Prof. Dr. Ulrich Horst

Profil

• Absicherung von Korrelationsrisiken

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  Zeitraum: 07/2008 - 02/2012 Projektleitung: Prof. Dr. Ulrich Horst

• AvH - Horst

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  Förderer: Alexander von Humboldt-Stiftung Zeitraum: 04/2009 - 12/2012 Projektleitung: Prof. Dr. Ulrich Horst

• Derivate in Limit Order Märkten

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  Zeitraum: 02/2008 - 11/2010 Projektleitung: Prof. Dr. Ulrich Horst

• Econometric Analysis of Multi-Venue Trading

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  Zeitraum: 02/2008 - 06/2011 Projektleitung: Prof. Dr. Ulrich Horst

• Estimating and Predicting realized (Co-Variations of Asset Return)

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  Zeitraum: 06/2008 - 12/2009 Projektleitung: Prof. Dr. Ulrich Horst

• Filtertechniken, Bayesianische Modellermittlung und optimale Prognosekombination

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  Zeitraum: 03/2008 - 02/2010 Projektleitung: Prof. Dr. Ulrich Horst

• Finanzmarktprognosen auf Basis zeitinhomogener Prozesse

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  Zeitraum: 02/2008 - 06/2011 Projektleitung: Prof. Dr. Ulrich Horst

• FZ: Optimal Order Placement (E12)

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  Förderer: DFG sonstige Programme Zeitraum: 04/2012 - 05/2014 Projektleitung: Prof. Dr. Ulrich Horst

• Gleichgewichtsmodelle für illiquide Finanzmärkte

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  Zeitraum: 11/2007 - 10/2009 Projektleitung: Prof. Dr. Ulrich Horst

• Hidden liquidity and optimal portfolio liquidation

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  Zeitraum: 12/2008 - 05/2012 Projektleitung: Prof. Dr. Ulrich Horst

• High-Frequency Market Monitoring and Forecasting

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  Zeitraum: 05/2009 - 05/2012 Projektleitung: Prof. Dr. Ulrich Horst

• Humboldt-Forschungsstipendium für Postdoktoranden (Forschungskostenzuschuss)

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  Förderer: Alexander von Humboldt-Stiftung: Forschungskostenzuschuss Zeitraum: 10/2018 - 09/2020 Projektleitung: Prof. Dr. Ulrich Horst

• IGRK 2544/1: Stochastische Analysis in Interaktion

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  Förderer: DFG Graduiertenkolleg Zeitraum: 04/2020 - 09/2024 Projektleitung: Prof. Dr. Ulrich Horst, Prof. Dr. Markus Reiß, Prof. Dr. Dirk Becherer, Prof. Dr. Dörte Kreher

• IGRK 2544/2: Stochastische Analysis in Interaktion

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  Förderer: DFG Graduiertenkolleg Zeitraum: 10/2024 - 03/2029 Projektleitung: Prof. Dr. Ulrich Horst

• IGRK 2544: Stochastische Analysis in Interaktion

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  Förderer: DFG Graduiertenkolleg Zeitraum: 04/2020 - 03/2029 Projektleitung: Prof. Dr. Peter Bank, Terry Lyons Ph.D.

• Limit Order Markets: Multiple Venues and Hidden Orders

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  Zeitraum: 12/2007 - 11/2011 Projektleitung: Prof. Dr. Ulrich Horst

• Mathematische Modelle für elektronische Orderbücher

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  Zeitraum: 02/2008 - 01/2012 Projektleitung: Prof. Dr. Ulrich Horst

• Measuring Portfolio Performance

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  Zeitraum: 03/2009 - 02/2011 Projektleitung: Prof. Dr. Ulrich Horst

• Optimierung in Finanzmärkten

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  Förderer: Wirtschaftsunternehmen / gewerbliche Wirtschaft Zeitraum: 04/2012 - 03/2014 Projektleitung: Prof. Dr. Ulrich Horst

• Optimierung in Finanzmärkten

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  Zeitraum: 02/2018 - 01/2020 Projektleitung: Prof. Dr. Ulrich Horst

• Sachmittel- u. Betreuungskostenzuschuss Forschungsstipendium Takashi Sato

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  Förderer: DAAD Betreuungskostenzuschuss / Sachmittelzuschuss Zeitraum: 10/2022 - 03/2026 Projektleitung: Prof. Dr. Ulrich Horst

• SFB 649/2: Verbriefung und Gleichgewichts-Risikotransfer (TP A 11)

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  Förderer: DFG Sonderforschungsbereich Zeitraum: 01/2009 - 12/2016 Projektleitung: Prof. Dr. Ulrich Horst

• SFB/TRR 190/1: Optimale dynamische Verträge (TP B02)

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  Förderer: DFG Sonderforschungsbereich Zeitraum: 01/2017 - 12/2020 Projektleitung: Prof. Dr. Roland Strausz, Prof. Dr. Ulrich Horst

• SFB/TRR 190/2: Optimale dynamische Vertragsgestaltung, Vertragsdurchsetzung und Ambiguität (TP B02)

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  Förderer: DFG Sonderforschungsbereich Zeitraum: 01/2021 - 12/2024 Projektleitung: Prof. Dr. Ulrich Horst, Prof. Dr. Roland Strausz

• SFB/TRR 190/3: Optimale dynamische Vertragsgestaltung, Vertragsdurchsetzung und Ambiguität (TP B02)

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  Förderer: DFG Sonderforschungsbereich Zeitraum: 01/2025 - 12/2028 Projektleitung: Prof. Dr. Ulrich Horst, Prof. Dr. Roland Strausz

• SFB/TRR 388/1: „Mikrostrukturelle Grundlagen rauer Volatilitätsmodelle“ (TP B02)

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  Förderer: DFG Sonderforschungsbereich Zeitraum: 10/2024 - 06/2028 Projektleitung: Prof. Dr. Ulrich Horst, Dr. Christian Bayer, Prof. Dr. Dörte Kreher

• SFB/TRR 388/1: Raue Analysis in der stochastischen Kontrolle (TP B05)

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  Förderer: DFG Sonderforschungsbereich Zeitraum: 10/2024 - 06/2028 Projektleitung: Prof. Dr. Ulrich Horst, Prof. Dr. Peter Bank

• SFB/TRR 388: Mean-Field-Spiele, grobe Analyse und optimales Handeln (TP B04)

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  Förderer: DFG Sonderforschungsbereich Zeitraum: 10/2024 - 06/2028 Projektleitung: Prof. Dr. Ulrich Horst, Prof. Dr. Peter Friz

• Sponsoring 11. Doktorandentreffen Stochastik 2015 Berlin

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  Förderer: Wirtschaftsunternehmen / gewerbliche Wirtschaft Zeitraum: 06/2015 - 08/2015 Projektleitung: Prof. Dr. Ulrich Horst

• XXVIII. European Workshop on Economic Theory

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  108-01 · Wirtschaftstheorie

  Förderer: DFG sonstige Programme Zeitraum: 05/2019 - 07/2019 Projektleitung: Michael Zierhut PhD

• Schul-Umwelt-Zentrum Berlin Mitte

  P

  54 Treffer68.1%
  • Gamification for Climate Action
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    68.1%

• Science & Startups Berlin

  PT

  29 Treffer62.1%
  • Zuwendung im Rahmen des Programms „exist – Existenzgründungen aus der Wissenschaft“ aus dem Bundeshaushalt, Einzelplan 09, Kapitel 02, Titel 68607, Haushaltsjahr 2026, sowie aus Mitteln des Europäischen Strukturfonds (hier Euro-päischer Sozialfonds Plus – ESF Plus) Förderperiode 2021-2027 – Kofinanzierung für das Vorhaben: „exist Women“
    T

    62.1%

• ROBOSOFT Services Robots

  PT

  38 Treffer58.4%
  • INTeractive RObotics Research Network
    P

    58.4%

• space application services

  PT

  38 Treffer58.4%
  • INTeractive RObotics Research Network
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    58.4%

• Insilico Biotechnology AG

  PT

  23 Treffer58.0%
  • Systematic Models for Biological Systems Engineering Training Network
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    58.0%

• Process Systems Enterprise Limited

  PT

  23 Treffer58.0%
  • Systematic Models for Biological Systems Engineering Training Network
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    58.0%

• Silicolife LDA

  PT

  22 Treffer58.0%
  • Systematic Models for Biological Systems Engineering Training Network
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    58.0%

• Protatuans-Etaireia Ereynas Viotechologias Monoprosopi Etaireia Periorisments Eythinis

  PT

  21 Treffer58.0%
  • Systematic Models for Biological Systems Engineering Training Network
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    58.0%

• InnovationLab GmbH

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  23 Treffer56.4%
  • Interfaces in opto-electronic thin film multilayer devices
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    56.4%

• EuropaBeratung Berlin

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  23 Treffer55.8%
  • Playing beyond CLIL
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    55.8%

• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective

  2005

  Journal of Mathematical Economics · 123 Zitationen · DOI

• Equilibria in systems of social interactions

  2005

  Journal of Economic Theory · 102 Zitationen · DOI

• Rational expectations equilibria of economies with local interactions

  2004

  Journal of Economic Theory · 80 Zitationen · DOI

• Financial price fluctuations in a stock market model with many interacting agents

  2004

  Economic Theory · 65 Zitationen · DOI

• Stationary equilibria in discounted stochastic games with weakly interacting players

  2004

  Games and Economic Behavior · 64 Zitationen · DOI

• When to Cross the Spread? Trading in Two-Sided Limit Order Books

  2014

  SIAM Journal on Financial Mathematics · 62 Zitationen · DOI

  In this paper the problem of optimal trading in illiquid markets is addressed when the deviations from a given stochastic target function describing, for instance, external aggregate client flow are penalized. Using techniques of singular stochastic control, we extend the results of [F. Naujokat and N. Westray, Math. Financ. Econ., 4 (2011), pp. 299--335] to a two-sided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. In addition to using market orders, the trader can also submit orders to a dark pool. We first show existence and uniqueness of an optimal control. In a second step, a suitable version of the stochastic maximum principle is derived which yields a characterization of the optimal trading strategy in terms of a nonstandard coupled forward-backward stochastic differential equation (FBSDE). We show that the optimal control can be characterized via buy, sell, and no-trade regions. The new feature is that we now get a nondegenerate no-trade region, which implies that market orders are used only when the spread is small. This allows us to describe precisely when it is optimal to cross the bid ask spread, which is a fundamental problem of algorithmic trading. We also show that the controlled system can be described in terms of a reflected BSDE. As an application, we solve the portfolio liquidation problem with passive orders.

• Forward–backward systems for expected utility maximization

  2014

  Stochastic Processes and their Applications · 51 Zitationen · DOI

• On securitization, market completion and equilibrium risk transfer

  2010

  Mathematics and Financial Economics · 51 Zitationen · DOI

• A Limit Theorem for Financial Markets with Inert Investors

  2006

  Mathematics of Operations Research · 49 Zitationen · DOI

  We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling inert investors. With a suitable scaling, we show that when the price is driven by the market imbalance, the log price process is approximated by a process with long-range dependence and non-Gaussian returns distributions, driven by a fractional Brownian motion. Consequently, investor inertia may lead to arbitrage opportunities for sophisticated market participants. The mathematical contributions are a functional central limit theorem for stationary semi-Markov processes and approximation results for stochastic integrals of continuous semimartingales with respect to fractional Brownian motion.

• Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience

  2017

  SIAM Journal on Control and Optimization · 47 Zitationen · DOI

  We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can be described by a three-dimensional system of backward stochastic differential equations (BSDE) with a singular terminal condition in one component. We prove existence and uniqueness of a solution to the BSDE system and characterize both the value function and the optimal strategy in terms of the unique solution to the BSDE system. Our existence proof is based on an asymptotic expansion of the BSDE system at the terminal time that allows us to express the system in terms of a equivalent system with finite terminal value but singular driver.

• Smooth solutions to portfolio liquidation problems under price-sensitive market impact

  2017

  Stochastic Processes and their Applications · 45 Zitationen · DOI

• Changing Identity: The Emergence of Social Groups

  2009

  RePEc: Research Papers in Economics · 45 Zitationen

  HAL is a multi-disciplinary open access archive for the deposit and dissemination of sci-entific research documents, whether they are pub-lished or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et a ̀ la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés. GREQAM Groupement de Recherche en Economie

• Mean Field Games with Singular Controls

  2017

  SIAM Journal on Control and Optimization · 44 Zitationen · DOI

  This paper establishes the existence of relaxed solutions to mean field games (MFGs for short) with singular controls. We also prove approximations of solutions results for a particular class of MFGs with singular controls by solutions, respectively control rules, for MFGs with purely regular controls. Our existence and approximation results strongly hinge on the use of the Skorokhod $M_1$ topology on the space of càdlàg functions.

• A Mean Field Game of Optimal Portfolio Liquidation *

  2018

  HAL (Le Centre pour la Communication Scientifique Directe) · 42 Zitationen

  We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a forward-backward stochastic differential equation (FBSDE) with a possibly singular terminal condition on the backward component or, equivalently, in terms of an FBSDE with a finite terminal value yet a singular driver. Extending the method of continuation to linear-quadratic FBSDEs with a singular driver, we prove that the MFG has a unique solution. Our existence and uniqueness result allows proving that the MFG with a possibly singular terminal condition can be approximated by a sequence of MFGs with finite terminal values.

• Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

  2015

  Mathematics of Operations Research · 42 Zitationen · DOI

  We propose a general discrete-time framework for deriving equilibrium prices of financial securities. It allows for heterogeneous agents, unspanned random endowments, and convex trading constraints. We give a dual characterization of equilibria and provide general results on their existence and uniqueness. In the special case where all agents have preferences of the same type and in equilibrium, all random endowments are replicable by trading in the financial market, we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing kernel.

• On the Spanning Property of Risk Bonds Priced by Equilibrium

  2007

  Mathematics of Operations Research · 36 Zitationen · DOI

  We propose a method of pricing financial securities written on nontradable underlyings such as temperature or precipitation levels. To this end, we analyze a financial market where agents are exposed to financial and nonfinancial risk factors. The agents hedge their financial risk in the stock market and trade a risk bond issued by an insurance company. From the issuer's point of view the bond's primary purpose is to shift insurance risks related to noncatastrophic weather events to financial markets. As such, its terminal payoff and yield curve depend on an underlying climate or temperature process whose dynamics are independent of the randomness driving stock prices. We prove that if the bond's payoff function is monotone in the external risk process, it can be priced by an equilibrium approach. The equilibrium market price of climate risk and the equilibrium price process are characterized as solutions of nonlinear backward stochastic differential equations (BSDEs). Transferring the BSDEs into partial differential equations (PDEs), we represent the bond prices as smooth functions of the underlying risk factors. Our analytical results make the model amenable to a numerical analysis.

• Stochastic cascades, credit contagion, and large portfolio losses

  2006

  Journal of Economic Behavior & Organization · 36 Zitationen · DOI

• Mean-Field Leader-Follower Games with Terminal State Constraint

  2020

  SIAM Journal on Control and Optimization · 35 Zitationen · DOI

  We analyze linear McKean--Vlasov forward-backward SDEs arising in leader-follower games with mean-field type control and terminal state constraints on the state process. We establish an existence and uniqueness of solutions result for such systems in time-weighted spaces as well as a convergence result of the solutions with respect to certain perturbations of the drivers of both the forward and the backward component. The general results are used to solve a novel single player model of portfolio liquidation under market impact with expectations feedback as well as a novel Stackelberg game of optimal portfolio liquidation with asymmetrically informed players.

• A Law of Large Numbers for Limit Order Books

  2017

  Mathematics of Operations Research · 34 Zitationen · DOI

  We define a stochastic model of a two-sided limit order book in terms of its key quantities best bid [ask] price and the standing buy [sell] volume density. For a simple scaling of the discreteness parameters, that keeps the expected volume rate over the considered price interval invariant, we prove a limit theorem. The limit theorem states that, given regularity conditions on the random order flow, the key quantities converge in probability to a tractable continuous limiting model. In the limit model the buy and sell volume densities are given as the unique solution to first-order linear hyperbolic PDEs, specified by the expected order flow parameters. We calibrate order flow dynamics to market data for selected stocks and show how our model can be used to derive endogenous shape functions for models of optimal portfolio liquidation under market impact.

• Convergence of locally and globally interacting Markov chains

  2001

  Stochastic Processes and their Applications · 31 Zitationen · DOI

• QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS

  2008

  Macroeconomic Dynamics · 27 Zitationen · DOI

  We consider an agent-based model of financial markets with asynchronous order arrival in continuous time. Buying and selling orders arrive in accordance with a Poisson dynamics where the order rates depend both on past prices and on the mood of the market. The agents form their demand for an asset on the basis of their forecasts of future prices and their forecasting rules may change over time as a result of the influence of other traders. Among the possible rules are “chartist” or extrapolatory rules. We prove that when chartists are in the market, and with choice of scaling, the dynamics of asset prices can be approximated by an ordinary delay differential equation. The fluctuations around the first-order approximation follow an Ornstein–Uhlenbeck dynamics with delay in a random environment of investor sentiment.

• A Scaling Limit for Limit Order Books Driven by Hawkes Processes

  2019

  SIAM Journal on Financial Mathematics · 25 Zitationen · DOI

  In this paper we derive a scaling limit for an infinite-dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator. With our choice of scaling the dynamics converges to a coupled SDE-ODE system where limiting best bid and ask price processes follows a diffusion dynamics, the limiting volume density functions follows an ODE in a Hilbert space, and the limiting order arrival and cancellation intensities follow a Volterra--Fredholm integral equation.

• A functional limit theorem for limit order books with state dependent price dynamics

  2017

  The Annals of Applied Probability · 23 Zitationen · DOI

  We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. For the joint dynamics of best bid and ask prices and the standing buy and sell volume densities, we derive a functional limit theorem, which states that our LOB model converges in distribution to a fully coupled SDE-SPDE system when the order arrival rates tend to infinity and the impact of an individual order arrival on the book as well as the tick size tends to zero. The SDE describes the bid/ask price dynamics while the SPDE describes the volume dynamics.

• The microstructure of stochastic volatility models with self-exciting jump dynamics

  2022

  The Annals of Applied Probability · 21 Zitationen · DOI

  We provide a general probabilistic framework within which we establish scaling limits for a class of continuous-time stochastic volatility models with self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset returns and volatility is driven by independent Gaussian white noises and two independent Poisson random measures that capture the arrival of exogenous shocks and the arrival of self-excited shocks, respectively. Various well-studied stochastic volatility models with and without self-exciting price/volatility co-jumps are obtained as special cases under different scaling regimes. We analyze the impact of external shocks on the market dynamics, especially their impact on jump cascades and show in a mathematically rigorous manner that many small external shocks may trigger endogenous jump cascades in asset returns and stock price volatility.

• On non-ergodic asset prices

  2007

  Economic Theory · 20 Zitationen · DOI

• Freie Universität Berlin

  IGRK 2544/1: Stochastische Analysis in Interaktion

  university

• Ludwig-Maximilians-Universität München

  SFB/TRR 190/2: Optimale dynamische Vertragsgestaltung, Vertragsdurchsetzung und Ambiguität (TP B02)

  university

• Technische Universität Berlin

  SFB/TRR 388: Mean-Field-Spiele, grobe Analyse und optimales Handeln (TP B04)

  university

• Universität Oxford

  IGRK 2544: Stochastische Analysis in Interaktion

  university

• Weierstraß-Institut für Angewandte Analysis und Stochastik, Berlin

  SFB/TRR 388/1: „Mikrostrukturelle Grundlagen rauer Volatilitätsmodelle“ (TP B02)

  other

Name

Prof. Dr. Ulrich Horst

Titel

Prof. Dr.

Fakultät

Mathematisch-Naturwissenschaftliche Fakultät

Institut

Institut für Mathematik

Arbeitsgruppe

Angewandte Finanzmathematik

Telefon

+49 30 2093-45452

HU-FIS-Profil

Quelle ↗

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26.4.2026, 01:06:28