41
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 0 16 0 0 0 61
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 22 0 0 4 68
Sender-Receiver Games with Cooperation 0 0 0 20 0 0 2 56
Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact 0 0 0 14 0 0 0 22
Smooth solutions to portfolio liquidation problems under price-sensitive market impact 0 0 0 8 1 1 1 56
Stability of linear stochastic difference equations in controlled random environments 0 0 0 5 0 0 0 22
Stationary equilibria in discounted stochastic games with weakly interacting players 0 1 1 9 0 1 1 37
The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients 0 0 0 15 1 1 1 77
Trading under Market Impact 0 0 0 19 0 0 0 20
When to cross the spread: Curve following with singular control 0 0 0 32 0 0 1 135
Total Working Papers 2 4 8 1,451 12 23 68 5,356

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 2 36 0 0 3 257
A limit theorem for systems of social interactions 0 0 0 25 0 0 3 151
BookReview 0 0 0 4 0 1 1 25
Continuous equilibrium in affine and information-based capital asset pricing models 0 0 0 3 0 0 0 59
Convergence of locally and globally interacting Markov chains 0 0 0 6 0 1 1 28
Dynamic systems of social interactions 0 0 0 16 0 0 0 76
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective 0 0 2 256 0 1 5 556
Equilibria in systems of social interactions 0 0 0 96 0 1 2 357
Feasibility and individual rationality in two-person Bayesian games 0 0 0 1 0 0 1 41
Financial price fluctuations in a stock market model with many interacting agents 0 0 0 32 0 0 1 121
Forward–backward systems for expected utility maximization 0 0 0 9 0 2 2 47
On derivatives with illiquid underlying and market manipulation 0 0 0 19 1 1 1 64
On non-ergodic asset prices 0 0 0 32 0 0 0 107
Optimal order display in limit order markets with liquidity competition 1 1 1 7 1 1 4 58
QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS 0 0 0 41 1 3 3 115
Rational expectations equilibria of economies with local interactions 0 0 0 76 0 0 1 214
Stationary equilibria in discounted stochastic games with weakly interacting players 0 0 0 44 0 0 0 124
Stochastic cascades, credit contagion, and large portfolio losses 0 0 1 28 0 0 1 95
Total Journal Articles 1 1 6 731 3 11 29 2,495
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Statistics updated 2025-03-03