Prof. Dr. Ulrich Horst
Profil
Forschungsthemen30
Absicherung von Korrelationsrisiken
Quelle ↗Zeitraum: 07/2008 - 02/2012 Projektleitung: Prof. Dr. Ulrich Horst
AvH - Horst
Quelle ↗Förderer: Alexander von Humboldt-Stiftung Zeitraum: 04/2009 - 12/2012 Projektleitung: Prof. Dr. Ulrich Horst
Derivate in Limit Order Märkten
Quelle ↗Zeitraum: 02/2008 - 11/2010 Projektleitung: Prof. Dr. Ulrich Horst
Econometric Analysis of Multi-Venue Trading
Quelle ↗Zeitraum: 02/2008 - 06/2011 Projektleitung: Prof. Dr. Ulrich Horst
Estimating and Predicting realized (Co-Variations of Asset Return)
Quelle ↗Zeitraum: 06/2008 - 12/2009 Projektleitung: Prof. Dr. Ulrich Horst
Filtertechniken, Bayesianische Modellermittlung und optimale Prognosekombination
Quelle ↗Zeitraum: 03/2008 - 02/2010 Projektleitung: Prof. Dr. Ulrich Horst
Finanzmarktprognosen auf Basis zeitinhomogener Prozesse
Quelle ↗Zeitraum: 02/2008 - 06/2011 Projektleitung: Prof. Dr. Ulrich Horst
FZ: Optimal Order Placement (E12)
Quelle ↗Förderer: DFG sonstige Programme Zeitraum: 04/2012 - 05/2014 Projektleitung: Prof. Dr. Ulrich Horst
Gleichgewichtsmodelle für illiquide Finanzmärkte
Quelle ↗Zeitraum: 11/2007 - 10/2009 Projektleitung: Prof. Dr. Ulrich Horst
Hidden liquidity and optimal portfolio liquidation
Quelle ↗Zeitraum: 12/2008 - 05/2012 Projektleitung: Prof. Dr. Ulrich Horst
High-Frequency Market Monitoring and Forecasting
Quelle ↗Zeitraum: 05/2009 - 05/2012 Projektleitung: Prof. Dr. Ulrich Horst
Humboldt-Forschungsstipendium für Postdoktoranden (Forschungskostenzuschuss)
Quelle ↗Förderer: Alexander von Humboldt-Stiftung: Forschungskostenzuschuss Zeitraum: 10/2018 - 09/2020 Projektleitung: Prof. Dr. Ulrich Horst
IGRK 2544/1: Stochastische Analysis in Interaktion
Quelle ↗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
Quelle ↗Förderer: DFG Graduiertenkolleg Zeitraum: 10/2024 - 03/2029 Projektleitung: Prof. Dr. Ulrich Horst
IGRK 2544: Stochastische Analysis in Interaktion
Quelle ↗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
Quelle ↗Zeitraum: 12/2007 - 11/2011 Projektleitung: Prof. Dr. Ulrich Horst
Mathematische Modelle für elektronische Orderbücher
Quelle ↗Zeitraum: 02/2008 - 01/2012 Projektleitung: Prof. Dr. Ulrich Horst
Measuring Portfolio Performance
Quelle ↗Zeitraum: 03/2009 - 02/2011 Projektleitung: Prof. Dr. Ulrich Horst
Optimierung in Finanzmärkten
Quelle ↗Förderer: Wirtschaftsunternehmen / gewerbliche Wirtschaft Zeitraum: 04/2012 - 03/2014 Projektleitung: Prof. Dr. Ulrich Horst
Optimierung in Finanzmärkten
Quelle ↗Zeitraum: 02/2018 - 01/2020 Projektleitung: Prof. Dr. Ulrich Horst
Sachmittel- u. Betreuungskostenzuschuss Forschungsstipendium Takashi Sato
Quelle ↗Förderer: DAAD Betreuungskostenzuschuss / Sachmittelzuschuss Zeitraum: 10/2022 - 03/2026 Projektleitung: Prof. Dr. Ulrich Horst
SFB 649/2: Verbriefung und Gleichgewichts-Risikotransfer (TP A 11)
Quelle ↗Förderer: DFG Sonderforschungsbereich Zeitraum: 01/2009 - 12/2016 Projektleitung: Prof. Dr. Ulrich Horst
SFB/TRR 190/1: Optimale dynamische Verträge (TP B02)
Quelle ↗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)
Quelle ↗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)
Quelle ↗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)
Quelle ↗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)
Quelle ↗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)
Quelle ↗Förderer: DFG Sonderforschungsbereich Zeitraum: 10/2024 - 06/2028 Projektleitung: Prof. Dr. Ulrich Horst, Prof. Dr. Peter Friz
Sponsoring 11. Doktorandentreffen Stochastik 2015 Berlin
Quelle ↗Förderer: Wirtschaftsunternehmen / gewerbliche Wirtschaft Zeitraum: 06/2015 - 08/2015 Projektleitung: Prof. Dr. Ulrich Horst
XXVIII. European Workshop on Economic Theory
Quelle ↗108-01 · WirtschaftstheorieFörderer: DFG sonstige Programme Zeitraum: 05/2019 - 07/2019 Projektleitung: Michael Zierhut PhD
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Publikationen25
Top 25 nach Zitationen — Quelle: OpenAlex (BAAI/bge-m3 embedded für Matching).
Journal of Mathematical Economics · 123 Zitationen · DOI
Journal of Economic Theory · 102 Zitationen · DOI
Journal of Economic Theory · 80 Zitationen · DOI
Economic Theory · 65 Zitationen · DOI
Games and Economic Behavior · 64 Zitationen · DOI
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.
Stochastic Processes and their Applications · 51 Zitationen · DOI
Mathematics and Financial Economics · 51 Zitationen · DOI
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.
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.
Stochastic Processes and their Applications · 45 Zitationen · DOI
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
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.
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.
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.
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.
Journal of Economic Behavior & Organization · 36 Zitationen · DOI
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.
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.
Stochastic Processes and their Applications · 31 Zitationen · DOI
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.
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.
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 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.
Economic Theory · 20 Zitationen · DOI
Kooperationen5
Bestätigte Forscher↔Partner-Paare aus HU-FIS — Gold-Standard-Positive für das Matching.
IGRK 2544/1: Stochastische Analysis in Interaktion
university
SFB/TRR 190/2: Optimale dynamische Vertragsgestaltung, Vertragsdurchsetzung und Ambiguität (TP B02)
university
SFB/TRR 388: Mean-Field-Spiele, grobe Analyse und optimales Handeln (TP B04)
university
IGRK 2544: Stochastische Analysis in Interaktion
university
SFB/TRR 388/1: „Mikrostrukturelle Grundlagen rauer Volatilitätsmodelle“ (TP B02)
other
Stammdaten
Identität, Organisation und Kontakt aus HU-FIS.
- 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 ↗
- Zuletzt gescrapt
- 26.4.2026, 01:06:28