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

16

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SSRN CITATIONS
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24

CROSSREF CITATIONS

74

Scholarly Papers (16)

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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 1,861 (9,212)
Citation 25

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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 894 (28,253)
Citation 43

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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 466 (66,747)
Citation 7

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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 456 (68,557)
Citation 19

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General equilibrium; Value-at-risk; Risk regulation

5.

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 164 (198,195)

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Arbitrage, segmented markets, networks, externalities

6.

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 145 (219,675)
Citation 1

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Arbitrage, Trading Frictions, Asset Pricing, Informational Inefficiencies

7.

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 144 (220,867)
Citation 3

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

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 144 (220,867)

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

9.

Strategic Financial Innovation in Segmented Markets

Downloads 138 (228,493)
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 81 (333,209)
Citation 1

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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 57 (403,985)

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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.

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 122 (251,306)

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

11.

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 87 (315,946)
Citation 6

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Heterogeneous valuations, information acquisition, learning externalities, welfare

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 87 (315,946)
Citation 3

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

13.

Financial Innovation in Segmented Markets

Downloads 16 (593,446)

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 (615,384)
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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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14.

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 15 (600,131)
Citation 1

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Segmented markets, arbitrage, restricted participation

15.

Market Fragmentation and Contagion

Number of pages: 30
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 1

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Market fragmentation, intermediation, arbitrage, liquidity shocks, contagion.

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

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