Jean-Pierre Zigrand

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

Houghton Street

London WC2A 2AE

United Kingdom

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

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SCHOLARLY PAPERS

17

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TOTAL CITATIONS
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Top 11,408

in Total Papers Citations

137

Scholarly Papers (17)

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1.

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
Downloads 2,292 (13,877)
Citation 24

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Square-root-of-time rule, time-scaling of risk, value-at-risk, systemic risk, risk regulation, jump diffusions

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 1,155 (39,414)
Citation 52

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Liquidity, Endogenous Risk, Financial Crises

3.

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 566 (102,669)
Citation 23

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General equilibrium; Value-at-risk; Risk regulation

4.

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 545 (107,587)
Citation 8

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value-at-risk, general equilibrium, financial regulation

5.

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, University of California Santa Barbara and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 399 (156,002)
Citation 3

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Liquidity Measures, Resilience, Limit Order Book, Liquidity Provision, Optimal Trade Execution

6.

The Calming of Short-Term Market Fears and Its Long-Term Consequences: The Central Banks’ Dilemma

Number of pages: 37 Posted: 01 Feb 2021 Last Revised: 22 Jan 2023
Mattia Bevilacqua, Jon Danielsson, Lerby Murat Ergun, Andreas Uthemann and Jean-Pierre Zigrand
University of Liverpool - Management School (ULMS), London School of Economics - Systemic Risk Centre, Bank of Canada, Bank of Canada and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 321 (197,943)

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Fed, COVID-19, FX Swap

7.

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, University of California Santa Barbara, London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 226 (283,082)
Citation 1

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

8.

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 224 (285,543)
Citation 1

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Arbitrage, segmented markets, networks, externalities

9.

Strategic Financial Innovation in Segmented Markets

Downloads 208 (306,363)
Citation 7

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 112 (517,671)
Citation 7

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Security design, arbitrage, intermediation, market segmentation

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 96 (579,218)

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Security design, arbitrage, intermediation, market segmentation

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

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D52, G12

10.

Rational Asset Pricing Implications from Realistic Trading Frictions

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 179 (351,713)
Citation 1

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Arbitrage, Trading Frictions, Asset Pricing, Informational Inefficiencies

11.

Market Fragmentation and Contagion

Number of pages: 30 Posted: 22 Sep 2020
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 163 (381,615)

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market fragmentation, inter-mediation, arbitrage, liquidity shocks, contagion

12.

A Theory of Strategic Intermediation and Endogenous Liquidity

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 152 (404,852)

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Liquidity, intermediation, arbitrage, restricted participation, contagion, market microstructure

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 124 (476,006)
Citation 11

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Heterogeneous valuations, information acquisition, learning externalities, welfare

14.

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 115 (504,238)
Citation 4

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Liquidity, intermediation, arbitrage, restricted participation, contagion, market microstructure

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 35 (938,216)
Citation 2

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Segmented markets, arbitrage, restricted participation

16.

Financial Innovation in Segmented Markets

Downloads 17 (1,144,308)

Financial Innovation in Segmented Markets

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 17 (1,181,558)
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Asset innovation, arbitrage, restricted participation, innovation games

Financial Innovation in Segmented Markets

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

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17.

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

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