48 citations · 195 across the 26 of their papers we have counts for
5 papers · 1 filter
Functional Limit Theorems for Marked Hawkes Point Measures
Ulrich Horst, Wei Xu
This paper establishes a functional law of large numbers and a functional central limit theorem for marked Hawkes point measures and their corresponding shot noise processes. We pr…
A diffusion approximation for limit order book models
Ulrich Horst, Dörte Kreher
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 dynami…
Forward-backward systems for expected utility maximization
Ulrich Horst, Ying Hu, Peter Imkeller +2
In 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 gener…
Queueing Theoretic Approaches to Financial Price Fluctuations
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants,…
A Limit Theorem for Financial Markets with Inert Investors
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
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 o…