Author Page for Jean-Pierre Zigrand

On Time-Scaling of Risk and the Square-Root-Of-Time Rule

EFA 2004 Maastricht Meetings Paper No. 5339

Number of pages: 25 Posted: 23 Jul 2004

Jon Danielsson and Jean-Pierre Zigrand

London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

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Citation 24

Abstract:

2.

Procyclical Leverage and Endogenous Risk

Number of pages: 43 Posted: 17 Mar 2009 Last Revised: 05 Oct 2012

Jon Danielsson, Hyun Song Shin and Jean-Pierre Zigrand

London School of Economics - Systemic Risk Centre, Bank for International Settlements (BIS) and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 872 (27,511)

Citation 41

Abstract:

3.

Asset Price Dynamics with Value-at-Risk Constrained Traders

London School of Economics Financial Markets Group Discussion Paper No. 394; EFA 2002 Berlin Meetings Presented Paper

Number of pages: 25 Posted: 12 Mar 2002

Jon Danielsson, Jean-Pierre Zigrand and Hyun Song Shin

London School of Economics - Systemic Risk Centre, London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group and Bank for International Settlements (BIS)

Downloads 459 (64,274)

Citation 5

Abstract:

4.

What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model

Number of pages: 42 Posted: 13 Nov 2001

Jon Danielsson and Jean-Pierre Zigrand

London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 449 (65,959)

Citation 13

Abstract:

5.

Market Quality and Contagion in Fragmented Markets

Number of pages: 37 Posted: 07 Jul 2009 Last Revised: 25 Jan 2013

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 186 (168,582)

Citation 2

Abstract:

6.

Arbitrage Networks

Number of pages: 35 Posted: 07 Jul 2009 Last Revised: 17 Nov 2013

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 162 (190,220)

Abstract:

7.

Rational Asset Pricing Implications from Realistic Trading Frictions

EFA 2002 Berlin Meetings Presented Paper

Number of pages: 27 Posted: 22 Mar 2002

Jean-Pierre Zigrand

London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 144 (210,065)

Citation 1

Abstract:

8.

Designating Market Maker Behaviour in Limit Order Book Markets

Number of pages: 36 Posted: 19 Aug 2015

Efstathios Panayi, Gareth Peters, Jon Danielsson and Jean-Pierre Zigrand

University College London - Financial Computing and Analytics Group, Department of Computer Science, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 138 (217,296)

Abstract:

9.

Strategic Financial Innovation in Segmented Markets

Downloads 137 (218,620)

Citation 13

3

Strategic Financial Innovation in Segmented Markets

Review of Financial Studies, Forthcoming

Number of pages: 34 Posted: 11 Oct 2007

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 80 (319,673)

Abstract:

Strategic Financial Innovation in Segmented Markets

Number of pages: 34 Posted: 27 Sep 2007

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 57 (385,205)

Abstract:

Strategic Financial Innovation in Segmented Markets

The Review of Financial Studies, Vol. 22, Issue 8, pp. 2941-2971, 2009

Posted: 05 Aug 2009

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Abstract:

10.

Market Resilience

Number of pages: 51 Posted: 11 May 2018

Jon Danielsson, Efstathios Panayi, Gareth Peters and Jean-Pierre Zigrand

London School of Economics - Systemic Risk Centre, University College London - Financial Computing and Analytics Group, Department of Computer Science, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 131 (226,495)

Citation 2

Abstract:

11.

A Theory of Strategic Intermediation and Endogenous Liquidity

EFA 2004 Maastricht Meetings Paper No. 5330

Number of pages: 35 Posted: 23 Jun 2004

Jean-Pierre Zigrand

London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 121 (240,446)

Abstract:

12.

A Theory of Strategic Intermediation and Endogenous Liquidity

Number of pages: 32 Posted: 14 Nov 2007 Last Revised: 06 Jan 2008

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 86 (303,055)

Citation 3

Abstract:

13.

Information Acquisition, Price Informativeness, and Welfare

Journal of Economic Theory (2018), 177:558–593

Number of pages: 36 Posted: 31 Oct 2014 Last Revised: 04 Aug 2018

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 81 (314,315)

Citation 6

Abstract:

14.

Financial Innovation in Segmented Markets

Downloads 16 (565,834)

2

Financial Innovation in Segmented Markets

CEPR Discussion Paper No. 4176

Number of pages: 43 Posted: 11 Feb 2004

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 16 (587,140)

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Abstract:

Financial Innovation in Segmented Markets

EFA 2003 Annual Conference Paper No. 781

Posted: 12 Oct 2007

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Abstract:

15.

Walrasian Foundations for Equilibria in Segmented Markets

Number of pages: 19 Posted: 16 Oct 2013

Rohit Rahi and Jean-Pierre Zigrand

London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Downloads 14 (578,544)

Citation 1

Abstract:

16.

Endogenous Extreme Events and the Dual Role of Prices

Annual Review of Economics, Vol. 4, pp. 111-129, 2012

Posted: 01 Sep 2012

Jon Danielsson, Hyun Song Shin and Jean-Pierre Zigrand

London School of Economics - Systemic Risk Centre, Bank for International Settlements (BIS) and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Jean-Pierre Zigrand

London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

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Scholarly Papers (16)

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Financial Innovation in Segmented Markets

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