Ulrich Horst
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Ulrich 
last: 
Horst 
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HumboldtUniversität Berlin
→ Wirtschaftswissenschaftliche Fakultät
→ Sonderforschungsbereich 649: Ökonomisches Risiko
Research profile
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On nonergodic asset prices
by Ulrich Horst & Jan Wenzelburger

Nonergodic Behavior in a Financial Market with Interacting Investors
by Ulrich Horst & Jan Wezelburger

Financial price fluctuations in a stock market model with many interacting agents
by Ulrich Horst

On Securitization, Market Completion and Equilibrium Risk Transfer
by Ulrich Horst & Traian A. Pirvu & GonÃalo Dos Reis

Illiquidity and Derivative Valuation
by Ulrich Horst & Felix Naujokat

Illiquidity and Derivative Valuation
by Ulrich Horst & Felix Naujokat

On derivatives with illiquid underlying and market manipulation
by Ulrich Horst & Felix Naujokat

Forwardbackward systems for expected utility maximization
by Ulrich Horst & Ying Hu & Peter Imkeller & Anthony Reveillac

Queueing Theoretic Approaches to Financial Price Fluctuations
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar

QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
by HORST, ULRICH & ROTHE, CHRISTIAN

Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
by Follmer, Hans & Horst, Ulrich & Kirman, Alan

A Limit Theorem for Financial Markets with Inert Investors
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar

Equilibria in systems of social interactions
by Horst, Ulrich & Scheinkman, Jose A.

Stationary equilibria in discounted stochastic games with weakly interacting players
by Horst, Ulrich

Equilibria in Systems of Social Interactions
by U. Horst & Jose A. Scheinkman

Rational expectations equilibria of economies with local interactions
by Bisin, Alberto & Horst, Ulrich & Ozgur, Onur

Efficiency and Equilibria in Games of Optimal Derivative Design
by Ulrich Horst & Santiago MorenoBromberg

Equilibria in Systems of Social Interactions
by J. Scheinkman & U. Horst

Stochastic cascades, credit contagion, and large portfolio losses
by Horst, Ulrich

Changing Identity: The Emergence of Social Groups
by Ulrich Horst & Alan Kirman & Miriam Teschl

When to Cross the Spread: Curve Following with Singular Control
by Felix Naujokat & Ulrich Horst

Dynamic Systems of Social Interactions
by Ulrich Horst

Efficiency and Equilibria in Games of Optimal Derivative Design
by Ulrich Horst & Santiago MorenoBromberg

A Simple Model for Trading Climate Risk
by Sébastien Chaumont & Peter Imkeller & Matthias Müller & Ulrich Horst

Changing Identity: The Emergence of Social Groups
by Ulrich Horst & Alan Kirman & Miriam Teschl

A limit theorem for systems of social interactions
by Horst, Ulrich & Scheinkman, José A.

Convergence of locally and globally interacting Markov chains
by Föllmer, Hans & Horst, Ulrich

Dynamic systems of social interactions
by Horst, Ulrich

BookReview
by Ulrich Horst

Financial price fluctuations in a stock market model with many interacting agents
by Horst, Ulrich

Convergence of locally and globally interacting Markov chains
by Föllmer, Hans & Horst, Ulrich

Continuous equilibrium in affine and informationbased capital asset pricing models
by Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger

Forward–backward systems for expected utility maximization
by Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing

Smooth solutions to portfolio liquidation problems under pricesensitive market impact
by Paulwin Graewe & Ulrich Horst & Eric S.\'er\'e

Hidden Liquidity: Determinants and Impact
by GÃkhan Cebiroglu & Ulrich Horst

Ergodic fluctuations in a stock market model with interacting agents: The mean field case
by Horst, Ulrich

A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
by Ulrich Horst & Jinniao Qiu & Qi Zhang

Stability of linear stochastic difference equations in controlled random environments
by Horst, Ulrich

Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences
by Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu

Stationary equilibria in discounted stochastic games with weakly interacting players
by Horst, Ulrich

A NonMarkovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
by Paulwin Graewe & Ulrich Horst & Jinniao Qiu

Asymptotics of locally interacting Markov chains with global signals
by Horst, Ulrich

Continuous Equilibrium under Base Preferences and Attainable Initial Endowments
by Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger

A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
by Christian Bayer & Ulrich Horst & Jinniao Qiu

Continuous Equilibrium in Affine and InformationBased Capital Asset Pricing Models
by Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger

The stochastic equation P(t+1)=A(t)P(t)+B(t) with nonstationary coefficients
by Horst, Ulrich

Feasibility and individual rationality in twoperson Bayesian games
by Francoise Forges & Ulrich Horst & Antoine Salomon

A law of large numbers for limit order books
by Ulrich Horst & Michael Paulsen

Optimal order display in limit order markets with liquidity competition
by Cebiroğlu, Gökhan & Horst, Ulrich

A weak law of large numbers for a limit order book model with fully state dependent order dynamics
by Ulrich Horst & D.\"orte Kreher

Conditional Analysis and a PrincipalAgent problem
by Julio Backhoff & Ulrich Horst

Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?
by Cebiroglu, Gökhan & Hautsch, Nikolaus & Horst, Ulrich

Dynamic Systems of Social Interactions
by Ulrich Horst

Feasibility and individual rationality in twoperson Bayesian games
by Francoise Forges & Ulrich Horst & Antoine Salomon

A PrincipalAgent Model of Trading Under Market Impact Crossing networks interacting with dealer markets
by Jana Bielagk & Ulrich Horst & Santiago MorenoBromberg

Feasibility and individual rationality in twoperson Bayesian games
by Françoise Forges & Ulrich Horst & Antoine Salomon

Mean Field Games with Singular Controls
by Fu, Guanxing & Horst, Ulrich

Trading under Market Impact
by Bielagk, Jana & Horst, Ulrich & MorenoBromberg, Santiago

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences
by Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu

Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
by Cebirogly, Gökhan & Hautsch, Nikolaus & Horst, Ulrich

SenderReceiver Games with Cooperation
by Forges, Françoise & Horst, Ulrich

A Limit Theorem for Financial Markets with Inert Investors
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar

Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
by Paulwin Graewe & Ulrich Horst

On the Spanning Property of Risk Bonds Priced by Equilibrium
by Ulrich Horst & Matthias Müller

Smooth Solutions to Portfolio Liquidation Problems under PriceSensitive Market Impact
by Paulwin Graewe & Ulrich Horst & Eric Séré

A diffusion approximation for limit order book models
by Ulrich Horst & D.\"orte Kreher