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Publications of Jean-Pierre Zigrand

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Discussion Papers

Layered Networks, Equilibrium Dynamics, and Stable Coalitions

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

March 2022
DP 852
Jing Fu
Frank Page
Jean-Pierre Zigrand

Opinion Pieces

Moral hazard, the fear of the markets, and how central banks responded to Covid-19

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

January 2021
Mattia Bevilacqua
Lukas Brandl-Cheng
Jon Danielsson
Jean-Pierre Zigrand

Discussion Papers

Market Fragmentation and Contagion

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

August 2020
DP 812
Rohit Rahi
Jean-Pierre Zigrand

Opinion Pieces

The coronavirus crisis is no 2008

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

March 2020
Jon Danielsson
Robert Macrae
Dimitri Vayanos
Jean-Pierre Zigrand

Academic journals

Information acquisition, price informativeness, and welfare

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

September 2018
Rohit Rahi
Jean-Pierre Zigrand

Discussion Papers

Market Resilience

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

April 2018
Jon Danielsson
Efstathios Panayi
Gareth Peters
Jean-Pierre Zigrand

Discussion Papers

Information Acquisition, Price Informativeness and Welfare

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

April 2018
Rohit Rahi
Jean-Pierre Zigrand

Academic journals

Walrasian foundations for equilibria in segmented markets

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

February 2014
Rohit Rahi
Jean-Pierre Zigrand

Special Papers

Systems and Systemic Risk in Finance and Economics

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

January 2014
Jean-Pierre Zigrand

Discussion Papers

Walrasian Foundations for Equilibria in Segmented Markets

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

November 2013
Rohit Rahi
Jean-Pierre Zigrand

Discussion Papers

Market Quality and Contagion in Fragmented Markets

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

September 2013
Rohit Rahi
Jean-Pierre Zigrand

Reports

Foresight: The Future of Computer Trading in Financial Markets

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

Sir John Beddington
Dame Clara Furse
Philip Bond
Dave Cliff
Charles Goodhart
Kevin Houstoun
Oliver Linton
Jean-Pierre Zigrand

Discussion Papers

Balance Sheet Capacity and Endogenous Risk

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...

January 2011
DP 665
Jon Danielsson
Hyun Song Shin
Jean-Pierre Zigrand

Discussion Papers

Risk Appetite and Endogenous Risk

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

February 2010
DP 647
Jon Danielsson
Hyun Song Shin
Jean-Pierre Zigrand

Discussion Papers

Endogenous Liquidity and Contagion

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

August 2009
DP 637
Rohit Rahi
Jean-Pierre Zigrand

Discussion Papers

Strategic financial innovation in segmented markets

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

September 2007
DP 595
Rohit Rahi
Jean-Pierre Zigrand

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Liliana Varela awarded ERC Starting Grant

Dimitri Vayanos wins ERC Advanced Grant

A short explanation of socially-responsible finance, with Ma ...

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An Institutional Theory of the Firm

Secular Stagnation or Secular Stagflation

Finance Theory Group - 5th Summer Meeting

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Speculator Spreading Pressure and the Commodity Futures Risk ...

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Some Evidence of Regulatory Convergence

Delegation Chains

Bond Funds and Credit Risk

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