Publications of Jean-Pierre Zigrand

An important aspect of network dynamics that has been missing from our understanding of network dynamics in various applied settings is the influence...

While the direct economic consequences of Covid-19 have been significant, the impact on the financial markets has been more nuanced. This column uses...

We study the transmission of liquidity shocks from one sector of the economy to other sectors in a general equilibrium model with multiple trading...

Many comparisons have been made between the coronavirus crisis and the global systemic crisis in 2008. This column argues that seen through the lens...

Journal of Economic Theory, Volume 177, Pages 558-593.

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...

We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...

Mathematics and Financial Economics, Volume 8, pages 249–264.

This paper examines the concept of systemic risk and provides an intuitive account of the economic thought on systems and the development of the...

We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...

Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...

SRC researchers were involved in a study that explores how computer generated trading in financial markets will evolve over the next 10 years. The...

Banks operating under Value-at-Risk constraints give rise to a well-defined aggregate balance sheet capacity for the banking sector as a whole that...

Risk is endogenous. Equilibrium risk is the fixed point of the mapping that takes perceived risk to actual risk. When risk-neutral traders operate...

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent definition...

We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market...