48 citations · 195 across the 26 of their papers we have counts for
5 papers · 1 filter
Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks
Ying Chen, Ulrich Horst, Hoang Hai Tran
We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of m…
The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics
Ulrich Horst, Wei Xu
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.…
Robust Contracting in General Contract Spaces
Julio Backhoff-Veraguas, Patrick Beissner, Ulrich Horst
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 mechanism…
Portfolio liquidation under factor uncertainty
Ulrich Horst, Xiaonyu Xia, Chao Zhou
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy…
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…