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- Optimal trade execution under endogenous order flow (Y. Chen, U. Horst & H.H. Tran)
- Bubbles in discrete time models (M. Herdegen & D. Kreher)
- Jump diffusion approximation for the price dynamics of a fully state dependent limit order book model (D. Kreher & C. Milbradt)
- A maximum principle approach to deterministic mean field games of control with absorption (P. Graewe, U. Horst & R. Sircar)
- Small impact analysis in stochastically illiquid markets (U. Horst, E. Kivman)
- Portfolio liquidation games with self exciting order flow (G. Fu, U.Horst, X. Xia)
- Portfolio liquidation under transient price impact - theoretical solution and implementation with 100 NASDAQ stocks (Y. Chen, U. Horst & H.H. Tran)
- The microstructure of stochastic volatility models with self-exciting jump dynamics (U. Horst & W. Xu)