Ulrich Horst

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

12

DOWNLOADS

1,821

SSRN CITATIONS

3

CROSSREF CITATIONS

7

Scholarly Papers (12)

1.

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

Number of pages: 30 Posted: 07 Feb 2011 Last Revised: 14 Mar 2013
ETH Zurich, Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics and McMaster University
Downloads 547 (71,010)
Citation 4

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Competitive equilibrium, incomplete markets, heterogenous agents, trading constraints, one-fund theorem

2.

Does Hidden Liquidity Harm Price Efficiency?

Number of pages: 57 Posted: 04 Aug 2013 Last Revised: 30 Aug 2014
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 262 (162,067)
Citation 2

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Liquidity Coordination, Signalling, Pre-announcements, Hidden Liquidity, Limit Order Books, Liquidity Externalities

3.

Optimal Order Exposure and the Market Impact of Limit Orders

Number of pages: 33 Posted: 02 Feb 2012 Last Revised: 21 Feb 2017
Gökhan Cebiroglu and Ulrich Horst
University of Vienna, Faculty of Business and Economics and Humboldt University of Berlin
Downloads 213 (197,633)

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hidden liquidity, Iceberg orders, hidden orders, limit order book, market impact, front-running, transparency, order flow, high-frequency trading

4.

Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?

CFS Working Paper, No. 468
Number of pages: 60 Posted: 04 Oct 2014
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 170 (241,113)

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liquidity externalities, order flow, trade signaling, limit order book

5.

Determinants and Impact of Hidden Liquidity: Evidence from NASDAQ ModelView Data

Number of pages: 25 Posted: 31 Jul 2013 Last Revised: 22 Aug 2013
Gökhan Cebiroglu and Ulrich Horst
University of Vienna, Faculty of Business and Economics and Humboldt University of Berlin
Downloads 142 (279,370)

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limit order market, transparency, hidden liquidity, trading frictions, market impact, iceberg orders, limit order book markets, market microstructure

6.

Optimal trade execution under endogenous order flow

Number of pages: 37 Posted: 01 Oct 2021
Ying Chen, Ulrich Horst and Hoang Hai Tran
National University of Singapore (NUS) - Department of Mathematics, Humboldt University of Berlin and National University of Singapore (NUS) - Department of Statistics and Applied Probability
Downloads 132 (295,435)

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Liquidity Risk, Optimal Trading Strategy, Portfolio Liquidation, Hawkes process

7.

Optimal Order Display in Limit Order Markets with Liquidity Competition

Number of pages: 31 Posted: 16 Jan 2015
Gökhan Cebiroglu and Ulrich Horst
University of Vienna, Faculty of Business and Economics and Humboldt University of Berlin
Downloads 117 (326,666)
Citation 1

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Hidden Liquidity, Liquidity Competition, Limit Order Book, Market Impact, Order Flow Dynamics, High-Frequency Trading, Order-Imbalance

8.

Portfolio Liquidation Under Transient Price Impact – Theoretical Solution and Implementation With 100 NASDAQ Stocks

Number of pages: 22 Posted: 07 Jan 2020
Ying Chen, Ulrich Horst and Hoang Hai Tran
National University of Singapore (NUS) - Department of Mathematics, Humboldt University of Berlin and National University of Singapore (NUS) - Department of Statistics and Applied Probability
Downloads 99 (363,801)

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Liquidity Risk, Optimal Trading Strategy, Portfolio Liquidation, Hawkes process

9.

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

Number of pages: 25 Posted: 10 Jan 2012 Last Revised: 22 Oct 2012
Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics, University College London and Humboldt Universitaet zu Berlin, Department of Mathematics
Downloads 58 (486,624)

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Continuous-time equilibrium, exponential utility, CAPM, affine processes, information-based asset pricing, implied volatility

10.

Queueing Theoretic Approaches to Financial Price Fluctuations

in Handbooks in OR&MS: Financial Engineering, 15, eds. John Birge and Vadim Linetsky, (Elsevier)
Number of pages: 36 Posted: 30 May 2016
Erhan Bayraktar, Ulrich Horst and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics, Humboldt University of Berlin and Princeton University - Department of Operations Research and Financial Engineering
Downloads 39 (572,316)

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11.

Trading Under Market Impact: Crossing Networks Interacting With Dealer Markets

Number of pages: 33 Posted: 10 Dec 2018
Humboldt University of Berlin, Humboldt University of Berlin and University of Zurich - Department of Banking and Finance
Downloads 23 (671,475)
Citation 1

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Asymmetric Information, Crossing Networks, Dealer Markets, Non-Linear Pricing, Principal-Agent Games

12.

A Limit Theorem for Financial Markets with Inert Investors

Mathematics of Operations Research, 2006, Volume 31 (4), 789-810.
Number of pages: 25 Posted: 30 May 2016
Erhan Bayraktar, Ulrich Horst and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics, Humboldt University of Berlin and Princeton University - Department of Operations Research and Financial Engineering
Downloads 19 (701,847)

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Semi-Markov processes; fractional Brownian motion; functional central limit theorem; market microstructure; investor inertia.