Jean-Pierre Zigrand
My work on networks, segmented markets and arbitrage:
Layered Networks, Equilibrium Dynamics, and Stable Coalitions (with Jing Fu and Frank Page) [2023 (forthcoming), Dynamic Games and Applications]
Systemic Risk and the Dynamics of Temporary Financial Networks (with Frank Page and Rui Gong) [old version: SRC DIscussion Paper 62]
Arbitrage Categories [2023]
[work in progress, please inquire]
Common Knowledge, Coordination and Rational Limits to Arbitrage [2023]
[work in progress, please inquire]
Arbitrage Networks (with Rohit Rahi) [2023, preliminary working paper]
Market Fragmentation and Contagion (with Rohit Rahi) [2020, SRC Discussion Paper 102, FMG Discussion Paper 812]
Walrasian Foundations for Equilibria in Segmented Markets (with Rohit Rahi) [2014, Mathematics and Financial Economics, Volume 8, 249-264.]
What do Network Theory and Endogenous Risk Theory have to say about the effects of CCPs on Systemic Stability? [2010, Banque de France Financial Stability Review, 14]
Strategic Financial Innovation in Segmented Markets (with Rohit Rahi) [2009, Review of Financial Studies, Volume 22(8), 2941-2971]
Endogenous Market Integration, Manipulation and Limits to Arbitrage [2006, Journal of Mathematical Economics, 42, 301-314]
Rational Asset Pricing Implications from Realistic Trading Frictions [2005, Journal of Business, 78-3, 871-892]
A General Equilibrium Analysis of Strategic Arbitrage [2004, Journal of Mathematical Economics, 40, 923–952]
My work on Endogenous Risk, Liquidity, Crises and Regulation:
The calming of short-term market fears and its long-term consequences: The central banks’ dilemma [2023, with Jon Danielsson, Lerby Ergun and Andreas Uthemann]
[working paper link]
Market Resilience (with Jon Danielsson, Efstathios Panayi and Gareth Peters) [2018, SRC DP78]
Designating market maker behaviour in Limit Order Book markets (with Jon Danielsson, Gareth Peters and Stathi Panayi) [2018, Econometrics and Statistics, 5, 20-44]
Shocked about news shocks? (with Jon Danielsson, Lerby Ergun, Andreas Uthemann and Paul Whelan)
[work in progress, please inquire]
Adding Fuel to the Fire: Trading quality single-stock bubbles (with Jon Danielsson, Phillip Adämmer and Yves Klemmer)
[[work in progress, please inquire]
Endogenous Extreme Events and the Dual Role of Prices (with Jon Danielsson and Hyun Song Shin) [2012, Annual Reviews in Economics, Volume 4 on the Economics of Extreme Events, 111-129]
Endogenous and Systemic Risk (with Jon Danielsson and Hyun Song Shin) [2012, chapter in NBER book Quantifying Systemic Risk (2013), edited by Joseph G. Haubrich and Andrew W. Lo (p. 73 - 94), University of Chicago Press]
Fundamental Liquidity [2011, Revue de Stabilité Financière de la Banque Centrale du Luxembourg, 106-114]
Modelling Financial Turmoil through Endogenous Risk and Risk Appetite [2010, Revue de Stabilité Financière de la Banque Centrale du Luxembourg]
Equilibrium Asset Pricing with Systemic Risk (with Jon Danielsson) [2008, Economic Theory, 35/2]
Regulating Hedge Funds (with Jon Danielsson) [2007, Banque de France Financial Stability Review– Special Issue on Hedge Funds, No. 10]
On Time-Scaling of Risk and the Square-Root-of-Time Rule (with Jon Danielsson) [2006, Journal of Banking and Finance, 30, 2701-2713]
Highwaymen or Heroes? Should Hedge Funds be Regulated? A Survey (with Jon Danielsson and Ashley Taylor) [2-5, Journal of Financial Stability, 1, 522-543]
The Impact of Risk-Regulation on Price Dynamics (with Jon Danielsson and Hyun Shin) [2004, Journal of Banking and Finance, 28, 1069–1087]
My work on repeat sales indices and collectables
Book Value: The investment performance of collectable books (with Andrew Rudd) [2023]
[work in progress, please check back soon]
The economics and statistics of repeat-sales indices (with Anurag Banerjee and Oliver Linton) [2023]
[work in progress, please check back soon]