Zigrand, Jean-Pierre

Dr Jean-Pierre Zigrand  

Department

Position held

Associate Professor (Reader) in Finance

 

Co-Director

 

Experience keywords:

asset pricing; financial intermediation theory; general equilibrium theory

Languages:

French [Spoken: Fluent, Written: Fluent]; German [Spoken: Fluent, Written: Fluent]; Luxembourgish [Spoken: Fluent, Written: Fluent]

Contact Points

LSE phone number:

+44 (0)20 7955 6201

Publications

2016

Danielsson, Jon and Macrae, Robert and Zigrand, Jean-Pierre (2016) On the financial market consequences of Brexit VoxEU.org (24 Jun 2016) opinion

Danielsson, Jon and Macrae, Robert and Tsomocos, Dimitrios P. and Zigrand, Jean-Pierre (2016) Why macropru can end up being procyclical VoxEU.org (15 Dec 2016) opinion

2015

Danielsson, Jon and Micheler, Eva and Neugebauer, Katja and Uthemann, Andreas and Zigrand, Jean-Pierre (2015) Europe’s proposed capital markets union: disruption will drive investment and innovation VoxEU.org (23 Feb 2015) opinion

Danielsson, Jon and Zigrand, Jean-Pierre (2015) Are asset managers systemically important? VoxEU.org (5 Aug 2015) opinion

Danielsson, Jon and Zigrand, Jean-Pierre (2015) A proposed research and policy agenda for systemic risk VoxEU.org (7 Aug 2015) opinion

Danielsson, Jon and Micheler, Eva and Neugebauer, Katja and Uthemann, Andreas and Zigrand, Jean-Pierre (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) Blog entry

2014

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

Rahi, Rohit and Zigrand, Jean-Pierre (2014) Walrasian foundations for equilibria in segmented markets Mathematics and Financial Economics, 8 (3). 249-264. ISSN 1862-9679

2013

Rahi, Rohit and Zigrand, Jean-Pierre (2013) Market quality and contagion in fragmented markets SRC Discussion Paper, No 2. Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Rahi, Rohit and Zigrand, Jean-Pierre (2013) Walrasian foundations for equilibria in segmented markets SRC Discussion Paper, No 6. Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

2012

Linton, Oliver and O'Hara, Maureen and 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, London, UK.

Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre (2012) Endogenous extreme events and the dual role of prices Annual Review of Economics, 4. 111-129. ISSN 1941-1383

Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre (2012) Endogenous and systemic risk NBER chapters, 12054. National Bureau of Economic Research, Massachusetts, USA.

Beddington, John and Furse, Clara and Bond, Philip and Cliff, Dave and Goodhart, Charles and Houstoun, Kevin and Linton, Oliver and Zigrand, Jean-Pierre (2012) Foresight: the future of computer trading in financial markets: final project report The London School of Economics and Political Science, Systemic Risk Centre, London, UK.

2011

Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre (2011) Balance sheet capacity and endogenous risk FMG discussion paper series, 665. Financial Markets Group, London School of Economics and Political Science, London, UK.

2009

Rahi, Rohit and Zigrand, Jean-Pierre (2009) Strategic financial innovation in segmented markets Review of Financial Studies, 22 (8). 2941-2971. ISSN 0893-9454

Rahi, Rohit and Zigrand, Jean-Pierre (2009) Endogenous liquidity and contagion Discussion paper, 637. Financial Markets Group, London School of Economics and Political Science, London, UK.

2008

Danielsson, Jon and Zigrand, Jean-Pierre (2008) Equilibrium asset pricing with systemic risk Economic Theory, 35 (2). 293-319. ISSN 1432-0479

Rahi, Rohit and Zigrand, Jean-Pierre (2008) Arbitrage networks Rohit Rahi and Jean-Pierre Zigrand, London, UK.

2007

Rahi, Rohit and Zigrand, Jean-Pierre (2007) Strategic financial innovation in segmented markets Discussion paper, 595. Financial Markets Group, London School of Economics and Political Science, London, UK.

Rahi, Rohit and Zigrand, Jean-Pierre (2007) A theory of strategic intermediation and endogenous liquidity Rohit Rahi and Jean-Pierre Zigrand, London, UK.

Danielsson, Jon and Zigrand, Jean-Pierre (2007) Regulating hedge funds Financial Stability Review, 10 (Spec.). 29-36. ISSN 1636-6964

2006

Rahi, Rohit and Zigrand, Jean-Pierre (2006) Arbitrage networks. In: Decentralization Conference, 6 - 8 April 2006, Université Paris 1 Panthéon Sorbonne

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

Danielsson, Jon and 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. ISSN 0378-4266

Danielsson, Jon and Zigrand, Jean-Pierre (2006) Equilibrium asset pricing with systemic risk Discussion paper, 561. Financial Markets Group, London School of Economics and Political Science, London, UK.

Danielsson, Jon and Zigrand, Jean-Pierre and Jorgensen, Bjørn N. and Sarma, Mandira and de Vries, C. G. (2006) Consistent measures of risk Discussion paper, 565. Financial Markets Group, London School of Economics and Political Science, London, UK.

2005

Zigrand, Jean-Pierre (2005) Rational asset pricing implications from realistic trading frictions Journal of Business, 78 (3). 871-892. ISSN 0740-9168

2004

Zigrand, Jean-Pierre (2004) A general equilibrium analysis of strategic arbitrage Journal of Mathematical Economics, 40 (8). 923-952. ISSN 0304-4068

Rahi, Rohit and Zigrand, Jean-Pierre (2004) Strategic financial innovation in segmented markets 4176. Centre for Economic Policy Research, London, UK.

Rahi, Rohit and Zigrand, Jean-Pierre (2004) Strategic financial innovation in segmented markets Discussion paper, 520. Financial Markets Group, London School of Economics and Political Science, London, UK.

Danielsson, Jon and Shin, Hyun Song and Zigrand, Jean-Pierre (2004) The impact of risk regulation on price dynamics Journal of Banking and Finance, 28 (5). 1069-1087. ISSN 0378-4266

Danielsson, Jon and Taylor, Ashley and Zigrand, Jean-Pierre (2004) Highwaymen or heroes: should hedge funds be regulated? Discussion paper: IAM Series No 004, 518. Financial Markets Group, London School of Economics and Political Science, London, UK.

2003

Danielsson, Jon and Zigrand, Jean-Pierre (2003) On time-scaling of risk and the square–root–of–time rule Discussion paper, 439. Financial Markets Group, London School of Economics and Political Science, London, UK.

2002

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

2001

Zigrand, Jean-Pierre (2001) Rational limits to arbitrage Discussion paper, 392. Financial Markets Group, London School of Economics and Political Science, London, UK.

Zigrand, Jean-Pierre and Danielsson, Jon (2001) What happens when you regulate risk?: evidence from a simple equilibrium model Discussion paper, 393. Financial Markets Group, London School of Economics and Political Science, London, UK.

2000

Zigrand, Jean-Pierre (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). INFN Laboratori Nazionali di Frascati, Rome, Italy. ISBN 9788886409230

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