Items where Author is "Zigrand, Jean-Pierre"

Article

Fu, Jing, Page, Frank and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2023) Layered networks, equilibrium dynamics, and stable coalitions. Dynamic Games and Applications, 13 (2). 636 – 668. ISSN 2153-0785

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert, Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2020) The coronavirus crisis is no 2008. VoxEU.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2018) Information acquisition, price informativeness, and welfare. Journal of Economic Theory, 177. pp. 558-593. ISSN 1095-7235

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert, Tsomocos, Dimitrios P. and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2016) Why macropru can end up being procyclical. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2016) On the financial market consequences of Brexit. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2015) A proposed research and policy agenda for systemic risk. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2015) Are asset managers systemically important? VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Micheler, Eva ORCID: 0000-0002-7922-2436, Neugebauer, Katja, Uthemann, Andreas ORCID: 0000-0002-7942-8530 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2015) Europe’s proposed capital markets union: disruption will drive investment and innovation. VoxEU.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2014) Walrasian foundations for equilibria in segmented markets. Mathematics and Financial Economics, 8 (3). 249 - 264. ISSN 1862-9679

Danielsson, Jon ORCID: 0009-0006-9844-7960, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2012) Endogenous extreme events and the dual role of prices. Annual Review of Economics, 4. pp. 111-129. ISSN 1941-1383

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2009) Strategic financial innovation in segmented markets. Review of Financial Studies, 22 (8). pp. 2941-2971. ISSN 0893-9454

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2008) Equilibrium asset pricing with systemic risk. Economic Theory, 35 (2). pp. 293-319. ISSN 0938-2259

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2007) Regulating hedge funds. Financial Stability Review, 10 (Spec.). pp. 29-36. ISSN 1636-6964

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2006) Endogenous market integration, manipulation and limits to arbitrage. Journal of Mathematical Economics, 42 (3). pp. 301-314. ISSN 0304-4068

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2006) On time-scaling of risk and the square-root-of-time rule. Journal of Banking and Finance, 30 (10). pp. 2701-2713. ISSN 0378-4266

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2005) Rational asset pricing implications from realistic trading frictions. Journal of Business, 78 (3). pp. 871-892. ISSN 0740-9168

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2004) A general equilibrium analysis of strategic arbitrage. Journal of Mathematical Economics, 40 (8). pp. 923-952. ISSN 0304-4068

Danielsson, Jon ORCID: 0009-0006-9844-7960, Shin, Hyun Song and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2004) The impact of risk regulation on price dynamics. Journal of Banking and Finance, 28 (5). pp. 1069-1087. ISSN 0378-4266

Book Section

Fu, Jing, Page, Frank and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (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. IEEE International Conference on Big Data Computing Service and Applications (BigDataService). IEEE, 153 - 154. ISBN 9798350335347

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2000) Physics of finance. In: Greco, Mario, (ed.) Les Rencontres De Physique De la Vallèe D'aoste - Results and Perspectives in Particle Physics. Friscati physics series (17). Istituto nazionale di fisica nucleare. Laboratori nazionali di Frascati, Rome, Italy. ISBN 9788886409230

Monograph

Fu, Jing, Page, Frank and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (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, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2020) Market fragmentation and contagion. Systemic Risk Centre Discussion Papers (102). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2018) Information acquisition, price informativeness and welfare. Systemic Risk Centre Discussion Papers (77). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Panayi, Efstathios, Peters, Gareth and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2018) Market resilience. Systemic Risk Centre Discussion Papers (78). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2014) Systems and systemic risk in finance and economics. Special Papers (No 1). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (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, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (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, London, UK.

Linton, Oliver, O'Hara, Maureen and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (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, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2012) Endogenous and systemic risk. NBER chapters (12054). National Bureau of Economic Research, Massachusetts, USA.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2011) Balance sheet capacity and endogenous risk. Financial Markets Group Discussion Papers (665). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2009) Endogenous liquidity and contagion. Financial Markets Group Discussion Papers (637). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2008) Arbitrage networks. . Rohit Rahi and Jean-Pierre Zigrand, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2007) A theory of strategic intermediation and endogenous liquidity. . Rohit Rahi and Jean-Pierre Zigrand, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2007) Strategic financial innovation in segmented markets. Financial Markets Group Discussion Papers (595). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231, Jorgensen, Bjørn N., Sarma, Mandira and 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, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2006) Equilibrium asset pricing with systemic risk. Financial Markets Group Discussion Papers (561). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2004) Strategic financial innovation in segmented markets. Financial Markets Group Discussion Papers (520). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2004) Strategic financial innovation in segmented markets. . Centre for Economic Policy Research (Great Britain), London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (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, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2002) Rational asset pricing implications from realistic trading frictions. Discussion paper (414). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Shin, Hyun Song and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (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, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2001) Rational limits to arbitrage. Financial Markets Group Discussion Papers (392). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 and Danielsson, Jon ORCID: 0009-0006-9844-7960 (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, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (1999) Arbitrage and endogenous market integration. Financial Markets Group Discussion Papers (319). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Conference or Workshop Item

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2006) Arbitrage networks. In: Decentralization Conference, 2006-04-06 - 2006-04-08, Paris, France, FRA. (Submitted)

Online resource

Danielsson, Jon ORCID: 0009-0006-9844-7960, Micheler, Eva ORCID: 0000-0002-7922-2436, Neugebauer, Katja, Uthemann, Andreas ORCID: 0000-0002-7942-8530 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2015) Europe’s proposed capital markets union: how disruptive technologies will drive investment and innovation. LSE European Politics and Policy (EUROPP) Blog (23 Feb 2015). Website.