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Queuing, social interactions, and the microstructure of financial markets
Horst, Ulrich; Rothe, Christian - In: Macroeconomic dynamics 12 (2008) 2, pp. 211-233
Persistent link: https://www.econbiz.de/10003686100
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Queuing theoretic approaches to financial price fluctuations
Bayraktar, Erhan; Horst, Ulrich; Sircar, Kaushik Ronnie - In: Financial engineering, (pp. 637-677). 2008
Persistent link: https://www.econbiz.de/10003567765
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Equilibrium pricing in incomplete markets under translation invariant preferences
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011
We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...
Persistent link: https://www.econbiz.de/10009379444
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Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011
We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents' endowments are spanned by the securities and if the agents have entropic utilities, an equilibrium exists and the agents' optimal trading strategies...
Persistent link: https://www.econbiz.de/10009379446
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Equilibrium pricing in incomplete markets under translation invariant preferences
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - In: Mathematics of operations research 41 (2016) 1, pp. 174-195
Persistent link: https://www.econbiz.de/10011448353
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Equilibria in financial markets with heterogeneous agents : a probabilistic perspective
Föllmer, Hans; Horst, Ulrich; Kirman, Alan P. - In: Journal of mathematical economics 41 (2005) 1/2, pp. 123-155
Persistent link: https://www.econbiz.de/10002643219
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Equilibrium pricing in incomplete markets under translation invariant preferences
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011
We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...
Persistent link: https://www.econbiz.de/10010281519
Cover Image
Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011
We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents' endowments are spanned by the securities and if the agents have entropic utilities, an equilibrium exists and the agents' optimal trading strategies...
Persistent link: https://www.econbiz.de/10010281543