Ulrich Horst

Available identifiers

zbMath Open horst.ulrichMaRDI QIDQ267076

List of research outcomes

Publication	Date of Publication	Type
Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility	2023-12-14	Paper
Second-Order Regular Variation and Second-Order Approximation of Hawkes Processes	2023-11-05	Paper
Portfolio liquidation games with self‐exciting order flow	2023-09-28	Paper
Second-Order Approximation of Limit Order Books in a Single-Scale Regime	2023-08-01	Paper
The microstructure of stochastic volatility models with self-exciting jump dynamics	2022-12-20	Paper
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption	2022-11-03	Paper
Portfolio liquidation under factor uncertainty	2022-03-21	Paper
A Mean Field Game of Optimal Portfolio Liquidation	2022-02-08	Paper
Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint	2021-08-11	Paper
Functional limit theorems for marked Hawkes point measures	2021-04-27	Paper
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	2021-03-10	Paper
Mean-Field Leader-Follower Games with Terminal State Constraint	2020-07-30	Paper
A diffusion approximation for limit order book models	2019-11-27	Paper
Multi-dimensional optimal trade execution under stochastic resilience	2019-09-19	Paper
A Scaling Limit for Limit Order Books Driven by Hawkes Processes	2019-07-26	Paper
Trading under market impact: crossing networks interacting with dealer markets	2019-03-27	Paper
Second order approximations for limit order books	2018-10-08	Paper
Optimal order display in limit order markets with liquidity competition	2018-08-13	Paper
Sender-receiver games with cooperation	2018-05-09	Paper
Smooth solutions to portfolio liquidation problems under price-sensitive market impact	2018-02-13	Paper
A functional limit theorem for limit order books with state dependent price dynamics	2018-01-04	Paper
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience	2017-12-11	Paper
Mean Field Games with Singular Controls	2017-12-11	Paper
A Law of Large Numbers for Limit Order Books	2017-12-07	Paper
Maximum principle for quasi-linear reflected backward SPDEs	2017-09-05	Paper
A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics	2017-06-02	Paper
Conditional Analysis and a Principal-Agent Problem	2016-08-17	Paper
Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences	2016-04-15	Paper
A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition	2016-04-11	Paper
Feasibility and individual rationality in two-person Bayesian games	2016-04-08	Paper
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions	2015-06-02	Paper
When to Cross the Spread? Trading in Two-Sided Limit Order Books	2015-01-20	Paper
Continuous equilibrium in affine and information-based capital asset pricing models	2014-11-12	Paper
Forward-backward systems for expected utility maximization	2014-08-27	Paper
Efficiency and equilibria in games of optimal derivative design	2013-02-26	Paper
On securitization, market completion and equilibrium risk transfer	2013-01-20	Paper
On derivatives with illiquid underlying and market manipulation	2011-08-19	Paper
A limit theorem for systems of social interactions	2009-11-23	Paper
Risk minimization and optimal derivative design in a principal agent game	2009-09-18	Paper
A Limit Theorem for Financial Markets with Inert Investors	2008-05-27	Paper
QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS	2008-05-22	Paper
On non-ergodic asset prices	2007-12-10	Paper
Queueing Theoretic Approaches to Financial Price Fluctuations	2007-03-28	Paper
Equilibria in systems of social interactions	2006-12-07	Paper
Rational expectations equilibria of economies with local interactions	2006-05-18	Paper
Financial price fluctuations in a stock market model with many interacting agents	2006-01-31	Paper
Stationary equilibria in discounted stochastic games with weakly interacting players	2005-08-05	Paper
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective	2005-06-13	Paper
Convergence of locally and globally interacting Markov chains.	2005-02-25	Paper
Stability of linear stochastic difference equations in strategically controlled random environments	2004-03-07	Paper
Asymptotics of locally-interacting Markov chains with global signals	2003-06-18	Paper
The stochastic equation Yt+1 = AtYt + Bt with non-stationary coefficients	2002-06-30	Paper

Research outcomes over time

Doctoral students

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