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Browsing by Author "Horst, Ulrich"
Now showing items 1-17 of 17
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2001-05-31BuchAsymptotics of locally interacting Markov chains with global signals Horst, UlrichWe study the long run behaviour of interactive Markov chains on infinite product spaces. The behaviour at a single site is influenced by the local situation in some neighborhood and by a random signal about the average ...
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2011-11-16BuchContinuous Equilibrium under Base Preferences and Attainable Initial Endowments Horst, Ulrich; Kupper, Michael; Macrina, Andrea; Mainberger, ChristophWe consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents’ endowments are spanned by the securities and if the agents have entropic ...
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2001-03-06BuchConvergence of locally and globally interacting Markov chains Föllmer, Hans; Horst, Ulrich
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2010-02-04BuchDynamic Systems of Social Interactions Horst, UlrichWe state conditions for existence and uniqueness of equilibria in evolutionary models with an infinity of locally and globally interacting agents. Agents face repeated discrete choice problems. Their utility depends on the ...
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2010-07-06BuchEfficiency and Equilibria in Games of Optimal Derivative Design Horst, Ulrich; Moreno-Bromberg, SantiagoIn this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. ...
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2011-11-16BuchEquilibrium Pricing in Incomplete Markets under Translation Invariant Preferences Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading ...
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1999-12-14BuchErgodic Fluctuations in a Stock Market Model with Interacting Agents Horst, Ulrich
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2001-06-13BuchFinancial price fluctuations in a stock market model with many interacting agents Horst, UlrichWe consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on ...
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2011-10-14BuchForward-backward systems for expected utility maximization Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, JianingIn this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled ...
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2012-03-07BuchHidden Liquidity Cebiroglu, Gökhan; Horst, UlrichWe cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock’s hidden dimension, both in ...
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2010-02-04BuchIlliquidity and Derivative Valuation Horst, Ulrich; Naujokat, FelixIn illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives ...
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2010-03-08BuchOn Securitization, Market Completion and Equilibrium Risk Transfer Horst, Ulrich; Pirvu, Traian A.; Reis, Gonçalo DosWe propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences ...
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2011-08-29BuchOptimal Display of Iceberg Orders Cebiroğlu, Gökhan; Horst, UlrichWe develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market ...
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2002-10-03BuchStability of Linear Stochastic Difference Equations in Controlled Random Environments Horst, Ulrich
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2002-10-03BuchStationary Equilibria in Discounted Stochastic Games with Weakly Interacting Players Horst, Ulrich
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2000-01-12BuchThe Stochastic Equation P(t+1)=A(t)P(t)+B(t) with Non-Stationary Coefficients Horst, Ulrich
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2011-08-15BuchWhen to Cross the Spread Naujokat, Felix; Horst, UlrichIn this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a two- sided limit order market with temporary market ...
