Ulrich Horst

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

  • Humboldt University of Berlin

SCHOLARLY PAPERS

13

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2,201

SSRN CITATIONS

9

CROSSREF CITATIONS

8

Scholarly Papers (13)

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1.

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

Number of pages: 30 Posted: 07 Feb 2011 Last Revised: 14 Mar 2013
Patrick Cheridito, Ulrich Horst, Michael Kupper and Traian A. Pirvu
ETH Zurich, Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics and McMaster University
Downloads 576 (79,981)
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
Gökhan Cebiroglu, Nikolaus Hautsch and Ulrich Horst
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 305 (166,653)
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 240 (212,300)

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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
Gökhan Cebiroglu, Nikolaus Hautsch and Ulrich Horst
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 199 (253,252)

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

5.

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 194 (258,998)

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

6.

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 164 (299,949)

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

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 153 (318,121)
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 140 (341,606)
Citation 1

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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
Ulrich Horst, Michael Kupper, Andrea Macrina and Christoph Mainberger
Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics, University College London and Humboldt Universitaet zu Berlin, Department of Mathematics
Downloads 72 (533,980)

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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 49 (644,145)

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11.

Trading Under Market Impact: Crossing Networks Interacting With Dealer Markets

Number of pages: 33 Posted: 10 Dec 2018
Jana Bielagk, Ulrich Horst and Santiago Moreno-Bromberg
Humboldt University of Berlin, Humboldt University of Berlin and University of Zurich - Department of Banking and Finance
Downloads 48 (649,790)
Citation 1

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

12.

Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters

Number of pages: 68 Posted: 30 Aug 2023
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 33 (746,859)

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Liquidity Risk, Optimal Trading Strategy, Portfolio Liquidation

13.

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 28 (785,181)

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