Ulrich Horst
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Fu, Guanxing & Horst, Ulrich, 2017.
"Mean Field Games with Singular Controls,"
Rationality and Competition Discussion Paper Series
22, CRC TRR 190 Rationality and Competition.
Cited by:
- Andr'es C'ardenas & Sergio Pulido & Rafael Serrano, 2022.
"Existence of optimal controls for stochastic Volterra equations,"
Papers
2207.05169, arXiv.org, revised Mar 2024.
- Andrés Cárdenas & Sergio Pulido & Rafael Serrano, 2022. "Existence of optimal controls for stochastic Volterra equations," Working Papers hal-03720342, HAL.
- Haoyang Cao & Jodi Dianetti & Giorgio Ferrari, 2021. "Stationary Discounted and Ergodic Mean Field Games of Singular Control," Papers 2105.07213, arXiv.org.
- Cannerozzi, Federico & Ferrari, Giorgio, 2024. "Cooperation, Correlation and Competition in Ergodic $N$-Player Games and Mean-Field Games of Singular Controls: A Case Study," Center for Mathematical Economics Working Papers 691, Center for Mathematical Economics, Bielefeld University.
- Cao, Haoyang & Guo, Xin, 2022. "MFGs for partially reversible investment," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 995-1014.
- Guo, Xin & Pham, Huyên & Wei, Xiaoli, 2023. "Itô’s formula for flows of measures on semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 159(C), pages 350-390.
- Dianetti, Jodi, 2023. "Linear-Quadratic-Singular Stochastic Differential Games and Applications," Center for Mathematical Economics Working Papers 678, Center for Mathematical Economics, Bielefeld University.
- Federico Cannerozzi & Giorgio Ferrari, 2024. "Cooperation, Correlation and Competition in Ergodic $N$-player Games and Mean-field Games of Singular Controls: A Case Study," Papers 2404.15079, arXiv.org.
- Ren'e Aid & Matteo Basei & Giorgio Ferrari, 2023. "A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy," Papers 2305.00541, arXiv.org.
- Dianetti, Jodi & Ferrari, Giorgio, 2019. "Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria," Center for Mathematical Economics Working Papers 605, Center for Mathematical Economics, Bielefeld University.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies," Papers 2207.00446, arXiv.org, revised Sep 2023.
- Dianetti, Jodi & Ferrari, Giorgio & Fischer, Markus & Nendel, Max, 2022. "A Unifying Framework for Submodular Mean Field Games," Center for Mathematical Economics Working Papers 661, Center for Mathematical Economics, Bielefeld University.
- Benazzoli, Chiara & Campi, Luciano & Di Persio, Luca, 2020. "Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6927-6964.
- Cao, Haoyang & Dianetti, Jodi & Ferrari, Giorgio, 2021. "Stationary Discounted and Ergodic Mean Field Games of Singular Control," Center for Mathematical Economics Working Papers 650, Center for Mathematical Economics, Bielefeld University.
- Andr'es C'ardenas & Sergio Pulido & Rafael Serrano, 2022.
"Existence of optimal controls for stochastic Volterra equations,"
Papers
2207.05169, arXiv.org, revised Mar 2024.
- Forges, Françoise & Horst, Ulrich, 2017.
"Sender-Receiver Games with Cooperation,"
Rationality and Competition Discussion Paper Series
17, CRC TRR 190 Rationality and Competition.
- Forges, Françoise & Horst, Ulrich, 2018. "Sender–receiver games with cooperation," Journal of Mathematical Economics, Elsevier, vol. 76(C), pages 52-61.
- Françoise Forges & Ulrich Horst, 2018. "Sender-receiver games with cooperation," Post-Print hal-02313962, HAL.
Cited by:
- Françoise Forges & Jérôme Renault, 2021.
"Strategic information transmission with sender’s approval,"
International Journal of Game Theory, Springer;Game Theory Society, vol. 50(2), pages 475-502, June.
- Françoise Forges & Jérôme Renault, 2021. "Strategic information transmission with sender's approval," Post-Print hal-02440627, HAL.
- Renault, Jérôme & Forges, Françoise, 2021. "Strategic information transmission with sender’s approval," TSE Working Papers 21-1216, Toulouse School of Economics (TSE).
- Paulwin Graewe & Ulrich Horst, 2016.
"Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience,"
Papers
1611.03435, arXiv.org, revised Jul 2017.
Cited by:
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Self-exciting price impact via negative resilience in stochastic order books," Papers 2112.03789, arXiv.org, revised Jul 2022.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2022. "Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems," Papers 2206.03772, arXiv.org, revised Sep 2023.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models," Finance and Stochastics, Springer, vol. 25(4), pages 757-810, October.
- Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
- Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
- Guanxing Fu & Ulrich Horst, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Papers 1809.04401, arXiv.org.
- Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2024. "Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems," Finance and Stochastics, Springer, vol. 28(3), pages 813-863, July.
- Ulrich Horst & Evgueni Kivman, 2024. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Finance and Stochastics, Springer, vol. 28(3), pages 759-812, July.
- Siu, Chi Chung & Guo, Ivan & Zhu, Song-Ping & Elliott, Robert J., 2019. "Optimal execution with regime-switching market resilience," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 17-40.
- Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019. "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers 1912.06426, arXiv.org.
- Fu, Guanxing & Horst, Ulrich, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Rationality and Competition Discussion Paper Series 129, CRC TRR 190 Rationality and Competition.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
- Marcel Nutz & Kevin Webster & Long Zhao, 2023. "Unwinding Stochastic Order Flow: When to Warehouse Trades," Papers 2310.14144, arXiv.org.
- Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
- Ulrich Horst & Evgueni Kivman, 2021. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Papers 2103.05957, arXiv.org, revised Jul 2023.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "Optimal trade execution in an order book model with stochastic liquidity parameters," Papers 2006.05843, arXiv.org, revised Apr 2021.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
- Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Working Papers hal-03835948, HAL.
- Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
- Xinman Cheng & Guanxing Fu & Xiaonyu Xia, 2024. "Long Time Behavior of Optimal Liquidation Problems," Papers 2405.14177, arXiv.org.
- Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.
- David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
- Guanxing Fu & Paul P. Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints," Papers 2403.10441, arXiv.org.
- Guanxing Fu & Paul Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry," Rationality and Competition Discussion Paper Series 517, CRC TRR 190 Rationality and Competition.
- Tao Chen & Mike Ludkovski & Moritz Vo{ss}, 2022. "On Parametric Optimal Execution and Machine Learning Surrogates," Papers 2204.08581, arXiv.org, revised Oct 2023.
- Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models," Papers 2006.05863, arXiv.org, revised Jul 2021.
- Ulrich Horst & Dorte Kreher, 2016.
"A diffusion approximation for limit order book models,"
Papers
1608.01795, arXiv.org, revised Aug 2017.
Cited by:
- Ulrich Horst & Michael Paulsen, 2017. "A Law of Large Numbers for Limit Order Books," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 1280-1312, November.
- Ulrich Horst & Dörte Kreher, 2018. "Second order approximations for limit order books," Finance and Stochastics, Springer, vol. 22(4), pages 827-877, October.
- Ulrich Horst & Dorte Kreher, 2015.
"A weak law of large numbers for a limit order book model with fully state dependent order dynamics,"
Papers
1502.04359, arXiv.org, revised May 2016.
Cited by:
- Xin Liu & Qi Gong & Vidyadhar G. Kulkarni, 2015. "A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions," Papers 1511.04096, arXiv.org, revised Mar 2016.
- Ulrich Horst & Dorte Kreher, 2016. "A diffusion approximation for limit order book models," Papers 1608.01795, arXiv.org, revised Aug 2017.
- Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
- Ulrich Horst & Michael Paulsen, 2015.
"A law of large numbers for limit order books,"
Papers
1501.00843, arXiv.org.
Cited by:
- Xin Liu & Qi Gong & Vidyadhar G. Kulkarni, 2015. "A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions," Papers 1511.04096, arXiv.org, revised Mar 2016.
- Frédéric Abergel & Aymen Jedidi, 2015. "Long-Time Behavior of a Hawkes Process--Based Limit Order Book," Post-Print hal-01121711, HAL.
- Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
- Francoise Forges & Ulrich Horst & Antoine Salomon, 2014.
"Feasibility and individual rationality in two-person Bayesian games,"
Working Papers
hal-01094061, HAL.
- Françoise Forges & Ulrich Horst & Antoine Salomon, 2016. "Feasibility and individual rationality in two-person Bayesian games," International Journal of Game Theory, Springer;Game Theory Society, vol. 45(1), pages 11-36, March.
- Francoise Forges & Ulrich Horst & Antoine Salomon, 2016. "Feasibility and individual rationality in two-person Bayesian games," Post-Print hal-02276751, HAL.
Cited by:
- Francoise Forges & Antoine Salomon, 2014.
"Bayesian Repeated Games and Reputations,"
CESifo Working Paper Series
4700, CESifo.
- Antoine Salomon & Francoise Forges, 2015. "Bayesian repeated games and reputation," Post-Print hal-01252921, HAL.
- Francoise Forges & Antoine Salomon, 2014. "Bayesian repeated games and reputation," Working Papers hal-00803919, HAL.
- Salomon, Antoine & Forges, Françoise, 2015. "Bayesian repeated games and reputation," Journal of Economic Theory, Elsevier, vol. 159(PA), pages 70-104.
- Françoise Forges & Ulrich Horst, 2018.
"Sender-receiver games with cooperation,"
Post-Print
hal-02313962, HAL.
- Forges, Françoise & Horst, Ulrich, 2018. "Sender–receiver games with cooperation," Journal of Mathematical Economics, Elsevier, vol. 76(C), pages 52-61.
- Forges, Françoise & Horst, Ulrich, 2017. "Sender-Receiver Games with Cooperation," Rationality and Competition Discussion Paper Series 17, CRC TRR 190 Rationality and Competition.
- Raghul S Venkatesh, 2018. "Communication and Commitment with Constraints," AMSE Working Papers 1856, Aix-Marseille School of Economics, France, revised Jul 2019.
- Lucas Pahl, 2021. "Information Spillover in Multiple Zero-sum Games," Papers 2111.01647, arXiv.org, revised Mar 2023.
- Julio Backhoff & Ulrich Horst, 2014.
"Conditional Analysis and a Principal-Agent problem,"
Papers
1412.4698, arXiv.org, revised Jun 2016.
Cited by:
- Julio Backhoff-Veraguas & Patrick Beissner & Ulrich Horst, 2019. "Robust Contracting in General Contract Spaces," Papers 1910.12516, arXiv.org, revised Mar 2021.
- Julio Backhoff-Veraguas & Patrick Beissner & Ulrich Horst, 2022. "Robust contracting in general contract spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(4), pages 917-945, June.
- Christian Bayer & Ulrich Horst & Jinniao Qiu, 2014.
"A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics,"
Papers
1405.5230, arXiv.org, revised Aug 2016.
Cited by:
- Weibing Huang & Mathieu Rosenbaum, 2015. "Ergodicity and diffusivity of Markovian order book models: a general framework," Papers 1505.04936, arXiv.org.
- Ulrich Horst & Dorte Kreher, 2016. "A diffusion approximation for limit order book models," Papers 1608.01795, arXiv.org, revised Aug 2017.
- Ulrich Horst & Dorte Kreher, 2015. "A weak law of large numbers for a limit order book model with fully state dependent order dynamics," Papers 1502.04359, arXiv.org, revised May 2016.
- Ulrich Horst & Dorte Kreher, 2017. "Second order approximations for limit order books," Papers 1708.07394, arXiv.org, revised Mar 2018.
- Ulrich Horst & Jinniao Qiu & Qi Zhang, 2014.
"A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition,"
Papers
1407.0108, arXiv.org, revised Jul 2015.
Cited by:
- Paulwin Graewe & Ulrich Horst, 2016. "Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience," Papers 1611.03435, arXiv.org, revised Jul 2017.
- Samuel Drapeau & Peng Luo & Alexander Schied & Dewen Xiong, 2019. "An FBSDE approach to market impact games with stochastic parameters," Papers 2001.00622, arXiv.org.
- Graewe, Paulwin & Horst, Ulrich & Séré, Eric, 2018. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 979-1006.
- Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models," Finance and Stochastics, Springer, vol. 25(4), pages 757-810, October.
- Graewe, Paulwin & Popier, Alexandre, 2021. "Asymptotic approach for backward stochastic differential equation with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 247-277.
- Christoph Belak & Johannes Muhle-Karbe & Kevin Ou, 2018. "Optimal Trading with General Signals and Liquidation in Target Zone Models," Papers 1808.00515, arXiv.org.
- Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
- Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
- Guanxing Fu & Ulrich Horst, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Papers 1809.04401, arXiv.org.
- Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
- Fu, Guanxing & Horst, Ulrich, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Rationality and Competition Discussion Paper Series 129, CRC TRR 190 Rationality and Competition.
- Elliott, Robert & Qiu, Jinniao & Wei, Wenning, 2022. "Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 68-97.
- Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013.
"Smooth solutions to portfolio liquidation problems under price-sensitive market impact,"
Papers
1309.0474, arXiv.org, revised Jun 2017.
- Paulwin Graewe & Ulrich Horst & Eric Séré, 2018. "Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact," Post-Print hal-01540537, HAL.
- Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
- Ulrich Horst & Evgueni Kivman, 2021. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Papers 2103.05957, arXiv.org, revised Jul 2023.
- Cebiroğlu, Gökhan & Horst, Ulrich, 2015. "Optimal order display in limit order markets with liquidity competition," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 81-100.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "Optimal trade execution in an order book model with stochastic liquidity parameters," Papers 2006.05843, arXiv.org, revised Apr 2021.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
- Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
- Qiu, Jinniao, 2017. "Weak solution for a class of fully nonlinear stochastic Hamilton–Jacobi–Bellman equations," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1926-1959.
- Kruse, T. & Popier, A., 2016. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2554-2592.
- M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
- Ulrich Horst & Xiaonyu Xia, 2018. "Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint," Papers 1809.01972, arXiv.org, revised Apr 2020.
- Stefan Ankirchner & Alexander Fromm & Thomas Kruse & Alexandre Popier, 2018. "Optimal position targeting via decoupling fields," Working Papers hal-01500311, HAL.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models," Papers 2006.05863, arXiv.org, revised Jul 2021.
- Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013.
"Smooth solutions to portfolio liquidation problems under price-sensitive market impact,"
Papers
1309.0474, arXiv.org, revised Jun 2017.
- Paulwin Graewe & Ulrich Horst & Eric Séré, 2018. "Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact," Post-Print hal-01540537, HAL.
Cited by:
- Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models," Finance and Stochastics, Springer, vol. 25(4), pages 757-810, October.
- Graewe, Paulwin & Popier, Alexandre, 2021. "Asymptotic approach for backward stochastic differential equation with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 247-277.
- Ulrich Horst & Jinniao Qiu & Qi Zhang, 2014. "A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition," Papers 1407.0108, arXiv.org, revised Jul 2015.
- Paulwin Graewe & Ulrich Horst & Jinniao Qiu, 2013. "A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions," Papers 1309.0461, arXiv.org, revised Jan 2015.
- Elliott, Robert & Qiu, Jinniao & Wei, Wenning, 2022. "Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 68-97.
- Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
- T Kruse & A Popier, 2015. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Papers 1504.01150, arXiv.org, revised Dec 2015.
- Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-wen & Wong, Tak Kwong & Zhu, Dong-Mei, 2024. "Viscosity solution for optimal liquidation problems with randomly-terminated horizon," Finance Research Letters, Elsevier, vol. 61(C).
- Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
- Ulrich Horst & Xiaonyu Xia, 2018. "Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint," Papers 1809.01972, arXiv.org, revised Apr 2020.
- Paulwin Graewe & Ulrich Horst & Jinniao Qiu, 2013.
"A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions,"
Papers
1309.0461, arXiv.org, revised Jan 2015.
Cited by:
- Paulwin Graewe & Ulrich Horst, 2016. "Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience," Papers 1611.03435, arXiv.org, revised Jul 2017.
- Samuel Drapeau & Peng Luo & Alexander Schied & Dewen Xiong, 2019. "An FBSDE approach to market impact games with stochastic parameters," Papers 2001.00622, arXiv.org.
- Graewe, Paulwin & Horst, Ulrich & Séré, Eric, 2018. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 979-1006.
- Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models," Finance and Stochastics, Springer, vol. 25(4), pages 757-810, October.
- Graewe, Paulwin & Popier, Alexandre, 2021. "Asymptotic approach for backward stochastic differential equation with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 247-277.
- Christoph Belak & Johannes Muhle-Karbe & Kevin Ou, 2018. "Optimal Trading with General Signals and Liquidation in Target Zone Models," Papers 1808.00515, arXiv.org.
- Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
- Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
- Guanxing Fu & Ulrich Horst, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Papers 1809.04401, arXiv.org.
- Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
- Ulrich Horst & Evgueni Kivman, 2024. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Finance and Stochastics, Springer, vol. 28(3), pages 759-812, July.
- Fu, Guanxing & Horst, Ulrich, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Rationality and Competition Discussion Paper Series 129, CRC TRR 190 Rationality and Competition.
- Elliott, Robert & Qiu, Jinniao & Wei, Wenning, 2022. "Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 68-97.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
- Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013.
"Smooth solutions to portfolio liquidation problems under price-sensitive market impact,"
Papers
1309.0474, arXiv.org, revised Jun 2017.
- Paulwin Graewe & Ulrich Horst & Eric Séré, 2018. "Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact," Post-Print hal-01540537, HAL.
- Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
- Ulrich Horst & Evgueni Kivman, 2021. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Papers 2103.05957, arXiv.org, revised Jul 2023.
- Cebiroğlu, Gökhan & Horst, Ulrich, 2015. "Optimal order display in limit order markets with liquidity competition," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 81-100.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "Optimal trade execution in an order book model with stochastic liquidity parameters," Papers 2006.05843, arXiv.org, revised Apr 2021.
- Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
- Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-wen & Wong, Tak Kwong & Zhu, Dong-Mei, 2024. "Viscosity solution for optimal liquidation problems with randomly-terminated horizon," Finance Research Letters, Elsevier, vol. 61(C).
- Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
- Qiu, Jinniao, 2017. "Weak solution for a class of fully nonlinear stochastic Hamilton–Jacobi–Bellman equations," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1926-1959.
- Kruse, T. & Popier, A., 2016. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2554-2592.
- M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
- Ulrich Horst & Xiaonyu Xia, 2018. "Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint," Papers 1809.01972, arXiv.org, revised Apr 2020.
- Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.
- Stefan Ankirchner & Alexander Fromm & Thomas Kruse & Alexandre Popier, 2018. "Optimal position targeting via decoupling fields," Working Papers hal-01500311, HAL.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models," Papers 2006.05863, arXiv.org, revised Jul 2021.
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011.
"Equilibrium pricing in incomplete markets under translation invariant preferences,"
SFB 649 Discussion Papers
2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
- Traian A. Pirvu & Huayue Zhang, 2012. "A Multi Period Equilibrium Pricing Model," Papers 1205.6193, arXiv.org.
- Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2012.
"Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models,"
Papers
1201.1840, arXiv.org, revised Oct 2012.
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2013. "Continuous equilibrium in affine and information-based capital asset pricing models," Annals of Finance, Springer, vol. 9(4), pages 725-755, November.
- Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Cebiroğlu, Gökhan & Horst, Ulrich, 2011.
"Optimal display of Iceberg orders,"
SFB 649 Discussion Papers
2011-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Cebiroğlu, Gökhan & Horst, Ulrich, 2012. "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers 2012-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012.
"Econometric analysis of volatile art markets,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3091-3104.
- Bocart, Fabian & Hafner, Christian, 2012. "Econometric analysis of volatile art markets," LIDAM Reprints ISBA 2012020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BOCART, F. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers ISBA 2011029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BOCART, Fabian Y. R. P. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers CORE 2011052, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2014.
"Semiparametric Estimation with Generated Covariates,"
SFB 649 Discussion Papers
2014-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, Institute of Labor Economics (IZA).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric estimation with generated covariates," Working Paper Series in Economics 81, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric Estimation With Generated Covariates," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1140-1177, October.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011.
"Financial network systemic risk contributions,"
SFB 649 Discussion Papers
2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Financial network systemic risk contributions," CFS Working Paper Series 2013/20, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2012. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2012-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bertrand, Aurelie & Hafner, Christian, 2011.
"On heterogeneous latent class models with applications to the analysis of rating scores,"
LIDAM Discussion Papers ISBA
2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Aurélie Bertrand & Christian Hafner, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," Computational Statistics, Springer, vol. 29(1), pages 307-330, February.
- Bertrand, Aurelie & Hafner, Christian, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Reprints ISBA 2014027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bertrand, Aurélie & Hafner, Christian M., 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," SFB 649 Discussion Papers 2011-062, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013.
"Multivariate volatility modeling of electricity futures,"
LIDAM Reprints CORE
2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Tischer, Sven & Hildebrandt, Lutz, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers 2011-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Schneider, Dorothee, 2011. "The labor share: A review of theory and evidence," SFB 649 Discussion Papers 2011-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Huang, Ruihong, 2012.
"On the dark side of the market: Identifying and analyzing hidden order placements,"
SFB 649 Discussion Papers
2012-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series 2012/04, Center for Financial Studies (CFS).
- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2011.
"Forward-backward systems for expected utility maximization,"
SFB 649 Discussion Papers
2011-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014. "Forward–backward systems for expected utility maximization," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1813-1848.
Cited by:
- Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," CARF F-Series CARF-F-270, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jun 2012.
- Hiroaki Hata & Shuenn-Jyi Sheu & Li-Hsien Sun, 2019. "Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case," Papers 1903.08957, arXiv.org.
- Oumar Mbodji & Adrien Nguyen Huu & Traian A. A Pirvu, 2019.
"Optimal Sharing Rule for a Household with a Portfolio Management Problem,"
Working Papers
hal-00940233, HAL.
- Adrien Nguyen Huu & Oumar Mbodji & A Nguyen-Huu & Traian A. Pirvu, 2014. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," Papers 1402.1052, arXiv.org, revised Jan 2019.
- Mbodji, O.S. & Nguyen-Huu, A. & Pirvu, T.A., 2019. "Optimal sharing rule for a household with a portfolio management problem," Mathematical Social Sciences, Elsevier, vol. 101(C), pages 88-98.
- Oumar Mbodji & Adrien Nguyen Huu & Traian A. A Pirvu, 2019. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," CEE-M Working Papers hal-00940233, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Oumar Mbodji & Adrien Nguyen-Huu & T.A. Pirvu, 2019. "Optimal sharing rule for a household with a portfolio management problem," Post-Print halshs-02315712, HAL.
- Kupper, Michael & Luo, Peng & Tangpi, Ludovic, 2019. "Multidimensional Markovian FBSDEs with super-quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 129(3), pages 902-923.
- Gechun Liang & Yifan Sun & Thaleia Zariphopoulou, 2023. "Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent," Papers 2401.00103, arXiv.org.
- Yusong Li & Harry Zheng, 2016. "Dynamic Convex Duality in Constrained Utility Maximization," Papers 1612.04407, arXiv.org.
- Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," Papers 1202.0608, arXiv.org, revised Sep 2012.
- Oleksii Mostovyi & Mihai Sîrbu, 2019. "Sensitivity analysis of the utility maximisation problem with respect to model perturbations," Finance and Stochastics, Springer, vol. 23(3), pages 595-640, July.
- Yushi Hamaguchi, 2019. "Time-inconsistent consumption-investment problems in incomplete markets under general discount functions," Papers 1912.01281, arXiv.org, revised Mar 2021.
- Luo, Peng & Menoukeu-Pamen, Olivier & Tangpi, Ludovic, 2022. "Strong solutions of forward–backward stochastic differential equations with measurable coefficients," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 1-22.
- Gu, Lingqi & Lin, Yiqing & Yang, Junjian, 2016. "On the dual problem of utility maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1019-1035.
- Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-24.
- Harin, Alexander, 2018. "Forbidden zones for the expectation. New mathematical results for behavioral and social sciences," MPRA Paper 86650, University Library of Munich, Germany.
- Mostovyi, Oleksii, 2020. "Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4444-4469.
- Marina Santacroce & Paola Siri & Barbara Trivellato, 2023. "Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models," Papers 2302.08253, arXiv.org.
- Daniel Bartl & Ariel Neufeld & Kyunghyun Park, 2023. "Sensitivity of robust optimization problems under drift and volatility uncertainty," Papers 2311.11248, arXiv.org.
- Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011.
"Continuous equilibrium under base preferences and attainable initial endowments,"
SFB 649 Discussion Papers
2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2011.
"Forward-backward systems for expected utility maximization,"
SFB 649 Discussion Papers
2011-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014. "Forward–backward systems for expected utility maximization," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1813-1848.
Cited by:
- Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," CARF F-Series CARF-F-270, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jun 2012.
- Hiroaki Hata & Shuenn-Jyi Sheu & Li-Hsien Sun, 2019. "Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case," Papers 1903.08957, arXiv.org.
- Oumar Mbodji & Adrien Nguyen Huu & Traian A. A Pirvu, 2019.
"Optimal Sharing Rule for a Household with a Portfolio Management Problem,"
Working Papers
hal-00940233, HAL.
- Adrien Nguyen Huu & Oumar Mbodji & A Nguyen-Huu & Traian A. Pirvu, 2014. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," Papers 1402.1052, arXiv.org, revised Jan 2019.
- Mbodji, O.S. & Nguyen-Huu, A. & Pirvu, T.A., 2019. "Optimal sharing rule for a household with a portfolio management problem," Mathematical Social Sciences, Elsevier, vol. 101(C), pages 88-98.
- Oumar Mbodji & Adrien Nguyen Huu & Traian A. A Pirvu, 2019. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," CEE-M Working Papers hal-00940233, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Oumar Mbodji & Adrien Nguyen-Huu & T.A. Pirvu, 2019. "Optimal sharing rule for a household with a portfolio management problem," Post-Print halshs-02315712, HAL.
- Kupper, Michael & Luo, Peng & Tangpi, Ludovic, 2019. "Multidimensional Markovian FBSDEs with super-quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 129(3), pages 902-923.
- Gechun Liang & Yifan Sun & Thaleia Zariphopoulou, 2023. "Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent," Papers 2401.00103, arXiv.org.
- Yusong Li & Harry Zheng, 2016. "Dynamic Convex Duality in Constrained Utility Maximization," Papers 1612.04407, arXiv.org.
- Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," Papers 1202.0608, arXiv.org, revised Sep 2012.
- Oleksii Mostovyi & Mihai Sîrbu, 2019. "Sensitivity analysis of the utility maximisation problem with respect to model perturbations," Finance and Stochastics, Springer, vol. 23(3), pages 595-640, July.
- Yushi Hamaguchi, 2019. "Time-inconsistent consumption-investment problems in incomplete markets under general discount functions," Papers 1912.01281, arXiv.org, revised Mar 2021.
- Luo, Peng & Menoukeu-Pamen, Olivier & Tangpi, Ludovic, 2022. "Strong solutions of forward–backward stochastic differential equations with measurable coefficients," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 1-22.
- Gu, Lingqi & Lin, Yiqing & Yang, Junjian, 2016. "On the dual problem of utility maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1019-1035.
- Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-24.
- Harin, Alexander, 2018. "Forbidden zones for the expectation. New mathematical results for behavioral and social sciences," MPRA Paper 86650, University Library of Munich, Germany.
- Mostovyi, Oleksii, 2020. "Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4444-4469.
- Marina Santacroce & Paola Siri & Barbara Trivellato, 2023. "Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models," Papers 2302.08253, arXiv.org.
- Daniel Bartl & Ariel Neufeld & Kyunghyun Park, 2023. "Sensitivity of robust optimization problems under drift and volatility uncertainty," Papers 2311.11248, arXiv.org.
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011.
"Equilibrium pricing in incomplete markets under translation invariant preferences,"
SFB 649 Discussion Papers
2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
- Traian A. Pirvu & Huayue Zhang, 2012. "A Multi Period Equilibrium Pricing Model," Papers 1205.6193, arXiv.org.
- Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2012.
"Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models,"
Papers
1201.1840, arXiv.org, revised Oct 2012.
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2013. "Continuous equilibrium in affine and information-based capital asset pricing models," Annals of Finance, Springer, vol. 9(4), pages 725-755, November.
- Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011.
"Continuous equilibrium under base preferences and attainable initial endowments,"
SFB 649 Discussion Papers
2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Santiago Moreno-Bromberg, 2011.
"Efficiency and Equilibria in Games of Optimal Derivative Design,"
Papers
1107.0839, arXiv.org.
- Horst, Ulrich & Moreno-Bromberg, Santiago, 2010. "Efficiency and equilibria in games of optimal derivative design," SFB 649 Discussion Papers 2010-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Michail Anthropelos, 2012. "The Effect of Market Power on Risk-Sharing," Papers 1206.0384, arXiv.org, revised May 2016.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010.
"FX Smile in the Heston Model,"
Papers
1010.1617, arXiv.org.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," HSC Research Reports HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe, 2010. "FX smile in the Heston model," SFB 649 Discussion Papers 2010-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010.
"Models for Heavy-tailed Asset Returns,"
MPRA Paper
25494, University Library of Munich, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Baranovski, Alexander L., 2010. "Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling," SFB 649 Discussion Papers 2010-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013.
"Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2010/19, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," SFB 649 Discussion Papers 2010-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2011/25, Center for Financial Studies (CFS).
- Ulrich Horst & Santiago Moreno-Bromberg, 2011.
"Efficiency and Equilibria in Games of Optimal Derivative Design,"
Papers
1107.0839, arXiv.org.
- Horst, Ulrich & Moreno-Bromberg, Santiago, 2010. "Efficiency and equilibria in games of optimal derivative design," SFB 649 Discussion Papers 2010-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bielagk, Jana & Horst, Ulrich & Moreno-Bromberg, Santiago, 2019. "Trading under market impact: Crossing networks interacting with dealer markets," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 131-151.
- Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Jana Bielagk & Ulrich Horst & Santiago Moreno--Bromberg, 2016. "A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-," Papers 1607.04047, arXiv.org, revised Aug 2016.
- Naujokat, Felix & Horst, Ulrich, 2011.
"When to cross the spread: Curve following with singular control,"
SFB 649 Discussion Papers
2011-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011. "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012.
"Econometric analysis of volatile art markets,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3091-3104.
- Bocart, Fabian & Hafner, Christian, 2012. "Econometric analysis of volatile art markets," LIDAM Reprints ISBA 2012020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BOCART, F. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers ISBA 2011029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BOCART, Fabian Y. R. P. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers CORE 2011052, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2014.
"Semiparametric Estimation with Generated Covariates,"
SFB 649 Discussion Papers
2014-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, Institute of Labor Economics (IZA).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric estimation with generated covariates," Working Paper Series in Economics 81, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric Estimation With Generated Covariates," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1140-1177, October.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011.
"Financial network systemic risk contributions,"
SFB 649 Discussion Papers
2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Financial network systemic risk contributions," CFS Working Paper Series 2013/20, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2012. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2012-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bertrand, Aurelie & Hafner, Christian, 2011.
"On heterogeneous latent class models with applications to the analysis of rating scores,"
LIDAM Discussion Papers ISBA
2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Aurélie Bertrand & Christian Hafner, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," Computational Statistics, Springer, vol. 29(1), pages 307-330, February.
- Bertrand, Aurelie & Hafner, Christian, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Reprints ISBA 2014027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bertrand, Aurélie & Hafner, Christian M., 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," SFB 649 Discussion Papers 2011-062, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Huang, Ruihong, 2011. "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers 2011-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013.
"Multivariate volatility modeling of electricity futures,"
LIDAM Reprints CORE
2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Härdle, Wolfgang Karl & Osipenko, Maria, 2011. "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers 2011-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Cebiroğlu, Gökhan & Horst, Ulrich, 2011. "Optimal display of Iceberg orders," SFB 649 Discussion Papers 2011-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Tischer, Sven & Hildebrandt, Lutz, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers 2011-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Schneider, Dorothee, 2011. "The labor share: A review of theory and evidence," SFB 649 Discussion Papers 2011-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Kratz, Peter & Schöneborn, Torsten, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers 2011-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Naujokat, Felix & Horst, Ulrich, 2011.
"When to cross the spread: Curve following with singular control,"
SFB 649 Discussion Papers
2011-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011. "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012.
"Econometric analysis of volatile art markets,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3091-3104.
- Bocart, Fabian & Hafner, Christian, 2012. "Econometric analysis of volatile art markets," LIDAM Reprints ISBA 2012020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BOCART, F. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers ISBA 2011029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BOCART, Fabian Y. R. P. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers CORE 2011052, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2014.
"Semiparametric Estimation with Generated Covariates,"
SFB 649 Discussion Papers
2014-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, Institute of Labor Economics (IZA).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric estimation with generated covariates," Working Paper Series in Economics 81, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric Estimation With Generated Covariates," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1140-1177, October.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011.
"Financial network systemic risk contributions,"
SFB 649 Discussion Papers
2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Financial network systemic risk contributions," CFS Working Paper Series 2013/20, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2012. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2012-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bertrand, Aurelie & Hafner, Christian, 2011.
"On heterogeneous latent class models with applications to the analysis of rating scores,"
LIDAM Discussion Papers ISBA
2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Aurélie Bertrand & Christian Hafner, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," Computational Statistics, Springer, vol. 29(1), pages 307-330, February.
- Bertrand, Aurelie & Hafner, Christian, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Reprints ISBA 2014027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bertrand, Aurélie & Hafner, Christian M., 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," SFB 649 Discussion Papers 2011-062, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Huang, Ruihong, 2011. "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers 2011-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013.
"Multivariate volatility modeling of electricity futures,"
LIDAM Reprints CORE
2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Härdle, Wolfgang Karl & Osipenko, Maria, 2011. "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers 2011-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Cebiroğlu, Gökhan & Horst, Ulrich, 2011. "Optimal display of Iceberg orders," SFB 649 Discussion Papers 2011-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Tischer, Sven & Hildebrandt, Lutz, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers 2011-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Schneider, Dorothee, 2011. "The labor share: A review of theory and evidence," SFB 649 Discussion Papers 2011-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Kratz, Peter & Schöneborn, Torsten, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers 2011-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Pirvu, Traian A. & Dos Reis, Gonçalo, 2010.
"On securitization, market completion and equilibrium risk transfer,"
SFB 649 Discussion Papers
2010-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2011.
"Forward-backward systems for expected utility maximization,"
SFB 649 Discussion Papers
2011-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014. "Forward–backward systems for expected utility maximization," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1813-1848.
- Michail Anthropelos, 2012. "The Effect of Market Power on Risk-Sharing," Papers 1206.0384, arXiv.org, revised May 2016.
- Traian A. Pirvu & Huayue Zhang, 2012. "A Multi Period Equilibrium Pricing Model," Papers 1205.6193, arXiv.org.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010.
"FX Smile in the Heston Model,"
Papers
1010.1617, arXiv.org.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," HSC Research Reports HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe, 2010. "FX smile in the Heston model," SFB 649 Discussion Papers 2010-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010.
"Models for Heavy-tailed Asset Returns,"
MPRA Paper
25494, University Library of Munich, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2012.
"Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models,"
Papers
1201.1840, arXiv.org, revised Oct 2012.
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2013. "Continuous equilibrium in affine and information-based capital asset pricing models," Annals of Finance, Springer, vol. 9(4), pages 725-755, November.
- Tianxiao Wang, 2012. "Risk minimizing of derivatives via dynamic g-expectation and related topics," Papers 1208.2068, arXiv.org.
- Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Jana Bielagk & Arnaud Lionnet & Goncalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Papers 1511.04218, arXiv.org, revised Feb 2017.
- Hecht, Carolin & Hanewald, Katja, 2010. "Sociodemographic, economic, and psychological drivers of the demand for life insurance: Evidence from the German Retirement Income Act," SFB 649 Discussion Papers 2010-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Oliver Janke & Qinghua Li, 2015. "Portfolio Optimization under Shortfall Risk Constraint," Papers 1501.07480, arXiv.org, revised Apr 2016.
- Jarrow, Robert & Larsson, Martin, 2018. "On aggregation and representative agent equilibria," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 119-127.
- Baranovski, Alexander L., 2010. "Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling," SFB 649 Discussion Papers 2010-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013.
"Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2010/19, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," SFB 649 Discussion Papers 2010-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2011/25, Center for Financial Studies (CFS).
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Santiago Moreno-Bromberg, 2011.
"Efficiency and Equilibria in Games of Optimal Derivative Design,"
Papers
1107.0839, arXiv.org.
- Horst, Ulrich & Moreno-Bromberg, Santiago, 2010. "Efficiency and equilibria in games of optimal derivative design," SFB 649 Discussion Papers 2010-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Masaaki Fukasawa & Takashi Sato & Jun Sekine, 2023. "Backward stochastic difference equations on lattices with application to market equilibrium analysis," Papers 2312.10883, arXiv.org.
- Härdle, Wolfgang Karl & Moro, Rouslan A. & Hoffmann, Linda, 2010. "Learning machines supporting bankruptcy prediction," SFB 649 Discussion Papers 2010-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Dejian Tian, 2022. "Pricing principle via Tsallis relative entropy in incomplete market," Papers 2201.05316, arXiv.org, revised Oct 2022.
- Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
- Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Michail Anthropelos & Michael Kupper & Antonis Papapantoleon, 2015. "An equilibrium model for spot and forward prices of commodities," Papers 1502.00674, arXiv.org, revised Jan 2017.
- Jana Bielagk & Arnaud Lionnet & Gonçalo dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Working Papers hal-01245812, HAL.
- Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.
- Horst, Ulrich, 2010.
"Dynamic systems of social interactions,"
SFB 649 Discussion Papers
2010-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
- Ulrich Horst, 2010. "Dynamic Systems of Social Interactions," Post-Print hal-00781340, HAL.
Cited by:
- Grajzl, Peter & Baniak, Andrzej, 2012. "Mandating behavioral conformity in social groups with conformist members," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 479-493.
- Nwaibeh, E.A. & Chikwendu, C.R., 2023. "A deterministic model of the spread of scam rumor and its numerical simulations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 111-129.
- Li, Ming & Zhang, Hong & Georgescu, Paul & Li, Tan, 2021. "The stochastic evolution of a rumor spreading model with two distinct spread inhibiting and attitude adjusting mechanisms in a homogeneous social network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
- U. Horst & Jose A. Scheinkman, 2010.
"Equilibria in Systems of Social Interactions,"
Levine's Working Paper Archive
506439000000000119, David K. Levine.
- Horst, Ulrich & Scheinkman, Jose A., 2006. "Equilibria in systems of social interactions," Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
- J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.
Cited by:
- Igor Evstigneev & Michael Taksar, 2006.
"Dynamic interaction models of economic equilibrium,"
Economics Discussion Paper Series
0623, Economics, The University of Manchester.
- Evstigneev, Igor & Taksar, Michael, 2009. "Dynamic interaction models of economic equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 166-182, January.
- Ulrich Horst & Alan Kirman & Miriam Teschl, 2006.
"Changing Identity: The Emergence of Social Groups,"
Working Papers
halshs-00410853, HAL.
- Ulrich Horst & Alan Kirman & Miriam Teschl, 2007. "Changing Identity: The Emergence of Social Groups," Economics Working Papers 0078, Institute for Advanced Study, School of Social Science.
- Lux, Thomas, 2008. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Kiel Working Papers 1424, Kiel Institute for the World Economy (IfW Kiel).
- Antoni Calvó-Armengol & Yves Zenou, 2004.
"Social Networks And Crime Decisions: The Role Of Social Structure In Facilitating Delinquent Behavior,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(3), pages 939-958, August.
- Zenou, Yves & Calvó-Armengol, Antoni, 2003. "Social Networks and Crime Decisions: The Role of Social Structure in Facilitating Delinquent Behaviour," CEPR Discussion Papers 3966, C.E.P.R. Discussion Papers.
- Antoni Calvó-Armengol & Yves Zenou, 2003. "Social Networks and Crime Decisions: The Role of Social Structure in Facilitating Delinquent Behavior," Working Papers 52, Barcelona School of Economics.
- Calvó-Armengol, Antoni & Zenou, Yves, 2003. "Social Networks and Crime Decisions: The Role of Social Structure in Facilitating Delinquent Behavior," Working Paper Series 601, Research Institute of Industrial Economics.
- Steven N. Durlauf & Yannis M. Ioannides, 2009.
"Social Interactions,"
Discussion Papers Series, Department of Economics, Tufts University
0739, Department of Economics, Tufts University.
- Steven N. Durlauf & Yannis M. Ioannides, 2010. "Social Interactions," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 451-478, September.
- Luca Anderlini & Daniele Terlizzese, 2009.
"Equilibrium Trust,"
EIEF Working Papers Series
0913, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2009.
- Anderlini, Luca & Terlizzese, Daniele, 2017. "Equilibrium trust," Games and Economic Behavior, Elsevier, vol. 102(C), pages 624-644.
- Luca Anderlini & Daniele Terlizzese, 2009. "Equilibrium Trust," Levine's Working Paper Archive 814577000000000379, David K. Levine.
- Lux, Thomas, 2008.
"Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey,"
Economics Working Papers
2008-07, Christian-Albrechts-University of Kiel, Department of Economics.
- Lux, Thomas, 2009. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Journal of Economic Behavior & Organization, Elsevier, vol. 72(2), pages 638-655, November.
- Finn Christensen & Juergen Jung, 2010.
"Global Social Interactions with Sequential Binary Decisions: The Case of Marriage, Divorce, and Stigma,"
Working Papers
2010-01, Towson University, Department of Economics, revised Jan 2010.
- Christensen Finn & Jung Juergen, 2010. "Global Social Interactions with Sequential Binary Decisions: The Case of Marriage, Divorce, and Stigma," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-37, October.
- Bulte Erwin & Horan Richard D., 2010. "Identities in the Commons: The Dynamics of Norms and Social Capital," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 10(1), pages 1-35, February.
- Konc, Théo & Savin, Ivan & van den Bergh, Jeroen C.J.M., 2021. "The social multiplier of environmental policy: Application to carbon taxation," Journal of Environmental Economics and Management, Elsevier, vol. 105(C).
- Roger Lagunoff, 2004.
"The Dynamic Reform of Political Institutions,"
Working Papers
gueconwpa~04-04-07, Georgetown University, Department of Economics.
- Roger Lagunoff, 2004. "The Dynamic Reform of Political Institutions," Econometric Society 2004 Latin American Meetings 47, Econometric Society.
- ÖZGÜR, Onur & BISIN, Alberto, 2011.
"Dynamic linear economies with social interactions,"
Cahiers de recherche
2011-03, Universite de Montreal, Departement de sciences economiques.
- Onur Ozgur & Alberto Bisin, 2011. "Dynamic linear economies with social interactions," Levine's Working Paper Archive 786969000000000036, David K. Levine.
- ÖZGÜR, Onur & BISIN, Alberto, 2011. "Dynamic Linear Economies with Social Interactions," Cahiers de recherche 04-2011, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Iyer, S. & Weeks, M., 2009. "Social Interactions, Ethnicity and Fertility in Kenya," Cambridge Working Papers in Economics 0903, Faculty of Economics, University of Cambridge.
- Chollete, Loran & Ning, Cathy, 2009.
"The Dependence Structure of Macroeconomic Variables in the US,"
UiS Working Papers in Economics and Finance
2009/31, University of Stavanger.
- Cathy Q. Ning & Loran Chollete, 2009. "The Dependence Structure of Macroeconomic Variables in the US," Working Papers 005, Toronto Metropolitan University, Department of Economics.
- Fu, Guanxing & Horst, Ulrich, 2017. "Mean Field Games with Singular Controls," Rationality and Competition Discussion Paper Series 22, CRC TRR 190 Rationality and Competition.
- Chollete, Lorán & Jaffee, Dwight & Mamun, Khawaja A., 2022. "Policy suggestions from a simple framework with extreme outcomes," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 374-398.
- Ulrich Horst & Jan Wenzelburger, 2008. "On non-ergodic asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 34(2), pages 207-234, February.
- Lin, Zhongjian & Tang, Xun & Yu, Ning Neil, 2021. "Uncovering heterogeneous social effects in binary choices," Journal of Econometrics, Elsevier, vol. 222(2), pages 959-973.
- Bhowmik, Anuj & Sen, Arijit, 2022. "Segmented assimilation: a minority's dilemma," MPRA Paper 111655, University Library of Munich, Germany.
- Horst, Ulrich, 2002.
"Stationary equilibria in discounted stochastic games with weakly interacting players,"
SFB 373 Discussion Papers
2002,77, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Horst, Ulrich, 2005. "Stationary equilibria in discounted stochastic games with weakly interacting players," Games and Economic Behavior, Elsevier, vol. 51(1), pages 83-108, April.
- Iyer, S. & Weeks, M., 2004.
"Multiple Social Interaction and Reproductive Externalities: An Investigation of Fertility Behaviour in Kenya,"
Cambridge Working Papers in Economics
0461, Faculty of Economics, University of Cambridge.
- Melvyn Weeks & Sriya Iyer, 2004. "Multiple social interactions and reproductive externalities: An investigation of fertility behaviour in Kenya," Econometric Society 2004 Latin American Meetings 143, Econometric Society.
- Grajzl, Peter & Baniak, Andrzej, 2012. "Mandating behavioral conformity in social groups with conformist members," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 479-493.
- Roger Lagunoff, 2007.
"Markov Equilibrium in Models of Dynamic Endogenous Political Institutions,"
Levine's Bibliography
122247000000000876, UCLA Department of Economics.
- Roger Lagunoff (Georgetown University), 2005. "Markov Equilibrium in Models of Dynamic Endogenous Political Institutions," Working Papers gueconwpa~05-05-07, Georgetown University, Department of Economics.
- Roger Lagunoff, 2005. "Markov Equilibrium in Models of Dynamic Endogenous Political Institutions," Game Theory and Information 0501003, University Library of Munich, Germany.
- Yannis Ioannides, 2006.
"Topologies of social interactions,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 559-584, August.
- Yannis M. Ioannides, 2004. "Topologies Of Social Interactions," Econometric Society 2004 North American Winter Meetings 287, Econometric Society.
- Yannis Ioannides, 2001. "Topologies of Social Interactions," Discussion Papers Series, Department of Economics, Tufts University 0104, Department of Economics, Tufts University.
- Roger Lagunoff & Jinhui Bai, 2008.
"On the ``Faustian Dynamics" of Policy and Political Power,"
2008 Meeting Papers
456, Society for Economic Dynamics.
- Jinhui H. Bai & Roger Lagunoff, 2011. "On the Faustian Dynamics of Policy and Political Power," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(1), pages 17-48.
- Jinhui Bai & Roger Lagunoff, 2007. "On the “Faustian” Dynamics of Policy and Political Power," Levine's Bibliography 122247000000001627, UCLA Department of Economics.
- Jinhui Bai & Roger Lagunoff, 2008. "On the 'Faustian' Dynamics of Policy and Political Power," Working Papers gueconwpa~08-08-02, Georgetown University, Department of Economics.
- Nian, Fuzhong & Liu, Xinghao & Diao, Hongyuan, 2022. "Mechanism of investor behavior propagation in stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
- Lin, Zhongjian & Hu, Yingyao, 2024. "Binary choice with misclassification and social interactions, with an application to peer effects in attitude," Journal of Econometrics, Elsevier, vol. 238(1).
- Ulrich Horst, 2010.
"Dynamic Systems of Social Interactions,"
Post-Print
hal-00781340, HAL.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," SFB 649 Discussion Papers 2010-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Yannis M. Ioannides & Adriaan R. Soetevent, 2005.
"Social Networking and Individual Outcomes Beyond the Mean Field Case,"
Discussion Papers Series, Department of Economics, Tufts University
0521, Department of Economics, Tufts University.
- Ioannides, Yannis M. & Soetevent, Adriaan R., 2007. "Social networking and individual outcomes beyond the mean field case," Journal of Economic Behavior & Organization, Elsevier, vol. 64(3-4), pages 369-390.
- Jan K. Brueckner & Oleg Smirnov, 2006.
"Social Networks and the Convergence of Population Attributes: A Generalization,"
Working Papers
050630, University of California-Irvine, Department of Economics.
- Jan K. Brueckner & Oleg Smirnov, 2008. "Social Networks And The Convergence Of Population Attributes: A Generalization," Journal of Regional Science, Wiley Blackwell, vol. 48(2), pages 359-365, May.
- Ulrich Horst & Jos´e A. Scheinkman, 2006. "A Limit Theorem for Systems of Social Interactions," Levine's Bibliography 321307000000000177, UCLA Department of Economics.
- Thomas Lux, 2009. "Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey," Post-Print hal-00720175, HAL.
- Darong Dai, 2013. "Independence and Uniqueness of the Mixed-Strategy Equilibrium in Social Networks," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 6(3), pages 79-96, December.
- Emily Tanimura, 2021. "Statistical discrimination without knowing statistics: blame social interactions?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03096126, HAL.
- Yingyao Hu & Zhongjian Lin, 2018. "Misclassification and the hidden silent rivalry," CeMMAP working papers CWP12/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Blume,L.E. & Durlauf,S.N., 2005. "Identifying social interactions : a review," Working papers 12, Wisconsin Madison - Social Systems.
- Mathias Staudigl, 2013. "Co-evolutionary dynamics and Bayesian interaction games," International Journal of Game Theory, Springer;Game Theory Society, vol. 42(1), pages 179-210, February.
- Emily Tanimura, 2021. "Statistical discrimination without knowing statistics: blame social interactions?," Working Papers hal-03096126, HAL.
- Pradelski, Bary S.R., 2023. "Social influence: The Usage History heuristic," Mathematical Social Sciences, Elsevier, vol. 123(C), pages 105-113.
- Finn Christensen, 2014. "Comparative Statics, Stability, and Uniqueness," Working Papers 2014-02, Towson University, Department of Economics, revised Mar 2015.
- Elena Agliari & Adriano Barra & Pierluigi Contucci & Andrea Pizzoferrato & Cecilia Vernia, 2018. "Social interaction effects on immigrant integration," Palgrave Communications, Palgrave Macmillan, vol. 4(1), pages 1-8, December.
- Chollete, Loran & Jaffee, Dwight, 2009. "Economic Implications of Extreme and Rare Events," UiS Working Papers in Economics and Finance 2009/32, University of Stavanger.
- Paolo Dai Pra & Elena Sartori & Marco Tolotti, 2019. "Climb on the Bandwagon: Consensus and Periodicity in a Lifetime Utility Model with Strategic Interactions," Dynamic Games and Applications, Springer, vol. 9(4), pages 1061-1075, December.
- Lin, Zhongjian & Vella, Francis, 2021. "Selection and Endogenous Treatment Models with Social Interactions: An Application to the Impact of Exercise on Self-Esteem," IZA Discussion Papers 14167, Institute of Labor Economics (IZA).
- Brock,W.A. & Durlauf,S.N., 2005. "Social interactions and macroeconomics," Working papers 5, Wisconsin Madison - Social Systems.
- Guanxing Fu & Paul P. Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints," Papers 2403.10441, arXiv.org.
- Dorman,Peter, 2022. "Alligators in the Arctic and How to Avoid Them," Cambridge Books, Cambridge University Press, number 9781316516270, January.
- Guanxing Fu & Paul Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry," Rationality and Competition Discussion Paper Series 517, CRC TRR 190 Rationality and Competition.
- Choudhary, M. Ali & Michael Orszag, J., 2008. "A cobweb model with local externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 821-847, March.
- Dorman, Peter & Nolte, Heike, 2015. "Worker problem-solving and the nature of the firm: new theory, new evidence," MPRA Paper 65981, University Library of Munich, Germany.
- Opolot, Daniel, 2012. "Social interactions and complex networks," MERIT Working Papers 2012-014, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Katarzyna Ostasiewicz & Michal H. Tyc & Piotr Goliczewski & Piotr Magnuszewski & Andrzej Radosz & Jan Sendzimir, 2006. "Integrating economic and psychological insights in binary choice models with social interactions," Papers physics/0609170, arXiv.org.
- Horst, Ulrich & Scheinkman, José A., 2009. "A limit theorem for systems of social interactions," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 609-623, September.
- Horst, Ulrich & Moreno-Bromberg, Santiago, 2010.
"Efficiency and equilibria in games of optimal derivative design,"
SFB 649 Discussion Papers
2010-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Santiago Moreno-Bromberg, 2011. "Efficiency and Equilibria in Games of Optimal Derivative Design," Papers 1107.0839, arXiv.org.
Cited by:
- Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Michail Anthropelos, 2012. "The Effect of Market Power on Risk-Sharing," Papers 1206.0384, arXiv.org, revised May 2016.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010.
"FX Smile in the Heston Model,"
Papers
1010.1617, arXiv.org.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," HSC Research Reports HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe, 2010. "FX smile in the Heston model," SFB 649 Discussion Papers 2010-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010.
"Models for Heavy-tailed Asset Returns,"
MPRA Paper
25494, University Library of Munich, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Baranovski, Alexander L., 2010. "Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling," SFB 649 Discussion Papers 2010-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013.
"Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2010/19, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," SFB 649 Discussion Papers 2010-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2011/25, Center for Financial Studies (CFS).
- Ulrich Horst & Santiago Moreno-Bromberg, 2011.
"Efficiency and Equilibria in Games of Optimal Derivative Design,"
Papers
1107.0839, arXiv.org.
- Horst, Ulrich & Moreno-Bromberg, Santiago, 2010. "Efficiency and equilibria in games of optimal derivative design," SFB 649 Discussion Papers 2010-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bielagk, Jana & Horst, Ulrich & Moreno-Bromberg, Santiago, 2019. "Trading under market impact: Crossing networks interacting with dealer markets," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 131-151.
- Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Jana Bielagk & Ulrich Horst & Santiago Moreno--Bromberg, 2016. "A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-," Papers 1607.04047, arXiv.org, revised Aug 2016.
- Ulrich Horst, 2010.
"Dynamic Systems of Social Interactions,"
Post-Print
hal-00781340, HAL.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," SFB 649 Discussion Papers 2010-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Grajzl, Peter & Baniak, Andrzej, 2012. "Mandating behavioral conformity in social groups with conformist members," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 479-493.
- Nwaibeh, E.A. & Chikwendu, C.R., 2023. "A deterministic model of the spread of scam rumor and its numerical simulations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 111-129.
- Li, Ming & Zhang, Hong & Georgescu, Paul & Li, Tan, 2021. "The stochastic evolution of a rumor spreading model with two distinct spread inhibiting and attitude adjusting mechanisms in a homogeneous social network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
- Horst, Ulrich & Naujokat, Felix, 2010.
"Illiquidity and derivative valuation,"
SFB 649 Discussion Papers
2010-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Papers 0901.0091, arXiv.org.
Cited by:
- Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010.
"FX Smile in the Heston Model,"
Papers
1010.1617, arXiv.org.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," HSC Research Reports HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe, 2010. "FX smile in the Heston model," SFB 649 Discussion Papers 2010-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010.
"Models for Heavy-tailed Asset Returns,"
MPRA Paper
25494, University Library of Munich, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hecht, Carolin & Hanewald, Katja, 2010. "Sociodemographic, economic, and psychological drivers of the demand for life insurance: Evidence from the German Retirement Income Act," SFB 649 Discussion Papers 2010-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Baranovski, Alexander L., 2010. "Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling," SFB 649 Discussion Papers 2010-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013.
"Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2010/19, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," SFB 649 Discussion Papers 2010-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2011/25, Center for Financial Studies (CFS).
- Ulrich Horst & Santiago Moreno-Bromberg, 2011.
"Efficiency and Equilibria in Games of Optimal Derivative Design,"
Papers
1107.0839, arXiv.org.
- Horst, Ulrich & Moreno-Bromberg, Santiago, 2010. "Efficiency and equilibria in games of optimal derivative design," SFB 649 Discussion Papers 2010-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Kraft, Holger & Kühn, Christoph, 2011. "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1898-1915.
- Härdle, Wolfgang Karl & Moro, Rouslan A. & Hoffmann, Linda, 2010. "Learning machines supporting bankruptcy prediction," SFB 649 Discussion Papers 2010-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Felix Naujokat, 2008.
"Illiquidity and Derivative Valuation,"
Papers
0901.0091, arXiv.org.
- Horst, Ulrich & Naujokat, Felix, 2010. "Illiquidity and derivative valuation," SFB 649 Discussion Papers 2010-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Cited by:
- Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010.
"FX Smile in the Heston Model,"
Papers
1010.1617, arXiv.org.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," HSC Research Reports HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe, 2010. "FX smile in the Heston model," SFB 649 Discussion Papers 2010-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010.
"Models for Heavy-tailed Asset Returns,"
MPRA Paper
25494, University Library of Munich, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hecht, Carolin & Hanewald, Katja, 2010. "Sociodemographic, economic, and psychological drivers of the demand for life insurance: Evidence from the German Retirement Income Act," SFB 649 Discussion Papers 2010-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Baranovski, Alexander L., 2010. "Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling," SFB 649 Discussion Papers 2010-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013.
"Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2010/19, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," SFB 649 Discussion Papers 2010-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2011/25, Center for Financial Studies (CFS).
- Ulrich Horst & Santiago Moreno-Bromberg, 2011.
"Efficiency and Equilibria in Games of Optimal Derivative Design,"
Papers
1107.0839, arXiv.org.
- Horst, Ulrich & Moreno-Bromberg, Santiago, 2010. "Efficiency and equilibria in games of optimal derivative design," SFB 649 Discussion Papers 2010-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Kraft, Holger & Kühn, Christoph, 2011. "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1898-1915.
- Härdle, Wolfgang Karl & Moro, Rouslan A. & Hoffmann, Linda, 2010. "Learning machines supporting bankruptcy prediction," SFB 649 Discussion Papers 2010-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
"A Limit Theorem for Financial Markets with Inert Investors,"
Papers
math/0703831, arXiv.org.
Cited by:
- Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar, 2004.
"Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(05), pages 615-643.
- Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar, 2007. "Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis," Papers math/0703834, arXiv.org.
- Rama Cont & Adrien De Larrard, 2012. "Order book dynamics in liquid markets: limit theorems and diffusion approximations," Papers 1202.6412, arXiv.org.
- Rama Cont & Adrien de Larrard, 2011. "Order book dynamics in liquid markets: limit theorems and diffusion approximations," Working Papers hal-00672274, HAL.
- Erhan Bayraktar & H. Vincent Poor, 2005. "Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 283-300.
- Christian Bender & Tommi Sottinen & Esko Valkeila, 2010. "Fractional processes as models in stochastic finance," Papers 1004.3106, arXiv.org.
- Mine Caglar, 2011. "Stock Price Processes with Infinite Source Poisson Agents," Papers 1106.6300, arXiv.org.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
- Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar, 2004.
"Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(05), pages 615-643.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
"Queueing Theoretic Approaches to Financial Price Fluctuations,"
Papers
math/0703832, arXiv.org.
Cited by:
- Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
- Ulrich Horst & Michael Paulsen, 2017. "A Law of Large Numbers for Limit Order Books," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 1280-1312, November.
- David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
- Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
- Xin Liu & Qi Gong & Vidyadhar G. Kulkarni, 2015. "A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions," Papers 1511.04096, arXiv.org, revised Mar 2016.
- Ulrich Horst & Michael Paulsen, 2015. "A law of large numbers for limit order books," Papers 1501.00843, arXiv.org.
- A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
- Yipeng Yang & Allanus Tsoi, 2013. "Prospect Agents and the Feedback Effect on Price Fluctuations," Papers 1308.6759, arXiv.org, revised Jan 2014.
- Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
- Henkel, Christof, 2017. "From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 447-458.
- Christian Bayer & Ulrich Horst & Jinniao Qiu, 2014. "A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics," Papers 1405.5230, arXiv.org, revised Aug 2016.
- Ulrich Horst & Alan Kirman & Miriam Teschl, 2007.
"Changing Identity: The Emergence of Social Groups,"
Economics Working Papers
0078, Institute for Advanced Study, School of Social Science.
- Ulrich Horst & Alan Kirman & Miriam Teschl, 2006. "Changing Identity: The Emergence of Social Groups," Working Papers halshs-00410853, HAL.
Cited by:
- Autiero, Giuseppina & O'Higgins, Niall, 2013.
"Jailer of Freedom and Enemy of Growth? The Role of Personal and Social Identities in Educational Choices,"
IZA Discussion Papers
7792, Institute of Labor Economics (IZA).
- Giuseppina Autiero & Niall O’Higgins, 2016. "Jailer of freedom and enemy of growth? The role of personal and social identities in educational choices," International Review of Applied Economics, Taylor & Francis Journals, vol. 30(5), pages 591-604, September.
- Jerome Ballet & Lucie Marchand & Jerome Pelenc & Robin Vos, 2018.
"Capabilities, Identity, Aspirations and Ecosystem Services: An Integrated Framework,"
Post-Print
hal-02481853, HAL.
- Ballet, Jérôme & Marchand, Lucile & Pelenc, Jérôme & Vos, Robin, 2018. "Capabilities, Identity, Aspirations and Ecosystem Services: An Integrated Framework," Ecological Economics, Elsevier, vol. 147(C), pages 21-28.
- Maria D. C. Garcia-Alonso & Zaki Wahhaj, 2018.
"Social Diversity and Bridging Identity,"
Studies in Economics
1802, School of Economics, University of Kent.
- María D. C García-Alonso & Zaki Wahhaj, 2021. "Social diversity and bridging identity," Oxford Economic Papers, Oxford University Press, vol. 73(3), pages 1324-1344.
- Hassani Mahmooei, Behrooz & Vahabi, Mehrdad, 2012. "Dueling for honor and identity economics," MPRA Paper 44370, University Library of Munich, Germany.
- Farzana Afridi & Sherry Xin Li & Yufei Ren, 2010.
"Social Identity and Inequality--The Impact of China’s Hukou System,"
Working papers
190, Centre for Development Economics, Delhi School of Economics.
- Afridi, Farzana & Li, Sherry Xin & Ren, Yufei, 2015. "Social identity and inequality: The impact of China's hukou system," Journal of Public Economics, Elsevier, vol. 123(C), pages 17-29.
- Farzana Afridi & Sherry Xin Li & Yufei Ren, 2010. "Social Identity and Inequality: The Impact of China's Hokou System," Working Papers id:3003, eSocialSciences.
- Afridi, Farzana & Li, Sherry Xin & Ren, Yufei, 2012. "Social Identity and Inequality: The Impact of China's Hukou System," IZA Discussion Papers 6417, Institute of Labor Economics (IZA).
- Tirole, Jean & Bénabou, Roland, 2007.
"Identity, Dignity and Taboos: Beliefs as Assets,"
CEPR Discussion Papers
6123, C.E.P.R. Discussion Papers.
- Roland Bénabou & Jean Tirole, 2007. "Identity, Dignity and Taboos: Beliefs as Assets," Carlo Alberto Notebooks 50, Collegio Carlo Alberto.
- Benabou, Roland & Tirole, Jean, 2007. "Identity, Dignity and Taboos: Beliefs as Assets," IZA Discussion Papers 2583, Institute of Labor Economics (IZA).
- Prummer, Anja & Siedlarek, Jan-Peter, 2014.
"Institutions And The Preservation Of Cultural Traits,"
Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems
470, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Anja Prummer & Jan-Peter Siedlarek, 2014. "Institutions and the Preservation of Cultural Traits," Cambridge Working Papers in Economics 1465, Faculty of Economics, University of Cambridge.
- Alberto Bisin & Eleonora Patacchini & Thierry Verdier & Yves Zenou, 2011.
"Formation and persistence of oppositional identities,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-00754495, HAL.
- Alberto Bisin & Eleonora Patacchini & Thierry Verdier & Yves Zenou, 2011. "Formation and persistence of oppositional identities," Post-Print halshs-00754495, HAL.
- Bisin, Alberto & Patacchini, Eleonora & Verdier, Thierry & Zenou, Yves, 2011. "Formation and Persistence of Oppositional Identities," Research Papers in Economics 2011:16, Stockholm University, Department of Economics.
- Verdier, Thierry & Zenou, Yves & Bisin, Alberto & Patacchini, Eleonora, 2011. "Formation and Persistence of Oppositional Identities," CEPR Discussion Papers 8380, C.E.P.R. Discussion Papers.
- Bisin, Alberto & Patacchini, Eleonora & Verdier, Thierry & Zenou, Yves, 2011. "Formation and persistence of oppositional identities," European Economic Review, Elsevier, vol. 55(8), pages 1046-1071.
- Fernando Aguiar & Pablo Branas-Garza & Maria Paz Espinosa & Luis M. Miller, 2007.
"Personal Identity in the Dictator Game,"
Jena Economics Research Papers
2007-007, Friedrich-Schiller-University Jena.
- Fernando Aguiar & Pablo Branas-Garza & Maria Paz Espinosa & Luis Miller, 2010. "Personal identity: a theoretical and experimental analysis," Journal of Economic Methodology, Taylor & Francis Journals, vol. 17(3), pages 261-275.
- Naseer, Shaheen & Heine, Klaus, 2017. "Bureaucratic Identity and the Shape of Public Policy: A Game Theoretic Analysis," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168144, Verein für Socialpolitik / German Economic Association.
- Thomas Jeitschko & Seamus O'Connell & Rowena Pecchenino, 2008. "Generalised Means of Simple Utility Functions with Risk Aversion," The Economic and Social Review, Economic and Social Studies, vol. 39(1), pages 39-54.
- K. Kułakowski & M. Stojkow & D. Żuchowska-Skiba & P. Gawroński, 2018. "Separate or perish — the coevolving voter model," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 29(07), pages 1-14, July.
- Pecchenino, Rowena A., 2009. "Becoming: Identity and spirituality," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 38(1), pages 31-36, January.
- Kaushik Basu, 2016. "Beyond the Invisible Hand: Groundwork for a New Economics," Economics Books, Princeton University Press, edition 1, number 9299.
- Horst, Ulrich, 2002.
"Stationary equilibria in discounted stochastic games with weakly interacting players,"
SFB 373 Discussion Papers
2002,77, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Horst, Ulrich, 2005. "Stationary equilibria in discounted stochastic games with weakly interacting players," Games and Economic Behavior, Elsevier, vol. 51(1), pages 83-108, April.
Cited by:
- John Duggan, 2011. "Noisy Stochastic Games," RCER Working Papers 562, University of Rochester - Center for Economic Research (RCER).
- Löwe, Matthias & Schubert, Kristina & Vermet, Franck, 2020. "Multi-group binary choice with social interaction and a random communication structure—A random graph approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
- Mitri Kitti, 2011. "Conditionally Stationary Equilibria in Discounted Dynamic Games," Dynamic Games and Applications, Springer, vol. 1(4), pages 514-533, December.
- Woźny, Łukasz & Growiec, Jakub, 2008.
"Intergenerational interactions in human capital accumulation,"
MPRA Paper
10308, University Library of Munich, Germany.
- Wozny Lukasz & Growiec Jakub, 2012. "Intergenerational Interactions in Human Capital Accumulation," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 12(1), pages 1-47, June.
- Jakub Growiec & Lukasz Wozny, 2010. "Intergenerational interactions in human capital accumulation," NBP Working Papers 71, Narodowy Bank Polski.
- Guanxing Fu & Chao Zhou, 2023. "Mean field portfolio games," Finance and Stochastics, Springer, vol. 27(1), pages 189-231, January.
- Arthur Charpentier & Romuald Elie & Carl Remlinger, 2020. "Reinforcement Learning in Economics and Finance," Papers 2003.10014, arXiv.org.
- Roger Lagunoff, 2004.
"The Dynamic Reform of Political Institutions,"
Working Papers
gueconwpa~04-04-07, Georgetown University, Department of Economics.
- Roger Lagunoff, 2004. "The Dynamic Reform of Political Institutions," Econometric Society 2004 Latin American Meetings 47, Econometric Society.
- Chao Deng & Xizhi Su & Chao Zhou, 2020. "Relative wealth concerns with partial information and heterogeneous priors," Papers 2007.11781, arXiv.org.
- He, Wei & Sun, Yeneng, 2017. "Stationary Markov perfect equilibria in discounted stochastic games," Journal of Economic Theory, Elsevier, vol. 169(C), pages 35-61.
- Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
- Roger Lagunoff, 2007.
"Markov Equilibrium in Models of Dynamic Endogenous Political Institutions,"
Levine's Bibliography
122247000000000876, UCLA Department of Economics.
- Roger Lagunoff (Georgetown University), 2005. "Markov Equilibrium in Models of Dynamic Endogenous Political Institutions," Working Papers gueconwpa~05-05-07, Georgetown University, Department of Economics.
- Roger Lagunoff, 2005. "Markov Equilibrium in Models of Dynamic Endogenous Political Institutions," Game Theory and Information 0501003, University Library of Munich, Germany.
- Balbus, Łukasz & Reffett, Kevin & Woźny, Łukasz, 2013. "A constructive geometrical approach to the uniqueness of Markov stationary equilibrium in stochastic games of intergenerational altruism," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1019-1039.
- Roger Lagunoff & Jinhui Bai, 2008.
"On the ``Faustian Dynamics" of Policy and Political Power,"
2008 Meeting Papers
456, Society for Economic Dynamics.
- Jinhui H. Bai & Roger Lagunoff, 2011. "On the Faustian Dynamics of Policy and Political Power," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(1), pages 17-48.
- Jinhui Bai & Roger Lagunoff, 2007. "On the “Faustian” Dynamics of Policy and Political Power," Levine's Bibliography 122247000000001627, UCLA Department of Economics.
- Jinhui Bai & Roger Lagunoff, 2008. "On the 'Faustian' Dynamics of Policy and Political Power," Working Papers gueconwpa~08-08-02, Georgetown University, Department of Economics.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
- Duggan, John & Kalandrakis, Tasos, 2012.
"Dynamic legislative policy making,"
Journal of Economic Theory, Elsevier, vol. 147(5), pages 1653-1688.
- John Duggan & Tasos Kalandrakis, 2007. "Dynamic Legislative Policy Making," Wallis Working Papers WP45, University of Rochester - Wallis Institute of Political Economy.
- Yufan Chen & Lan Wu & Renyuan Xu & Ruixun Zhang, 2024. "Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players," Papers 2408.09505, arXiv.org.
- Page, Frank, 2016. "Stationary Markov equilibria for approximable discounted stochastic games," LSE Research Online Documents on Economics 67808, London School of Economics and Political Science, LSE Library.
- Guanxing Fu & Chao Zhou, 2021. "Mean Field Portfolio Games," Papers 2106.06185, arXiv.org, revised Apr 2022.
- Yehuda (John) Levy, 2012. "A Discounted Stochastic Game with No Stationary Equilibria: The Case of Absolutely Continuous Transitions," Discussion Paper Series dp612, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
- Andrzej Nowak, 2007. "On stochastic games in economics," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(3), pages 513-530, December.
- Ulrich Doraszelski & Mark Satterthwaite, 2010. "Computable Markov‐perfect industry dynamics," RAND Journal of Economics, RAND Corporation, vol. 41(2), pages 215-243, June.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
- Paulwin Graewe & Ulrich Horst & Ronnie Sircar, 2021. "A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption," Papers 2104.06152, arXiv.org.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
- John Duggan, 2012. "Noisy Stochastic Games," RCER Working Papers 570, University of Rochester - Center for Economic Research (RCER).
- Arthur Charpentier & Romuald Élie & Carl Remlinger, 2023. "Reinforcement Learning in Economics and Finance," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 425-462, June.
- Jaśkiewicz, Anna & Nowak, Andrzej S., 2014. "Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models," Journal of Economic Theory, Elsevier, vol. 151(C), pages 411-447.
- Piotr Więcek, 2017. "Total Reward Semi-Markov Mean-Field Games with Complementarity Properties," Dynamic Games and Applications, Springer, vol. 7(3), pages 507-529, September.
- Sachin Adlakha & Ramesh Johari, 2013. "Mean Field Equilibrium in Dynamic Games with Strategic Complementarities," Operations Research, INFORMS, vol. 61(4), pages 971-989, August.
- Guanxing Fu & Xizhi Su & Chao Zhou, 2020. "Mean Field Exponential Utility Game: A Probabilistic Approach," Papers 2006.07684, arXiv.org, revised Jul 2020.
- A. S. Nowak, 2010. "On a Noncooperative Stochastic Game Played by Internally Cooperating Generations," Journal of Optimization Theory and Applications, Springer, vol. 144(1), pages 88-106, January.
- Escobar, Juan F., 2013. "Equilibrium analysis of dynamic models of imperfect competition," International Journal of Industrial Organization, Elsevier, vol. 31(1), pages 92-101.
- Horst, Ulrich, 2001.
"Financial price fluctuations in a stock market model with many interacting agents,"
SFB 373 Discussion Papers
2001,36, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Ulrich Horst, 2005. "Financial price fluctuations in a stock market model with many interacting agents," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(4), pages 917-932, June.
Cited by:
- Dieci, Roberto & Foroni, Ilaria & Gardini, Laura & He, Xue-Zhong, 2006.
"Market mood, adaptive beliefs and asset price dynamics,"
Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 520-534.
- Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ulrich Horst & Jan Wezelburger, 2006. "Non-ergodic Behavior in a Financial Market with Interacting Investors," 2006 Meeting Papers 229, Society for Economic Dynamics.
- Özge Dilaver & Robert Jump & Paul Levine, 2016.
"Agent-based Macroeconomics and Dynamic Stochastic General Equilibrium Models: Where do we go from here?,"
School of Economics Discussion Papers
0116, School of Economics, University of Surrey.
- Özge Dilaver & Robert Calvert Jump & Paul Levine, 2018. "Agent‐Based Macroeconomics And Dynamic Stochastic General Equilibrium Models: Where Do We Go From Here?," Journal of Economic Surveys, Wiley Blackwell, vol. 32(4), pages 1134-1159, September.
- Horst, Ulrich & Scheinkman, Jose A., 2006.
"Equilibria in systems of social interactions,"
Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
- U. Horst & Jose A. Scheinkman, 2010. "Equilibria in Systems of Social Interactions," Levine's Working Paper Archive 506439000000000119, David K. Levine.
- J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.
- Yoon, Gawon, 2012. "Some properties of periodically collapsing bubbles," Economic Modelling, Elsevier, vol. 29(2), pages 299-302.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "A Limit Theorem for Financial Markets with Inert Investors," Papers math/0703831, arXiv.org.
- J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers 98734966f1c1a57373801367f, David K. Levine.
- Bisin, Alberto & Horst, Ulrich & Ozgur, Onur, 2006. "Rational expectations equilibria of economies with local interactions," Journal of Economic Theory, Elsevier, vol. 127(1), pages 74-116, March.
- Yuri Biondi & Simone Righi, 2013. "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Papers 1312.7460, arXiv.org.
- Yuri Biondi & Simone Righi, 2015. "Much ado about making money:The impact of disclosure, news and rumors over the formation of security market prices over time," Department of Economics 0075, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Hillebrand, Marten & Wenzelburger, Jan, 2006. "On the dynamics of asset prices and portfolios in a multiperiod CAPM," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 578-594.
- Yuri Biondi & Simone Righi, 2020. "Much ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over time," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(2), pages 333-362, April.
- Yipeng Yang & Allanus Tsoi, 2016. "A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return," IJFS, MDPI, vol. 4(1), pages 1-24, February.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008.
"Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 101-136, January.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2005. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2005-14, Christian-Albrechts-University of Kiel, Department of Economics.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2006-16, Christian-Albrechts-University of Kiel, Department of Economics.
- Ulrich Horst, 2010.
"Dynamic Systems of Social Interactions,"
Post-Print
hal-00781340, HAL.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," SFB 649 Discussion Papers 2010-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Christof Henkel, 2016. "An agent behavior based model for diffusion price processes with application to phase transition and oscillations," Papers 1606.08269, arXiv.org.
- Biao Wu, 2007. "Interacting Agent Feedback Finance Model," Papers math/0703827, arXiv.org.
- Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
- Christof Henkel, 2016. "From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes," Papers 1609.05286, arXiv.org, revised Oct 2016.
- Gunter M. Schutz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky, 2007. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Papers 0801.0003, arXiv.org, revised Jun 2009.
- Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
- Yuri Biondi & Pierpaolo Giannoccolo, 2015. "Share price formation, market exuberance and financial stability under alternative accounting regimes," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(2), pages 333-362, October.
- Schütz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
- Ulrich Horst & Wei Xu, 2019. "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers 1911.12969, arXiv.org.
- Vaidya, Tushar & Chotibut, Thiparat & Piliouras, Georgios, 2021. "Broken detailed balance and non-equilibrium dynamics in noisy social learning models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
- Jan Wenzelburger, 2013. "Risk sharing in a financial market with endogenous option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 491-517, July.
- Choudhary, M. Ali & Michael Orszag, J., 2008. "A cobweb model with local externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 821-847, March.
- Yipeng Yang & Allanus Tsoi, 2013. "Prospect Agents and the Feedback Effect on Price Fluctuations," Papers 1308.6759, arXiv.org, revised Jan 2014.
- Henkel, Christof, 2017. "From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 447-458.
- Horst, Ulrich, 2001.
"Asymptotics of locally interacting Markov chains with global signals,"
SFB 373 Discussion Papers
2001,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Horst, Ulrich & Scheinkman, Jose A., 2006.
"Equilibria in systems of social interactions,"
Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
- U. Horst & Jose A. Scheinkman, 2010. "Equilibria in Systems of Social Interactions," Levine's Working Paper Archive 506439000000000119, David K. Levine.
- J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.
- Föllmer, Hans & Horst, Ulrich, 2001.
"Convergence of locally and globally interacting Markov chains,"
SFB 373 Discussion Papers
2001,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Föllmer, Hans & Horst, Ulrich, 2001. "Convergence of locally and globally interacting Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 99-121, November.
- Horst, Ulrich & Scheinkman, José A., 2009. "A limit theorem for systems of social interactions," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 609-623, September.
- Horst, Ulrich & Scheinkman, Jose A., 2006.
"Equilibria in systems of social interactions,"
Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
- Föllmer, Hans & Horst, Ulrich, 2001.
"Convergence of locally and globally interacting Markov chains,"
SFB 373 Discussion Papers
2001,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Föllmer, Hans & Horst, Ulrich, 2001. "Convergence of locally and globally interacting Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 99-121, November.
Cited by:
- Horst, Ulrich & Scheinkman, Jose A., 2006.
"Equilibria in systems of social interactions,"
Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
- U. Horst & Jose A. Scheinkman, 2010. "Equilibria in Systems of Social Interactions," Levine's Working Paper Archive 506439000000000119, David K. Levine.
- J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.
- ÖZGÜR, Onur & BISIN, Alberto, 2011.
"Dynamic linear economies with social interactions,"
Cahiers de recherche
2011-03, Universite de Montreal, Departement de sciences economiques.
- Onur Ozgur & Alberto Bisin, 2011. "Dynamic linear economies with social interactions," Levine's Working Paper Archive 786969000000000036, David K. Levine.
- ÖZGÜR, Onur & BISIN, Alberto, 2011. "Dynamic Linear Economies with Social Interactions," Cahiers de recherche 04-2011, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Fu, Guanxing & Horst, Ulrich, 2017. "Mean Field Games with Singular Controls," Rationality and Competition Discussion Paper Series 22, CRC TRR 190 Rationality and Competition.
- Bisin, Alberto & Horst, Ulrich & Ozgur, Onur, 2006. "Rational expectations equilibria of economies with local interactions," Journal of Economic Theory, Elsevier, vol. 127(1), pages 74-116, March.
- Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022.
"Markov switching panel with endogenous synchronization effects,"
Journal of Econometrics, Elsevier, vol. 230(2), pages 281-298.
- Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021. "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series BEMPS82, Faculty of Economics and Management at the Free University of Bozen.
- Ulrich Horst, 2010.
"Dynamic Systems of Social Interactions,"
Post-Print
hal-00781340, HAL.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," SFB 649 Discussion Papers 2010-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Jos´e A. Scheinkman, 2006. "A Limit Theorem for Systems of Social Interactions," Levine's Bibliography 321307000000000177, UCLA Department of Economics.
- Alberto Bisin & Thierry Verdier, 2010.
"The Economics of Cultural Transmission and Socialization,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-00754788, HAL.
- Alberto Bisin & Thierry Verdier, 2010. "The Economics of Cultural Transmission and Socialization," NBER Working Papers 16512, National Bureau of Economic Research, Inc.
- Alberto Bisin & Thierry Verdier, 2010. "The Economics of Cultural Transmission and Socialization," Post-Print halshs-00754788, HAL.
- Alberto Bisin & Andrea Moro & Giorgio Topa, 2011.
"The empirical content of models with multiple equilibria in economies with social interactions,"
Staff Reports
504, Federal Reserve Bank of New York.
- Alberto Bisin & Andrea Moro & Giorgio Topa, 2011. "The Empirical Content of Models with Multiple Equilibria in Economies with Social Interactions," NBER Working Papers 17196, National Bureau of Economic Research, Inc.
- Biao Wu, 2007. "Interacting Agent Feedback Finance Model," Papers math/0703827, arXiv.org.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
- Horst, Ulrich & Scheinkman, José A., 2009. "A limit theorem for systems of social interactions," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 609-623, September.
- Horst, Ulrich, 2000.
"The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients,"
SFB 373 Discussion Papers
2000,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Follmer, Hans & Horst, Ulrich & Kirman, Alan, 2005. "Equilibria in financial markets with heterogeneous agents: a probabilistic perspective," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 123-155, February.
- Horst, Ulrich, 1999.
"Ergodic fluctuations in a stock market model with interacting agents: The mean field case,"
SFB 373 Discussion Papers
1999,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Potzelberger, Klaus & Sogner, Leopold, 2003. "Stochastic equilibrium: learning by exponential smoothing," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1743-1770, August.
Articles
- Françoise Forges & Ulrich Horst & Antoine Salomon, 2016.
"Feasibility and individual rationality in two-person Bayesian games,"
International Journal of Game Theory, Springer;Game Theory Society, vol. 45(1), pages 11-36, March.
See citations under working paper version above.
- Francoise Forges & Ulrich Horst & Antoine Salomon, 2014. "Feasibility and individual rationality in two-person Bayesian games," Working Papers hal-01094061, HAL.
- Francoise Forges & Ulrich Horst & Antoine Salomon, 2016. "Feasibility and individual rationality in two-person Bayesian games," Post-Print hal-02276751, HAL.
- Cebiroğlu, Gökhan & Horst, Ulrich, 2015.
"Optimal order display in limit order markets with liquidity competition,"
Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 81-100.
Cited by:
- Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016.
"Trading Strategy with Stochastic Volatility in a Limit Order Book Market,"
Papers
1602.00358, arXiv.org.
- Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu, 2020. "Trading strategy with stochastic volatility in a limit order book market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 277-301, June.
- Ulrich Horst & Michael Paulsen, 2017. "A Law of Large Numbers for Limit Order Books," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 1280-1312, November.
- Du, Bian & Zhu, Hongliang & Zhao, Jingdong, 2016. "Optimal execution in high-frequency trading with Bayesian learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 767-777.
- Gao, Xuefeng & Xu, Tianrun, 2022. "Order scoring, bandit learning and order cancellations," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Chen, Yuanyuan & Gao, Xuefeng & Li, Duan, 2018. "Optimal order execution using hidden orders," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 89-116.
- Ulrich Horst & Dorte Kreher, 2015. "A weak law of large numbers for a limit order book model with fully state dependent order dynamics," Papers 1502.04359, arXiv.org, revised May 2016.
- Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
- Ulrich Horst & Dorte Kreher & Konstantins Starovoitovs, 2023. "Second-Order Approximation of Limit Order Books in a Single-Scale Regime," Papers 2308.00805, arXiv.org, revised Sep 2024.
- Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016.
"Trading Strategy with Stochastic Volatility in a Limit Order Book Market,"
Papers
1602.00358, arXiv.org.
- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014.
"Forward–backward systems for expected utility maximization,"
Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1813-1848.
See citations under working paper version above.
- Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2011. "Forward-backward systems for expected utility maximization," SFB 649 Discussion Papers 2011-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst & Felix Naujokat, 2011.
"On derivatives with illiquid underlying and market manipulation,"
Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1051-1066.
Cited by:
- Hauser, Shmuel & Kedar-Levy, Haim & Milo, Orit, 2022. "Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation," Journal of Financial Markets, Elsevier, vol. 59(PA).
- A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
- Horst, Ulrich, 2010.
"Dynamic systems of social interactions,"
Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
See citations under working paper version above.
- Ulrich Horst, 2010. "Dynamic Systems of Social Interactions," Post-Print hal-00781340, HAL.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," SFB 649 Discussion Papers 2010-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Horst, Ulrich & Scheinkman, José A., 2009.
"A limit theorem for systems of social interactions,"
Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 609-623, September.
Cited by:
- Löwe, Matthias & Schubert, Kristina & Vermet, Franck, 2020. "Multi-group binary choice with social interaction and a random communication structure—A random graph approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
- Horst, Ulrich & Scheinkman, Jose A., 2006.
"Equilibria in systems of social interactions,"
Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
- U. Horst & Jose A. Scheinkman, 2010. "Equilibria in Systems of Social Interactions," Levine's Working Paper Archive 506439000000000119, David K. Levine.
- J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.
- Fu, Guanxing & Horst, Ulrich, 2017. "Mean Field Games with Singular Controls," Rationality and Competition Discussion Paper Series 22, CRC TRR 190 Rationality and Competition.
- Lin, Zhongjian & Hu, Yingyao, 2024. "Binary choice with misclassification and social interactions, with an application to peer effects in attitude," Journal of Econometrics, Elsevier, vol. 238(1).
- Alberto Bisin & Thierry Verdier, 2010.
"The Economics of Cultural Transmission and Socialization,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-00754788, HAL.
- Alberto Bisin & Thierry Verdier, 2010. "The Economics of Cultural Transmission and Socialization," NBER Working Papers 16512, National Bureau of Economic Research, Inc.
- Alberto Bisin & Thierry Verdier, 2010. "The Economics of Cultural Transmission and Socialization," Post-Print halshs-00754788, HAL.
- Sun, Ruoyan, 2013. "Kinetics of jobs in multi-link cities with migration-driven aggregation process," Economic Modelling, Elsevier, vol. 30(C), pages 36-41.
- Ulrich Horst & Jan Wenzelburger, 2008.
"On non-ergodic asset prices,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 34(2), pages 207-234, February.
Cited by:
- James Nguyen & Wei-Xuan Li & Clara Chia-Sheng Chen, 2022. "Mean Reversions in Major Developed Stock Markets: Recent Evidence from Unit Root, Spectral and Abnormal Return Studies," JRFM, MDPI, vol. 15(4), pages 1-20, April.
- William R. Parke & George A. Waters, 2011.
"On the Evolutionary Stability of Rational Expectations,"
Working Paper Series
20111002, Illinois State University, Department of Economics.
- Parke, William R. & Waters, George A., 2014. "On The Evolutionary Stability Of Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 18(7), pages 1581-1606, October.
- Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018.
"Long-run heterogeneity in an exchange economy with fixed-mix traders,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(2), pages 407-447, August.
- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2015. "Long-run Heterogeneity in an Exchange Economy with Fixed-Mix Traders," LEM Papers Series 2015/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Poitras, Geoffrey & Heaney, John, 2015.
"Classical Ergodicity and Modern Portfolio Theory,"
MPRA Paper
113952, University Library of Munich, Germany.
- Geoffrey Poitras & John Heaney, 2015. "Classical Ergodicity and Modern Portfolio Theory," Post-Print hal-03680380, HAL.
- Xue‐Zhong He & Lei Shi, 2012. "Boundedly rational equilibrium and risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 71-93, March.
- Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010.
"Time-Varying Beta: A Boundedly Rational Equilibrium Approach,"
Research Paper Series
275, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
- Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
- Wenzelburger, Jan, 2008. "A Note on the Two-fund Separation Theorem," MPRA Paper 11014, University Library of Munich, Germany, revised 31 Sep 2008.
- Jan Wenzelburger, 2013. "Risk sharing in a financial market with endogenous option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 491-517, July.
- Horst, Ulrich & Rothe, Christian, 2008.
"Queuing, Social Interactions, And The Microstructure Of Financial Markets,"
Macroeconomic Dynamics, Cambridge University Press, vol. 12(2), pages 211-233, April.
Cited by:
- Lux, Thomas, 2008.
"Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey,"
Economics Working Papers
2008-07, Christian-Albrechts-University of Kiel, Department of Economics.
- Lux, Thomas, 2009. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Journal of Economic Behavior & Organization, Elsevier, vol. 72(2), pages 638-655, November.
- Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
- Ulrich Horst & Michael Paulsen, 2017. "A Law of Large Numbers for Limit Order Books," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 1280-1312, November.
- Lux, Thomas, 2009. "Mass psychology in action: identification of social interaction effects in the German stock market," Kiel Working Papers 1514, Kiel Institute for the World Economy (IfW Kiel).
- Thomas Lux, 2009. "Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey," Post-Print hal-00720175, HAL.
- Christof Henkel, 2016. "An agent behavior based model for diffusion price processes with application to phase transition and oscillations," Papers 1606.08269, arXiv.org.
- Barucci, Emilio & Tolotti, Marco, 2012. "Social interaction and conformism in a random utility model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1855-1866.
- Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
- Christof Henkel, 2016. "From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes," Papers 1609.05286, arXiv.org, revised Oct 2016.
- Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
- Gunter M. Schutz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky, 2007. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Papers 0801.0003, arXiv.org, revised Jun 2009.
- Schütz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
- Ulrich Horst & Michael Paulsen, 2015. "A law of large numbers for limit order books," Papers 1501.00843, arXiv.org.
- Henkel, Christof, 2017. "From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 447-458.
- Tae-Seok Jang, 2015. "Identification of Social Interaction Effects in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 207-238, February.
- Christian Bayer & Ulrich Horst & Jinniao Qiu, 2014. "A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics," Papers 1405.5230, arXiv.org, revised Aug 2016.
- Lux, Thomas, 2008.
"Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey,"
Economics Working Papers
2008-07, Christian-Albrechts-University of Kiel, Department of Economics.
- Horst, Ulrich, 2007.
"Stochastic cascades, credit contagion, and large portfolio losses,"
Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 25-54, May.
Cited by:
- Stefania Vitali & Stefano Battiston & Mauro Gallegati, "undated".
"Financial fragility and distress propagation in a network of regions,"
Working Papers
ETH-RC-12-016, ETH Zurich, Chair of Systems Design.
- Vitali, Stefania & Battiston, Stefano & Gallegati, Mauro, 2016. "Financial fragility and distress propagation in a network of regions," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 56-75.
- Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
- Roy Cerqueti & Francesca Pampurini & Annagiulia Pezzola & Anna Grazia Quaranta, 2022. "Dangerous liasons and hot customers for banks," Review of Quantitative Finance and Accounting, Springer, vol. 59(1), pages 65-89, July.
- Edirisinghe, Chanaka & Gupta, Aparna & Roth, Wendy, 2015. "Risk assessment based on the analysis of the impact of contagion flow," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 209-223.
- Tom Fischer, 2014. "No-Arbitrage Pricing Under Systemic Risk: Accounting For Cross-Ownership," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 97-124, January.
- Cerqueti, Roy & Pampurini, Francesca & Quaranta, Anna Grazia & Storani, Saverio, 2024. "Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment," Finance Research Letters, Elsevier, vol. 62(PA).
- Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2012.
"A network model of financial system resilience,"
Bank of England working papers
458, Bank of England.
- Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
- Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2011. "A network model of financial system resilience," SFB 649 Discussion Papers 2011-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ulrich Horst, 2010.
"Dynamic Systems of Social Interactions,"
Post-Print
hal-00781340, HAL.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," SFB 649 Discussion Papers 2010-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Acedański, Jan & Karkowska, Renata, 2022. "Instability spillovers in the banking sector: A spatial econometrics approach," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- Michael Beenstock & Mahmood Khatib, 2018. "Contagion And Correlation In Empirical Models Of Bank Credit Risk In Israel," Israel Economic Review, Bank of Israel, vol. 15(1), pages 1-34.
- Sergey Nadtochiy & Mykhaylo Shkolnikov, 2017. "Particle systems with singular interaction through hitting times: application in systemic risk modeling," Papers 1705.00691, arXiv.org.
- Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August.
- Huang, Xue & Wang, Zhibin, 2024. "Does minority shareholder activism impede corporate default risk? Evidence from China," Finance Research Letters, Elsevier, vol. 61(C).
- Tom Fischer, 2010. "No-arbitrage pricing under cross-ownership," Papers 1005.0768, arXiv.org.
- Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti, 2007. "Large portfolio losses: A dynamic contagion model," Papers 0704.1348, arXiv.org, revised Mar 2009.
- Chen, Tingqiang & Wang, Jiepeng & Liu, Haifei & He, Yuanping, 2019. "Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 458-480.
- Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
- Stefania Vitali & Stefano Battiston & Mauro Gallegati, "undated".
"Financial fragility and distress propagation in a network of regions,"
Working Papers
ETH-RC-12-016, ETH Zurich, Chair of Systems Design.
- Horst, Ulrich & Scheinkman, Jose A., 2006.
"Equilibria in systems of social interactions,"
Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
See citations under working paper version above.
- U. Horst & Jose A. Scheinkman, 2010. "Equilibria in Systems of Social Interactions," Levine's Working Paper Archive 506439000000000119, David K. Levine.
- J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.
- Bisin, Alberto & Horst, Ulrich & Ozgur, Onur, 2006.
"Rational expectations equilibria of economies with local interactions,"
Journal of Economic Theory, Elsevier, vol. 127(1), pages 74-116, March.
Cited by:
- Steven N. Durlauf & Yannis M. Ioannides, 2009.
"Social Interactions,"
Discussion Papers Series, Department of Economics, Tufts University
0739, Department of Economics, Tufts University.
- Steven N. Durlauf & Yannis M. Ioannides, 2010. "Social Interactions," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 451-478, September.
- Maria Adelaida Lopera & Steeve Marchand, 2017.
"Peer effects and risk-taking among entrepreneurs: Lab-in-the-field evidence,"
Working Papers PIERI
2017-21, PEP-PIERI.
- Steeve Marchand & Maria Adelaida Lopera, 2017. "Peer Effects and Risk-Taking Among Entrepreneurs: Lab-in-the-Field Evidence," Cahiers de recherche 1703, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Lopera, Maria Adelaida & Marchand, Steeve, 2018. "Peer effects and risk-taking among entrepreneurs: Lab-in-the-field evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 150(C), pages 182-201.
- Julian Reif, 2018.
"A Model of Addiction and Social Interactions,"
NBER Working Papers
24842, National Bureau of Economic Research, Inc.
- Julian Reif, 2019. "A Model Of Addiction And Social Interactions," Economic Inquiry, Western Economic Association International, vol. 57(2), pages 759-773, April.
- Gomes, Orlando, 2006. "Can social interaction contribute to explain business cycles?," MPRA Paper 2848, University Library of Munich, Germany.
- Horst, Ulrich & Scheinkman, Jose A., 2006.
"Equilibria in systems of social interactions,"
Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
- U. Horst & Jose A. Scheinkman, 2010. "Equilibria in Systems of Social Interactions," Levine's Working Paper Archive 506439000000000119, David K. Levine.
- J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.
- Ryo Nakajima, 2004.
"Measuring Peer Effects on Youth Smoking Behavior,"
ISER Discussion Paper
0600, Institute of Social and Economic Research, Osaka University.
- Ryo Nakajima, 2007. "Measuring Peer Effects on Youth Smoking Behaviour," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(3), pages 897-935.
- ÖZGÜR, Onur & BISIN, Alberto, 2011.
"Dynamic linear economies with social interactions,"
Cahiers de recherche
2011-03, Universite de Montreal, Departement de sciences economiques.
- Onur Ozgur & Alberto Bisin, 2011. "Dynamic linear economies with social interactions," Levine's Working Paper Archive 786969000000000036, David K. Levine.
- ÖZGÜR, Onur & BISIN, Alberto, 2011. "Dynamic Linear Economies with Social Interactions," Cahiers de recherche 04-2011, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Yannis M. Ioannides & Giorgio Topa, 2009.
"Neighborhood Effects: Accomplishments and Looking Beyond Them,"
Discussion Papers Series, Department of Economics, Tufts University
0736, Department of Economics, Tufts University.
- Yannis M. Ioannides & Giorgio Topa, 2010. "Neighborhood Effects: Accomplishments And Looking Beyond Them," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 343-362, February.
- Paul A. Grout & Sebastien Mitraille & Silvia Sonderegger, 2008. "The Costs and Benefits of "Strangers": Why Mixed Communities Are Better," The Centre for Market and Public Organisation 08/191, The Centre for Market and Public Organisation, University of Bristol, UK.
- Vincent Boucher, 2014.
"Conformism and Self-Selection in Social Networks,"
Cahiers de recherche
1424, CIRPEE.
- Boucher, Vincent, 2016. "Conformism and self-selection in social networks," Journal of Public Economics, Elsevier, vol. 136(C), pages 30-44.
- Vincent Boucher, 2014. "Conformism and Self-Selection in Social Networks," Cahiers de recherche 1402, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Horst, Ulrich, 2002.
"Stationary equilibria in discounted stochastic games with weakly interacting players,"
SFB 373 Discussion Papers
2002,77, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Horst, Ulrich, 2005. "Stationary equilibria in discounted stochastic games with weakly interacting players," Games and Economic Behavior, Elsevier, vol. 51(1), pages 83-108, April.
- Grajzl, Peter & Baniak, Andrzej, 2012. "Mandating behavioral conformity in social groups with conformist members," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 479-493.
- Dilip Mookherjee & Stefan Napel & Debraj Ray, 2008.
"Aspirations, Segregation and Occupational Choice,"
Boston University - Department of Economics - The Institute for Economic Development Working Papers Series
dp-182, Boston University - Department of Economics.
- Dilip Mookherjee, 2008. "Aspirations, Segregation and Occupational Choice," Working Papers id:1710, eSocialSciences.
- Dilip Mookherjee & Stefan Napel & Debraj Ray, 2010. "Aspirations, Segregation, and Occupational Choice," Journal of the European Economic Association, MIT Press, vol. 8(1), pages 139-168, March.
- Yannis Ioannides, 2006.
"Topologies of social interactions,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 559-584, August.
- Yannis M. Ioannides, 2004. "Topologies Of Social Interactions," Econometric Society 2004 North American Winter Meetings 287, Econometric Society.
- Yannis Ioannides, 2001. "Topologies of Social Interactions," Discussion Papers Series, Department of Economics, Tufts University 0104, Department of Economics, Tufts University.
- Oded Stark & Doris Behrens, 2010.
"An evolutionary edge of knowing less (or: On the ‘curse’ of global information),"
Journal of Evolutionary Economics, Springer, vol. 20(1), pages 77-94, January.
- Stark, Oded & Behrens, Doris A., 2009. "An Evolutionary Edge of Knowing Less (or: On the "Curse" of Global Information)," Discussion Papers 49924, University of Bonn, Center for Development Research (ZEF).
- Ulrich Horst, 2010.
"Dynamic Systems of Social Interactions,"
Post-Print
hal-00781340, HAL.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
- Horst, Ulrich, 2010. "Dynamic systems of social interactions," SFB 649 Discussion Papers 2010-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Yannis M. Ioannides & Adriaan R. Soetevent, 2005.
"Social Networking and Individual Outcomes Beyond the Mean Field Case,"
Discussion Papers Series, Department of Economics, Tufts University
0521, Department of Economics, Tufts University.
- Ioannides, Yannis M. & Soetevent, Adriaan R., 2007. "Social networking and individual outcomes beyond the mean field case," Journal of Economic Behavior & Organization, Elsevier, vol. 64(3-4), pages 369-390.
- Jan K. Brueckner & Oleg Smirnov, 2006.
"Social Networks and the Convergence of Population Attributes: A Generalization,"
Working Papers
050630, University of California-Irvine, Department of Economics.
- Jan K. Brueckner & Oleg Smirnov, 2008. "Social Networks And The Convergence Of Population Attributes: A Generalization," Journal of Regional Science, Wiley Blackwell, vol. 48(2), pages 359-365, May.
- Cont, Rama & Löwe, Matthias, 2010. "Social distance, heterogeneity and social interactions," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 572-590, July.
- Blume,L.E. & Durlauf,S.N., 2005. "Identifying social interactions : a review," Working papers 12, Wisconsin Madison - Social Systems.
- OUEDRAOGO, Salmata, 2008. "Social effect and female genital mutilation (FGM)," MPRA Paper 17847, University Library of Munich, Germany.
- Dai, Darong, 2012. "On the Existence of Pareto Optimal Endogenous Matching," MPRA Paper 43125, University Library of Munich, Germany.
- Brock,W.A. & Durlauf,S.N., 2005. "Social interactions and macroeconomics," Working papers 5, Wisconsin Madison - Social Systems.
- Steven N. Durlauf & Yannis M. Ioannides, 2009.
"Social Interactions,"
Discussion Papers Series, Department of Economics, Tufts University
0739, Department of Economics, Tufts University.
- Ulrich Horst, 2005.
"Financial price fluctuations in a stock market model with many interacting agents,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(4), pages 917-932, June.
See citations under working paper version above.
- Horst, Ulrich, 2001. "Financial price fluctuations in a stock market model with many interacting agents," SFB 373 Discussion Papers 2001,36, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Horst, Ulrich, 2005.
"Stationary equilibria in discounted stochastic games with weakly interacting players,"
Games and Economic Behavior, Elsevier, vol. 51(1), pages 83-108, April.
See citations under working paper version above.
- Horst, Ulrich, 2002. "Stationary equilibria in discounted stochastic games with weakly interacting players," SFB 373 Discussion Papers 2002,77, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Follmer, Hans & Horst, Ulrich & Kirman, Alan, 2005.
"Equilibria in financial markets with heterogeneous agents: a probabilistic perspective,"
Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 123-155, February.
Cited by:
- Gallegati, Mauro & Kirman, Alan, 2019. "20 years of WEHIA: A journey in search of a safer road," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 5-14.
- Chiarella, Carl & He, Xue-Zhong & Wang, Duo & Zheng, Min, 2008. "The stochastic bifurcation behaviour of speculative financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3837-3846.
- Dieci, Roberto & Foroni, Ilaria & Gardini, Laura & He, Xue-Zhong, 2006.
"Market mood, adaptive beliefs and asset price dynamics,"
Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 520-534.
- Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney.
- William R. Parke & George A. Waters, 2011.
"On the Evolutionary Stability of Rational Expectations,"
Working Paper Series
20111002, Illinois State University, Department of Economics.
- Parke, William R. & Waters, George A., 2014. "On The Evolutionary Stability Of Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 18(7), pages 1581-1606, October.
- Ngo-Hoang, Dai-Long, 2019. "A research paper of Hossein Sabzian (2019), Theories and Practice of Agent based Modeling: Some practical Implications for Economic Planners, ArXiv, 54p," AgriXiv xutyz, Center for Open Science.
- Goldbaum, David & Panchenko, Valentyn, 2010. "Learning and adaptation's impact on market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 635-653, December.
- Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
- Irle, Albrecht & Kauschke, Jonas & Lux, Thomas & Milaković, Mishael, 2010.
"Switching rates and the asymptotic behavior of herding models,"
Kiel Working Papers
1595, Kiel Institute for the World Economy (IfW Kiel).
- Albrecht Irle & Jonas Kauschke & Thomas Lux & Mishael Milaković, 2011. "Switching Rates And The Asymptotic Behavior Of Herding Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 359-376.
- Cars Hommes & Florian Wagener, 2008.
"Complex Evolutionary Systems in Behavioral Finance,"
Tinbergen Institute Discussion Papers
08-054/1, Tinbergen Institute.
- Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Naimzada, Ahmad K. & Ricchiuti, Giorgio, 2009.
"Dynamic effects of increasing heterogeneity in financial markets,"
Chaos, Solitons & Fractals, Elsevier, vol. 41(4), pages 1764-1772.
- Ahmad Naimzada & Giorgio Ricchiuti, 2007. "Dynamic Effects of Increasing Heterogeneity in Financial Markets," Working Papers 111, University of Milano-Bicocca, Department of Economics, revised 2007.
- Ulrich Horst & Jan Wezelburger, 2006. "Non-ergodic Behavior in a Financial Market with Interacting Investors," 2006 Meeting Papers 229, Society for Economic Dynamics.
- Jacopo Staccioli & Mauro Napoletano, 2021.
"An agent-based model of intra-day financial markets dynamics,"
Post-Print
halshs-03046657, HAL.
- Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra-day financialmarkets dynamics," Working Papers hal-03471566, HAL.
- Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra-day financial markets dynamics," LEM Papers Series 2018/12, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Staccioli, Jacopo & Napoletano, Mauro, 2021. "An agent-based model of intra-day financial markets dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 331-348.
- Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra day financial markets dynamics," Documents de Travail de l'OFCE 2018-34, Observatoire Francais des Conjonctures Economiques (OFCE).
- Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra-day financialmarkets dynamics," SciencePo Working papers Main hal-03471566, HAL.
- Jacopo Staccioli & Mauro Napoletano, 2021. "An agent-based model of intra-day financial markets dynamics," SciencePo Working papers Main halshs-03046657, HAL.
- Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.
- Rosella Castellano & Roy Cerqueti & Giulia Rotundo, 2020. "Exploring the financial risk of a temperature index: a fractional integrated approach," Annals of Operations Research, Springer, vol. 284(1), pages 225-242, January.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary finance: introduction to the special issue," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 1-5, February.
- Yingyi Hu, 2019. "Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market," Annals of Operations Research, Springer, vol. 281(1), pages 253-274, October.
- Horst, Ulrich & Scheinkman, Jose A., 2006.
"Equilibria in systems of social interactions,"
Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
- U. Horst & Jose A. Scheinkman, 2010. "Equilibria in Systems of Social Interactions," Levine's Working Paper Archive 506439000000000119, David K. Levine.
- J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine.
- Carl Chiarella & Xue-Zhong He & Min Zheng, 2007. "The Stochastic Dynamics of Speculative Prices," Research Paper Series 208, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
- Alexandru Stan, 2015. "A Price Crash Alerting Strategy for Agent-based Artificial Financial Markets," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
- Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012.
"Excess covariance and dynamic instability in a multi-asset model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1142-1161.
- Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011. "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers 11-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Elyes Jouini & Clotilde Napp, 2015.
"Gurus and belief manipulation,"
Post-Print
halshs-01250251, HAL.
- Jouini, Elyès & Napp, Clotilde, 2015. "Gurus and belief manipulation," Economic Modelling, Elsevier, vol. 49(C), pages 11-18.
- Elyès Jouini & Clotilde Napp, 2010. "Gurus and beliefs manipulation," Working Papers halshs-00555609, HAL.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008.
"Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 101-136, January.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2005. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2005-14, Christian-Albrechts-University of Kiel, Department of Economics.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2006-16, Christian-Albrechts-University of Kiel, Department of Economics.
- Ehsan Ahmed & J. Barkley Rosser Jr. & Jamshed Y. Uppal, 2010. "Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(4), pages 23-40, January.
- J. Emeterio Navarro Barrientos & Frank E. Walter & Frank Schweitzer, 2008.
"Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments,"
Papers
0801.4305, arXiv.org, revised Sep 2008.
- J. Emeterio Navarro-Barrientos & Frank E. Walter & Frank Schweitzer, 2008. "Risk-Seeking Versus Risk-Avoiding Investments In Noisy Periodic Environments," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 971-994.
- Christof Henkel, 2016. "An agent behavior based model for diffusion price processes with application to phase transition and oscillations," Papers 1606.08269, arXiv.org.
- Rosser Jr., J. Barkley, 2010. "Is a transdisciplinary perspective on economic complexity possible?," Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 3-11, July.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
- Ehsan Ahmed & J. Barkley Rosser, Jr. & Jamshed Y. Uppal, 2016. "A Raging Bull or a Long-term Speculative Bubble? The Puzzling Case of the Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 55(2), pages 79-93.
- Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
- Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.
- Parke, William R. & Waters, George A., 2007. "An evolutionary game theory explanation of ARCH effects," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2234-2262, July.
- Alfredo Omar Palafox-Roca & Francisco Venegas-Martínez, 2013. "Consumption Decisions in an Economy with Heterogeneous Preferences Defined by a Bivariate Distribution," Economics Bulletin, AccessEcon, vol. 33(2), pages 993-1000.
- Ahmad Naimzada & Giorgio Ricchiuti, 2006. "Heterogeneous Fundamentalists and Imitative Processes," Working Papers 104, University of Milano-Bicocca, Department of Economics, revised Nov 2006.
- Gunter M. Schutz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky, 2007. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Papers 0801.0003, arXiv.org, revised Jun 2009.
- Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008. "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 55-72, September.
- Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
- Kirman, Alan & Ricciotti, Romain Fabio & Topol, Richard Léon, 2007. "Bubbles In Foreign Exchange Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 102-123, November.
- Hossein Sabzian & Mohammad Ali Shafia & Ali Maleki & Seyeed Mostapha Seyeed Hashemi & Ali Baghaei & Hossein Gharib, 2019. "Theories and Practice of Agent based Modeling: Some practical Implications for Economic Planners," Papers 1901.08932, arXiv.org.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
- Gallegati, Mauro & Palestrini, Antonio & Rosser, J. Barkley, 2011. "The Period Of Financial Distress In Speculative Markets: Interacting Heterogeneous Agents And Financial Constraints," Macroeconomic Dynamics, Cambridge University Press, vol. 15(1), pages 60-79, February.
- Alan Kirman, 2016. "Complexity and Economic Policy: A Paradigm Shift or a Change in Perspective? A Review Essay on David Colander and Roland Kupers's Complexity and the Art of Public Policy," Journal of Economic Literature, American Economic Association, vol. 54(2), pages 534-572, June.
- Schütz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
- Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2016. "Liquidity induced asset bubbles via flows of ELMMs," Papers 1611.01440, arXiv.org, revised Nov 2016.
- Francesca Biagini & Hans Föllmer & Sorin Nedelcu, 2014. "Shifting martingale measures and the birth of a bubble as a submartingale," Finance and Stochastics, Springer, vol. 18(2), pages 297-326, April.
- Zheng, Min & Wang, Hefei & Wang, Chengzhang & Wang, Shouyang, 2017. "Speculative behavior in a housing market: Boom and bust," Economic Modelling, Elsevier, vol. 61(C), pages 50-64.
- Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
- Domenico Colucci & Matteo Vigna & Vincenzo Valori, 2022. "Large and uncertain heterogeneity of expectations: stability of equilibrium from a policy maker standpoint," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 319-348, January.
- Choudhary, M. Ali & Michael Orszag, J., 2008. "A cobweb model with local externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 821-847, March.
- Alessandro Carraro & Giorgio Ricchiuti, 2014.
"Heterogeneous Fundamentalists and Market Maker Inventories,"
Working Papers - Economics
wp2014_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Carraro, Alessandro & Ricchiuti, Giorgio, 2015. "Heterogeneous fundamentalists and market maker inventories," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 73-82.
- Yipeng Yang & Allanus Tsoi, 2013. "Prospect Agents and the Feedback Effect on Price Fluctuations," Papers 1308.6759, arXiv.org, revised Jan 2014.
- Emilio Barucci & Marco Tolotti, 2009. "The dynamics of social interaction with agents’ heterogeneity," Working Papers 189, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Dick, Christian D. & Menkhoff, Lukas, 2012.
"Exchange rate expectations of chartists and fundamentalists,"
ZEW Discussion Papers
12-026, ZEW - Leibniz Centre for European Economic Research.
- Christian D. Dick & Lukas Menkhoff, 2013. "Exchange Rate Expectations of Chartists and Fundamentalists," CESifo Working Paper Series 4181, CESifo.
- Dick, Christian D. & Menkhoff, Lukas, 2013. "Exchange rate expectations of chartists and fundamentalists," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1362-1383.
- Hossein Sabzian & Alireza Aliahmadi & Adel Azar & Madjid Mirzaee, 2018. "Economic inequality and Islamic Charity: An exploratory agent-based modeling approach," Papers 1804.09284, arXiv.org.
- Tae-Seok Jang, 2015. "Identification of Social Interaction Effects in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 207-238, February.
- Sébastien Chaumont & Peter Imkeller & Matthias Müller & Ulrich Horst, 2005.
"A Simple Model for Trading Climate Risk,"
Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 74(2), pages 175-195.
Cited by:
- Lee, Yongheon & Oren, Shmuel S., 2009. "An equilibrium pricing model for weather derivatives in a multi-commodity setting," Energy Economics, Elsevier, vol. 31(5), pages 702-713, September.
- Javier Pantoja Robayo & Juan C. Vera, 2020. "Static Hedging of Weather and Price Risks in Electricity Markets," Papers 2011.08620, arXiv.org.
- Javier Orlando Pantoja Robayo & Andrea Roncoroni, 2012. "Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results," Documentos de Trabajo de Valor Público 10668, Universidad EAFIT.
- Föllmer, Hans & Horst, Ulrich, 2001.
"Convergence of locally and globally interacting Markov chains,"
Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 99-121, November.
See citations under working paper version above.
- Föllmer, Hans & Horst, Ulrich, 2001. "Convergence of locally and globally interacting Markov chains," SFB 373 Discussion Papers 2001,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.