Zobrazeno 1 - 10
of 156
pro vyhledávání: '"Ulrich Horst"'
Publikováno v:
SIAM Journal on Control and Optimization. 60:3173-3190
Publikováno v:
Mathematical Finance. 32:1020-1065
Publikováno v:
Economic Theory. 73:917-945
We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanisms under minimal assumptions on the contract space and prove that centr
Autor:
Ulrich Horst, Dörte Kreher
Publikováno v:
Stochastic Processes and their Applications. 129:4431-4479
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an $\R_+$-va
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 sing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b22b080ec4c84856b3a50021c55f5461
https://hal.archives-ouvertes.fr/hal-01764399v3/file/FGHP_HAL_v3.pdf
https://hal.archives-ouvertes.fr/hal-01764399v3/file/FGHP_HAL_v3.pdf
Publikováno v:
SSRN Electronic Journal.
We consider a novel portfolio liquidation model with self-exciting order flow in which a large investor’s trading activity has an impact of future order flow. We allow for both instantaneous and permanent market impact. Assuming that the investor i
Autor:
Dörte Kreher, Ulrich Horst
Publikováno v:
Finance and Stochastics. 22:827-877
In this paper, we derive a second order approximation for an infinite-dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator (e.g. the vol
Publikováno v:
Market Microstructure and Liquidity.
We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity suppliers face a trade-off between benefits and costs of order exposure. If they display trading intentions, they attract addition
Autor:
Ulrich Horst, Paulwin Graewe
Publikováno v:
SIAM Journal on Control and Optimization. 55:3707-3725
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 describe
Autor:
Ulrich Horst, Dörte Kreher
Publikováno v:
SIAM Journal on Financial Mathematics. 8:314-343
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and the stand