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

16

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4,756

SSRN CITATIONS
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SSRN RANKINGS

Top 10,346

in Total Papers Citations

20

CROSSREF CITATIONS

71

Scholarly Papers (16)

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 1,796 (8,787)
Citation 24

Abstract:

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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 864 (26,973)
Citation 40

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 455 (62,931)
Citation 6

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 447 (64,258)
Citation 13

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General equilibrium; Value-at-risk; Risk regulation

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 (163,725)
Citation 1

Abstract:

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Fragmented markets, intermediation, arbitrage, liquidity, contagion

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 161 (185,767)

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Arbitrage, segmented markets, networks, externalities

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 (203,876)
Citation 1

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Arbitrage, Trading Frictions, Asset Pricing, Informational Inefficiencies

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 137 (212,372)

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

9.
Downloads 137 (212,372)
Citation 12

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 (310,705)

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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 (374,490)

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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

10.

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 (233,690)

Abstract:

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

11.

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 112 (247,144)
Citation 2

Abstract:

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

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 (294,623)
Citation 3

Abstract:

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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 81 (305,592)
Citation 5

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Heterogeneous valuations, information acquisition, learning externalities, welfare

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 (571,069)
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Asset innovation, arbitrage, restricted participation, innovation games

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

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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 13 (568,539)
Citation 1

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Segmented markets, arbitrage, restricted participation

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

Abstract:

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