Zigrand, Jean-Pierre

Number of items: 46.
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  • Fu, Jing, Page, Frank, Zigrand, Jean-Pierre (2023). Centralized or decentralized? A principal agent game of network formation. In Proceedings of the 2023 IEEE Ninth International Conference on Big Data Computing Service and Applications: BigDataService 2023 (pp. 153 - 154). IEEE. https://doi.org/10.1109/BigDataService58306.2023.00031
  • Danielsson, Jon, Macrae, Robert, Vayanos, Dimitri, Zigrand, Jean-Pierre (2020). The coronavirus crisis is no 2008. VoxEU,
  • Danielsson, Jon, Macrae, Robert, Zigrand, Jean-Pierre (2016). On the financial market consequences of Brexit. VoxEU,
  • Danielsson, Jon, Zigrand, Jean-Pierre (2015). A proposed research and policy agenda for systemic risk. VoxEU,
  • Danielsson, Jon, Zigrand, Jean-Pierre (2015). Are asset managers systemically important? VoxEU,
  • Danielsson, Jon, Micheler, Eva, Neugebauer, Katja, Uthemann, Andreas, Zigrand, Jean-Pierre (2015). Europe’s proposed capital markets union: disruption will drive investment and innovation. VoxEU,
  • Linton, Oliver, O'Hara, Maureen, Zigrand, Jean-Pierre (2012). Economic impact assessments on MiFID II policy measures related to computer trading in financial markets. (Future of computer trading: working paper). Foresight, Government Office for Science.
  • Danielsson, Jon, Song Shin, Hyun, Zigrand, Jean-Pierre (2012). Endogenous extreme events and the dual role of prices. Annual Review of Economics, 4, 111-129. https://doi.org/10.1146/annurev-economics-080511-110930
  • Danielsson, Jon, Song Shin, Hyun, Zigrand, Jean-Pierre (2012). Endogenous and systemic risk. (NBER chapters 12054). National Bureau of Economic Research.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2009). Strategic financial innovation in segmented markets. Review of Financial Studies, 22(8), 2941-2971. https://doi.org/10.1093/rfs/hhn061
  • Danielsson, Jon, Zigrand, Jean-Pierre (2007). Regulating hedge funds. Financial Stability Review, 10(Spec.), 29-36.
  • Zigrand, Jean-Pierre (2006). Endogenous market integration, manipulation and limits to arbitrage. Journal of Mathematical Economics, 42(3), 301-314. https://doi.org/10.1016/j.jmateco.2004.12.010
  • Danielsson, Jon, Zigrand, Jean-Pierre (2006). On time-scaling of risk and the square-root-of-time rule. Journal of Banking and Finance, 30(10), 2701-2713. https://doi.org/10.1016/j.jbankfin.2005.10.002
  • Zigrand, Jean-Pierre (2005). Rational asset pricing implications from realistic trading frictions. Journal of Business of the University of Chicago, 78(3), 871-892. https://doi.org/10.1086/429647
  • Zigrand, Jean-Pierre (2004). A general equilibrium analysis of strategic arbitrage. Journal of Mathematical Economics, 40(8), 923-952. https://doi.org/10.1016/j.jmateco.2003.09.002
  • Rahi, Rohit, Zigrand, Jean-Pierre (2004). Strategic financial innovation in segmented markets. Centre for Economic Policy Research (Great Britain).
  • Zigrand, Jean-Pierre (2000). Physics of finance. In Greco, M. (Ed.), Les Rencontres De Physique De la Vallèe D'aoste - Results and Perspectives in Particle Physics . Istituto nazionale di fisica nucleare. Laboratori nazionali di Frascati.
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  • Fu, Jing, Page, Frank, Zigrand, Jean-Pierre (2023). Layered networks, equilibrium dynamics, and stable coalitions. Dynamic Games and Applications, 13(2), 636 – 668. https://doi.org/10.1007/s13235-022-00478-4 picture_as_pdf
  • Fu, Jing, Page, Frank, Zigrand, Jean-Pierre (2022). Layered networks, equilibrium dynamics, and stable coalitions. (Systemic Risk Centre Discussion Papers 117). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Rahi, Rohit, Zigrand, Jean-Pierre (2020). Market fragmentation and contagion. (Systemic Risk Centre Discussion Papers 102). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Rahi, Rohit, Zigrand, Jean-Pierre (2018). Information acquisition, price informativeness, and welfare. Journal of Economic Theory, 177, 558-593. https://doi.org/10.1016/j.jet.2018.07.007
  • Rahi, Rohit, Zigrand, Jean-Pierre (2018). Information acquisition, price informativeness and welfare. (Systemic Risk Centre Discussion Papers 77). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Danielsson, Jon, Panayi, Efstathios, Peters, Gareth, Zigrand, Jean-Pierre (2018). Market resilience. (Systemic Risk Centre Discussion Papers 78). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Danielsson, Jon, Macrae, Robert, Tsomocos, Dimitrios P., Zigrand, Jean-Pierre (2016). Why macropru can end up being procyclical. VoxEU,
  • Danielsson, Jon, Micheler, Eva, Neugebauer, Katja, Uthemann, Andreas, Zigrand, Jean-Pierre (2015). Europe’s proposed capital markets union: how disruptive technologies will drive investment and innovation.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2014). Walrasian foundations for equilibria in segmented markets. Mathematics and Financial Economics, 8(3), 249 - 264. https://doi.org/10.1007/s11579-014-0114-4
  • Zigrand, Jean-Pierre (2014). Systems and systemic risk in finance and economics. (Special Papers No 1). Systemic Risk Centre, The London School of Economics and Political Science.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2013). Walrasian foundations for equilibria in segmented markets. (Systemic Risk Centre Discussion Papers 6). Systemic Risk Centre, The London School of Economics and Political Science.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2013). Market quality and contagion in fragmented markets. (Systemic Risk Centre Discussion Papers 2). Systemic Risk Centre, The London School of Economics and Political Science.
  • Danielsson, Jon, Song Shin, Hyun, Zigrand, Jean-Pierre (2011). Balance sheet capacity and endogenous risk. (Financial Markets Group Discussion Papers 665). Financial Markets Group, The London School of Economics and Political Science.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2009). Endogenous liquidity and contagion. (Financial Markets Group Discussion Papers 637). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Danielsson, Jon, Zigrand, Jean-Pierre (2008). Equilibrium asset pricing with systemic risk. Economic Theory, 35(2), 293-319. https://doi.org/10.1007/s00199-007-0238-3
  • Rahi, Rohit, Zigrand, Jean-Pierre (2008). Arbitrage networks. Rohit Rahi and Jean-Pierre Zigrand.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2007). A theory of strategic intermediation and endogenous liquidity. Rohit Rahi and Jean-Pierre Zigrand.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2007). Strategic financial innovation in segmented markets. (Financial Markets Group Discussion Papers 595). Financial Markets Group, The London School of Economics and Political Science.
  • Danielsson, Jon, Zigrand, Jean-Pierre, Jorgensen, Bjørn N., Sarma, Mandira, de Vries, C. G. (2006). Consistent measures of risk. (Financial Markets Group Discussion Papers 565). Financial Markets Group, The London School of Economics and Political Science.
  • Danielsson, Jon, Zigrand, Jean-Pierre (2006). Equilibrium asset pricing with systemic risk. (Financial Markets Group Discussion Papers 561). Financial Markets Group, The London School of Economics and Political Science.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2006-04-06 - 2006-04-08) Arbitrage networks [Paper]. Decentralization Conference, Paris, France, FRA.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2004). Strategic financial innovation in segmented markets. (Financial Markets Group Discussion Papers 520). Financial Markets Group, The London School of Economics and Political Science.
  • Danielsson, Jon, Shin, Hyun Song, Zigrand, Jean-Pierre (2004). The impact of risk regulation on price dynamics. Journal of Banking and Finance, 28(5), 1069-1087. https://doi.org/10.1016/S0378-4266(03)00113-4
  • Danielsson, Jon, Zigrand, Jean-Pierre (2003). On time-scaling of risk and the square–root–of–time rule. (Financial Markets Group Discussion Papers 439). Financial Markets Group, The London School of Economics and Political Science.
  • Zigrand, Jean-Pierre (2002). Rational asset pricing implications from realistic trading frictions. (Discussion paper 414). Financial Markets Group, The London School of Economics and Political Science.
  • Danielsson, Jon, Shin, Hyun Song, Zigrand, Jean-Pierre (2001). Asset price dynamics with value-at-risk constrained traders. (Financial Markets Group Discussion Papers 394). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Zigrand, Jean-Pierre (2001). Rational limits to arbitrage. (Financial Markets Group Discussion Papers 392). Financial Markets Group, The London School of Economics and Political Science.
  • Zigrand, Jean-Pierre, Danielsson, Jon (2001). What happens when you regulate risk?: evidence from a simple equilibrium model. (Financial Markets Group Discussion Papers 393). Financial Markets Group, The London School of Economics and Political Science.
  • Zigrand, Jean-Pierre (1999). Arbitrage and endogenous market integration. (Financial Markets Group Discussion Papers 319). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf