Jean-Pierre Zigrand

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

Houghton Street

London WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

17

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5,420

SSRN CITATIONS
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Top 10,815

in Total Papers Citations

43

CROSSREF CITATIONS

72

Scholarly Papers (17)

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 1,996 (10,066)
Citation 29

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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 943 (31,427)
Citation 49

Abstract:

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Liquidity, Endogenous Risk, Financial Crises

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 483 (75,740)
Citation 7

Abstract:

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value-at-risk, general equilibrium, financial regulation

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 478 (76,708)
Citation 20

Abstract:

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General equilibrium; Value-at-risk; Risk regulation

5.

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

Number of pages: 52 Posted: 01 Feb 2021 Last Revised: 27 Apr 2021
Systemic Risk Centre - London School of Economics, Systemic Risk Centre - London School of Economics, 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 271 (144,599)

Abstract:

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Fed, COVID-19, FX Swap

6.

Market Resilience

Number of pages: 51 Posted: 11 May 2018
London School of Economics - Systemic Risk Centre, University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 218 (178,837)
Citation 3

Abstract:

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

7.

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 173 (220,111)
Citation 1

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Arbitrage, segmented markets, networks, externalities

8.

Designating Market Maker Behaviour in Limit Order Book Markets

Number of pages: 36 Posted: 19 Aug 2015
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Department of Statistical ScienceUniversity 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 170 (223,418)

Abstract:

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

9.

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 149 (249,415)
Citation 1

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Arbitrage, Trading Frictions, Asset Pricing, Informational Inefficiencies

10.
Downloads 145 (254,979)
Citation 13

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 84 (375,880)
Citation 1

Abstract:

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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 61 (449,613)

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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

Abstract:

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D52, G12

11.

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 126 (284,217)

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

12.

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 94 (347,268)
Citation 11

Abstract:

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Heterogeneous valuations, information acquisition, learning externalities, welfare

13.

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 89 (359,445)
Citation 4

Abstract:

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

14.

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 53 (473,332)

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

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 16 (678,910)
Citation 2

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Segmented markets, arbitrage, restricted participation

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 16 (703,168)
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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

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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