The papers Second-Order Approximation of Limit Order Books in a Single-Scale Regime by Ulrich Horst, Dörte Kreher and Konstantins Starovoitovs and Extended Mean-Field Control Problems with Multi-Dimensional Singular Controls by Robert Denkert und Ulrich Horst are now available for download.
The paper Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies by U. Horst and E. Kivman has been accepted for publication in Finance and Stochastics.
Dr. Wei Xu who joined our team more than 6 years ago is leaving us effective June 30th to take up a new position as Associate Professor (tenure-track) at the Beijing Institute of Technology. It has been great pleasure for all of us woking with Wei and having him on our team for so many years. We thank Wei for the great work he did in Berlin, and for his remarkable commitment and dedication to Humboldt University. We wish him all the best and look forward to welcoming him back to HU whenever he finds the time to visit us.
Our team members Paul Hager, Konstantins Starovoitovs and Rouyi Zhang present their recent work at the upcoming SIFIN Conference in Philadelphia.
Ulrich Horst will be giving a keynote talk at the 11th General AMaMeF Conference in Bielefeld.
Ulrich Horst is giving a keynote speech at the upcoming conference Risk and Uncertainty in Finance and Economics in Johannesburg, South Africa.
The paper Mean-field liquidation games with market drop-out by Guanxing Fu, Paul Hager and Ulrich Horst is now available or download.
Our students Paul Hager, Konstantins Starovoitovs and Rouyi Zhang have been selected for presentations at the SIAM Conference on Financial Mathematics and Engineering (FM23) that takes place in Philadelphia June 6 - 9, 2023.
Ulrich Horst presents the paper Mean-field liquidation games with market drop-out at Columbia University on Feb 16th,
Our students Robert Denkert, Konstantins Starovoitovs and Rouyi Zhang have been selected for presentations at the German Probability Days.
The paper A maximum principle approach to a deterministic mean field game of control with absorption by Paulwin Graewe, Ulrich Horst and Ronnie Sircar has been accepted for publication in SIAM J. Control and Optimization.
The paper A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies by G. Hu, U. Horst and X. Xia is now available for download.
Our team member Paul Hager has been awarded one of the three annual MATH+ Dissertation prizes! Congratulations!
The paper Portfolio liquidation games with self exciting order flow by G. Fu, U.Horst and X. Xia has been accepted for publication in Mathematical Finance.
We are giving a mini course on optimal liquidation models at Soochow University. The following papers will be reviewed:
- Optimal trade execution under endogenous order flow (Y. Chen, U. Horst & H.H. Tran)
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies (U. Horst, E. Kivman)
- Portfolio liquidation games with self exciting order flow (G. Fu, U.Horst, X. Xia)
- A mean-field game of optimal portfolio liquidation, Mathematics of Operations Research, 46(4):1250-1281 (2021) (Guanxing Fu, Paulwin Graewe, Ulrich Horst & Alexandre Popier)
- Optimal trade execution with instantaneous price impact and stochastic resilience; SIAM J. Control and Optimization, 55(6), 3707–3725 (2017) (Paulwin Graewe & Ulrich Horst)
Huilin Zhang, Center of Mathematics and Interdisciplinary Sciences, Shandong University, Qingdao, China is visiting us for 6 months.
The paper The microstructure of stochastic volatility models with self-exciting jump dynamics by Ulrich Horst and Wei Xu has been accepted for publication in The Annals of Applied Probability.
Effective Dec 1st, Dr. Huafu Liao joined our team as a postdoctoral student from NUS Singapore. Welcome!
The paper Optimal trade execution under endogenous order flow by Ying Chen, Ulrich Horst and Hoang Hai Tran is now available for download.
Evgueni Kivman, Cassandra Milbradt and Wei Xu will present their current research at the GPSD in Mannheim.
Our research will soon be presented at the 10th General AMaMeF Conference in Padova, the Financial Mathematics/ Engineering Seminar Series associated to Hong Kong Consortium of Quantitative Finance and the 10th World Congress in Probability and Statistics.
We are currently looking for a full time postdoctoral student joining our team in the summer/fall. The appointment will be for 3 years. The successful candidate holds a PhD in mathematics or a related field and has a strong background in probability theory and stochastic analysis. Preference will be given to candidates with a research focus in one of the following areas: stochastic control, stochastic games (including mean-field games), branching processes, Hawkes processes. The position is compensated according to the German wage scale E13, TVL; the teaching load is 4h per week.
Interested candidates should send their application including a cover letter, CV and list of publication by email to firstname.lastname@example.org or via regular mail to
Humboldt University Berlin
Department of Mathematics
Prof. Ulrich Horst
Unter den Linden 6
They should also arrange for at least one letter of recommendation to be send directly to the email above. Here is the link to the official job ad (in German). Please refer to the reference number AN/109/21 in your cover letter. The deadline for application is June 8th.
Effective May 1st Robert Denkert joins our team as a new PhD student. Rouyi Zhang joins us as a new PhD student effective June 1st. Welcome to both!
The paper Bubbles in discrete time models by Martin Herdegen and Dörte Kreher is now available for download.
The paper A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption by Paulwin Graewe, Ulrich Horst and Ronnie Sircar is now available for download.
The paper Small impact analysis in stochastically illiquid markets by U. Horst and E. Kivman is now available for download.
The paper Robust contracting in general contract spaces by Julio Backhoff-Veraguas, Patrick Beissner and Ulrich Horst has been accepted for publication in Economic Theory.
The paper Portfolio liquidation under factor uncertaint by Ulrich Horst, Xiaonyu Xia & Chao Zhou has been accepted for publication in The Annals of Applied Probability.
The paper Functionall limit theorems for marked Hawkes point measures by Ulrich Horst & Wei Xu has been accepted for publication in SPA.
The paper Portfolio Liquidation Games with Self Exciting Order Flow by G. Fu, U. Horst and X. Xi his now available for download.
The viewing is scheduled for Oct. 27 at 9am; Room 1.233.
Two new PhD students, Gevorg Adamyan and Konstantins Starovoitovs joined our team today. Welcome!
The paper A mean-field game of optimal portfolio liquidation by Guanxing Fu, Paulwin Graewe, Ulrich Horst & Alexandre Popier has been accepted for publication in Mathematics of Operations Research.
The course on stochastic analysis will be offered online (inverted-classroom format). The game-theory course will be offered as a 4h course starting end of May. Please visit the course webpages for further information.
The paper Mean-field leader-follower games with terminal state constraint has been accepted for publication in SIAM J. Control and Optimization.
The paper Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint has been accepted for publication in Applied Mathematics and Optimization.
Jana Bielagk won the Faculty Teaching Award! Congratulations.
The paper Portfolio liquidation under transient price impact - theoretical solution and implementation with 100 NASDAQ stocks by Ying Chen, Ulrich Horst and Hoang Hai Tran is now available for download.
The paper The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics by Ulrich Horst and Wei Xu is now available for download.
The paper Robust Contracting in General Contract Spaces by J. Backhoff-Veraguas, P. Beissner and U. Horst is now available for download.
Dr. Sima Mehri joint us as a postdoctoral student from Technical University Berlin effective October 1st. Welcome!
The paper Portfolio liquidation under factor uncertainty by Ulrich Horst, Xiaonyu Xia and Chao Zhou is now available on arXiv.
The paper Functional Limit Theorems for Marked Hawkes Point Measures by Ulrich Horst and Wei Xu is now available on arXiv.
The course content relevant for the first exam date comprises everything up to and including the definition of solutions to SPDEs.
Very Well Done! The viewing is scheduled for April 9th, at 9:30 am in RUD 25, room 2.232
Here are the grades of the FiMa exam of April 1st.
The paper Multidimensional optimal trade execution under stochastic resilience by U. Horst and X. Xia has been accepted for publication in Finance & Stochastics.
Here are the grades of the financial math exam. An exam viewing will be scheduled for early April.
Here are of the grades of the game theory exam. The viewing of the exam is scheduled for Tue, Feb 19 at 14:oo in RUD 25, Room 1.232 (Dr. Klishchuk).
The paper A scaling limit for limit order books driven by Hawkes processes by Ulrich Horst and Wei Xu has been accepted for publication by SIAM J. Financial Mathematics.
The paper A diffusion approximation for limit order book models by U. Horst and D. Kreher has bene accepted for publication in Stochastic Processes and Their Applications.
The DFG has approved a joint proposal by Ulrich Horst and Michael Ziergut (HU, Econ) to host the XXVIII. European Workshop on Economic Theory at HUB in 2019.
Ulrich Horst presented the paper Mean-field leader-follower games with state constraints at Princeton University and Columbia University.
Die Klausureinsicht Analysis II* findet statt am 18.10. von 13:30 bis 14:30 Uhr in RUD 25, 1.214.
Hier finden Sie die Ergebnisse der Klausur Analysis II*.
Die Klausureinsicht findet am Donnerstag, den 18.10.2018, 13:30-14:00 in Raum 1.214 (RUD25) statt.
Hier finden Sie die Klausurergebnisse Stochastik I vom 09.10.2018.
The paper Trading under market impact - crossing networks interacting with dealer markets by Jana Bielagk, Ulrich Horst and Santiago Moreno-Bromberg has been accepted for publication in Journal of Economic Dynamics and Control.
A warm welcome to Bogdan Klishchuk who joined us from the Australian National University!
Hinweise zur Klausur Analysis II* am 24. Juli. Es sind keine Hilfsmittel zugelassen. Ein Taschenrechner ist nicht notwendig. Es gibt 9 Aufgaben; es werden insgesamt 30 Punkte vergeben. Ausgangspunkt für die Bewertung sind 26 Punkte; insbesondere gilt die Klausur als bestanden, wenn 13 Punkte erreicht wurden.
The teaching evaluation of the real analysis course is now available. Thanks to those who participated!
Einblicke in die fachliche und technologische Beratungspraxis: Montag, 25 Juni im Adina Apartment Hotel Berlin; Checkpoint Charlie; Krausenstraße 35 – 36; 10117 Berlin. Jetzt bewerben! Mehr Informationen hier.
Our application for a Joint Projects Grant in the Profile Partnership between Humboldt-Universität zu Berlin and the National University of Singapore was selected for funding. The lead Principal Investigators are Ulrich Horst and Dörte Kreher at HU and Ying Chen and Chao Zhou at NUS.