# Ulrich Horst

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## Personal Details

First Name: | Ulrich |

Middle Name: | |

Last Name: | Horst |

Suffix: | |

RePEc Short-ID: | pho443 |

[This author has chosen not to make the email address public] | |

http://www.math.hu-berlin.de/~horst | |

Berlin, Germany

http://sfb649.wiwi.hu-berlin.de/

: +49-30-2093-5708

+49-30-2093-5617

Spandauer Str. 1,10178 Berlin

RePEc:edi:sohubde (more details at EDIRC)

http://sfb649.wiwi.hu-berlin.de/

: +49-30-2093-5708

+49-30-2093-5617

Spandauer Str. 1,10178 Berlin

RePEc:edi:sohubde (more details at EDIRC)

- Ulrich Horst & D\"orte Kreher, 2015.
"
**A weak law of large numbers for a limit order book model with fully state dependent order dynamics**," Papers 1502.04359, arXiv.org, revised Jun 2015. - Ulrich Horst & Michael Paulsen, 2015.
"
**A law of large numbers for limit order books**," Papers 1501.00843, arXiv.org. - Christian Bayer & Ulrich Horst & Jinniao Qiu, 2014.
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**A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics**," Papers 1405.5230, arXiv.org, revised Aug 2015. - Julio Backhoff & Ulrich Horst, 2014.
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**Conditional Analysis and a Principal-Agent problem**," Papers 1412.4698, arXiv.org, revised Apr 2015. - Cebiroglu, Gökhan & Hautsch, Nikolaus & Horst, Ulrich, 2014.
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**Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?**," CFS Working Paper Series 468, Center for Financial Studies (CFS). - Ulrich Horst & Jinniao Qiu & Qi Zhang, 2014.
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**A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition**," Papers 1407.0108, arXiv.org, revised Jul 2015. - Francoise Forges & Ulrich Horst & Antoine Salomon, 2014.
"
**Feasibility and individual rationality in two-person Bayesian games**," Working Papers hal-01094061, HAL. - Paulwin Graewe & Ulrich Horst & Eric S\'er\'e, 2013.
"
**Smooth solutions to portfolio liquidation problems under price-sensitive market impact**," Papers 1309.0474, arXiv.org, revised May 2015. - Paulwin Graewe & Ulrich Horst & Jinniao Qiu, 2013.
"
**A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions**," Papers 1309.0461, arXiv.org, revised Jan 2015. - Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2012.
"
**Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models**," Papers 1201.1840, arXiv.org, revised Oct 2012.- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2013.
"
**Continuous equilibrium in affine and information-based capital asset pricing models**," Annals of Finance, Springer, vol. 9(4), pages 725-755, November.

- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2013.
"
- GÃ¶khan Cebiroglu & Ulrich Horst, 2012.
"
**Hidden Liquidity: Determinants and Impact**," SFB 649 Discussion Papers SFB649DP2012-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu, 2011.
"
**Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences**," SFB 649 Discussion Papers SFB649DP2011-083, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Felix Naujokat & Ulrich Horst, 2011.
"
**When to Cross the Spread: Curve Following with Singular Control**," SFB 649 Discussion Papers SFB649DP2011-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Ulrich Horst & Santiago Moreno-Bromberg, 2011.
"
**Efficiency and Equilibria in Games of Optimal Derivative Design**," Papers 1107.0839, arXiv.org.- Ulrich Horst & Santiago Moreno-Bromberg, 2010.
"
**Efficiency and Equilibria in Games of Optimal Derivative Design**," SFB 649 Discussion Papers SFB649DP2010-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

- Ulrich Horst & Santiago Moreno-Bromberg, 2010.
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- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2011.
"
**Continuous Equilibrium under Base Preferences and Attainable Initial Endowments**," SFB 649 Discussion Papers SFB649DP2011-082, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Ulrich Horst & Ying Hu & Peter Imkeller & Anthony Reveillac, 2011.
"
**Forward-backward systems for expected utility maximization**," SFB 649 Discussion Papers SFB649DP2011-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014.
"
**Forward–backward systems for expected utility maximization**," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1813-1848.

- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014.
"
- U. Horst & Jose A. Scheinkman, 2010.
"
**Equilibria in Systems of Social Interactions**," Levine's Working Paper Archive 506439000000000119, David K. Levine.- Horst, Ulrich & Scheinkman, Jose A., 2006.
"
**Equilibria in systems of social interactions**," Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.

- J. Scheinkman & U. Horst, 2003.
"
**Equilibria in Systems of Social Interactions**," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.

- Horst, Ulrich & Scheinkman, Jose A., 2006.
"
- Ulrich Horst & Traian A. Pirvu & GonÃ§alo Dos Reis, 2010.
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**On Securitization, Market Completion and Equilibrium Risk Transfer**," SFB 649 Discussion Papers SFB649DP2010-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Ulrich Horst & Felix Naujokat, 2010.
"
**Illiquidity and Derivative Valuation**," SFB 649 Discussion Papers SFB649DP2010-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.- Ulrich Horst & Felix Naujokat, 2008.
"
**Illiquidity and Derivative Valuation**," Papers 0901.0091, arXiv.org.

- Ulrich Horst & Felix Naujokat, 2008.
"
- Ulrich Horst, 2010.
"
**Dynamic Systems of Social Interactions**," SFB 649 Discussion Papers SFB649DP2010-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.- Horst, Ulrich, 2010.
"
**Dynamic systems of social interactions**," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.

- Ulrich Horst, 2010.
"
**Dynamic Systems of Social Interactions**," Post-Print hal-00781340, HAL.

- Horst, Ulrich, 2010.
"
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
"
**A Limit Theorem for Financial Markets with Inert Investors**," Papers math/0703831, arXiv.org. - Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
"
**Queueing Theoretic Approaches to Financial Price Fluctuations**," Papers math/0703832, arXiv.org. - Ulrich Horst & Alan Kirman & Miriam Teschl, 2006.
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**Changing Identity: The Emergence of Social Groups**," Working Papers halshs-00410853, HAL.- Ulrich Horst & Alan Kirman & Miriam Teschl, 2007.
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**Changing Identity: The Emergence of Social Groups**," Economics Working Papers 0078, Institute for Advanced Study, School of Social Science.

- Ulrich Horst & Alan Kirman & Miriam Teschl, 2007.
"
- Ulrich Horst & Jos´e A. Scheinkman, 2006.
"
**A Limit Theorem for Systems of Social Interactions**," Levine's Bibliography 321307000000000177, UCLA Department of Economics.- Horst, Ulrich & Scheinkman, José A., 2009.
"
**A limit theorem for systems of social interactions**," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 609-623, September.

- Horst, Ulrich & Scheinkman, José A., 2009.
"
- Ulrich Horst & Jan Wezelburger, 2006.
"
**Non-ergodic Behavior in a Financial Market with Interacting Investors**," 2006 Meeting Papers 229, Society for Economic Dynamics. - Horst, Ulrich, 2002.
"
**Stationary equilibria in discounted stochastic games with weakly interacting players**," SFB 373 Discussion Papers 2002,77, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.- Horst, Ulrich, 2005.
"
**Stationary equilibria in discounted stochastic games with weakly interacting players**," Games and Economic Behavior, Elsevier, vol. 51(1), pages 83-108, April.

- Horst, Ulrich, 2005.
"
- Horst, Ulrich, 2002.
"
**Stability of linear stochastic difference equations in controlled random environments**," SFB 373 Discussion Papers 2002,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes. - Horst, Ulrich, 2001.
"
**Financial price fluctuations in a stock market model with many interacting agents**," SFB 373 Discussion Papers 2001,36, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.- Ulrich Horst, 2005.
"
**Financial price fluctuations in a stock market model with many interacting agents**," Economic Theory, Springer, vol. 25(4), pages 917-932, 06.

- Ulrich Horst, 2005.
"
- Horst, Ulrich, 2001.
"
**Asymptotics of locally interacting Markov chains with global signals**," SFB 373 Discussion Papers 2001,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes. - Föllmer, Hans & Horst, Ulrich, 2001.
"
**Convergence of locally and globally interacting Markov chains**," SFB 373 Discussion Papers 2001,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.- Föllmer, Hans & Horst, Ulrich, 2001.
"
**Convergence of locally and globally interacting Markov chains**," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 99-121, November.

- Föllmer, Hans & Horst, Ulrich, 2001.
"
- Horst, Ulrich, 2000.
"
**The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients**," SFB 373 Discussion Papers 2000,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes. - Horst, Ulrich, 1999.
"
**Ergodic fluctuations in a stock market model with interacting agents: The mean field case**," SFB 373 Discussion Papers 1999,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

- Cebiroğlu, Gökhan & Horst, Ulrich, 2015.
"
**Optimal order display in limit order markets with liquidity competition**," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 81-100. - Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014.
"
**Forward–backward systems for expected utility maximization**," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1813-1848.- Ulrich Horst & Ying Hu & Peter Imkeller & Anthony Reveillac, 2011.
"
**Forward-backward systems for expected utility maximization**," SFB 649 Discussion Papers SFB649DP2011-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

- Ulrich Horst & Ying Hu & Peter Imkeller & Anthony Reveillac, 2011.
"
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2013.
"
**Continuous equilibrium in affine and information-based capital asset pricing models**," Annals of Finance, Springer, vol. 9(4), pages 725-755, November.- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2012.
"
**Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models**," Papers 1201.1840, arXiv.org, revised Oct 2012.

- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2012.
"
- Ulrich Horst & Felix Naujokat, 2011.
"
**On derivatives with illiquid underlying and market manipulation**," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1051-1066. - Horst, Ulrich, 2010.
"
**Dynamic systems of social interactions**," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.- Ulrich Horst, 2010.
"
**Dynamic Systems of Social Interactions**," SFB 649 Discussion Papers SFB649DP2010-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Ulrich Horst, 2010.
"
**Dynamic Systems of Social Interactions**," Post-Print hal-00781340, HAL.

- Ulrich Horst, 2010.
"
- Horst, Ulrich & Scheinkman, José A., 2009.
"
**A limit theorem for systems of social interactions**," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 609-623, September.- Ulrich Horst & Jos´e A. Scheinkman, 2006.
"
**A Limit Theorem for Systems of Social Interactions**," Levine's Bibliography 321307000000000177, UCLA Department of Economics.

- Ulrich Horst & Jos´e A. Scheinkman, 2006.
"
- Ulrich Horst & Jan Wenzelburger, 2008.
"
**On non-ergodic asset prices**," Economic Theory, Springer, vol. 34(2), pages 207-234, February. - Horst, Ulrich & Rothe, Christian, 2008.
"
**Queuing, Social Interactions, And The Microstructure Of Financial Markets**," Macroeconomic Dynamics, Cambridge University Press, vol. 12(02), pages 211-233, April. - Ulrich Horst, 2007.
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**BookReview**," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 17-18. - Horst, Ulrich, 2007.
"
**Stochastic cascades, credit contagion, and large portfolio losses**," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 25-54, May. - Horst, Ulrich & Scheinkman, Jose A., 2006.
"
**Equilibria in systems of social interactions**," Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.- J. Scheinkman & U. Horst, 2003.
"
**Equilibria in Systems of Social Interactions**," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine. - U. Horst & Jose A. Scheinkman, 2010.
"
**Equilibria in Systems of Social Interactions**," Levine's Working Paper Archive 506439000000000119, David K. Levine.

- J. Scheinkman & U. Horst, 2003.
"
- Bisin, Alberto & Horst, Ulrich & Ozgur, Onur, 2006.
"
**Rational expectations equilibria of economies with local interactions**," Journal of Economic Theory, Elsevier, vol. 127(1), pages 74-116, March. - Sébastien Chaumont & Peter Imkeller & Matthias Müller & Ulrich Horst, 2005.
"
**A Simple Model for Trading Climate Risk**," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 74(2), pages 175-195. - Horst, Ulrich, 2005.
"
**Stationary equilibria in discounted stochastic games with weakly interacting players**," Games and Economic Behavior, Elsevier, vol. 51(1), pages 83-108, April.- Horst, Ulrich, 2002.
"
**Stationary equilibria in discounted stochastic games with weakly interacting players**," SFB 373 Discussion Papers 2002,77, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

- Horst, Ulrich, 2002.
"
- Follmer, Hans & Horst, Ulrich & Kirman, Alan, 2005.
"
**Equilibria in financial markets with heterogeneous agents: a probabilistic perspective**," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 123-155, February. - Ulrich Horst, 2005.
"
**Financial price fluctuations in a stock market model with many interacting agents**," Economic Theory, Springer, vol. 25(4), pages 917-932, 06.- Horst, Ulrich, 2001.
"
**Financial price fluctuations in a stock market model with many interacting agents**," SFB 373 Discussion Papers 2001,36, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

- Horst, Ulrich, 2001.
"
- Föllmer, Hans & Horst, Ulrich, 2001.
"
**Convergence of locally and globally interacting Markov chains**," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 99-121, November.- Föllmer, Hans & Horst, Ulrich, 2001.
"
**Convergence of locally and globally interacting Markov chains**," SFB 373 Discussion Papers 2001,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

- Föllmer, Hans & Horst, Ulrich, 2001.
"

23 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

- NEP-BAN: Banking (1) 2010-03-20
- NEP-CBE: Cognitive & Behavioural Economics (1) 2007-11-03
- NEP-CDM: Collective Decision-Making (1) 2006-07-21
- NEP-CTA: Contract Theory & Applications (2) 2010-07-17 2011-07-13
- NEP-ETS: Econometric Time Series (2) 2001-09-10 2001-09-10
- NEP-EVO: Evolutionary Economics (1) 2010-04-17
- NEP-FMK: Financial Markets (1) 2010-03-20
- NEP-GTH: Game Theory (5) 2001-09-10 2003-03-10 2010-07-17 2011-07-13 2015-08-25. Author is listed
- NEP-HPE: History & Philosophy of Economics (1) 2015-08-25
- NEP-MIC: Microeconomics (2) 2015-01-03 2015-08-25
- NEP-MST: Market Microstructure (8) 2011-08-29 2012-01-18 2012-03-21 2013-09-06 2014-05-24 2014-11-28 2015-01-14 2016-03-06. Author is listed
- NEP-NET: Network Economics (1) 2006-07-21
- NEP-ORE: Operations Research (1) 2013-09-06
- NEP-SOC: Social Norms & Social Capital (2) 2006-07-21 2007-11-03
- NEP-UPT: Utility Models & Prospect Theory (1) 2015-01-03
- NEP-URE: Urban & Real Estate Economics (2) 2003-03-10 2006-07-21

#### Most cited item

- Follmer, Hans & Horst, Ulrich & Kirman, Alan, 2005.
"
**Equilibria in financial markets with heterogeneous agents: a probabilistic perspective**," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 123-155, February.

#### Most downloaded item (past 12 months)

- Francoise Forges & Ulrich Horst & Antoine Salomon, 2014.
"
**Feasibility and individual rationality in two-person Bayesian games**," Working Papers hal-01094061, HAL.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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