Details about Jean-Pierre Zigrand

Access statistics for papers by Jean-Pierre Zigrand.

Last updated 2020-03-07. Update your information in the RePEc Author Service.

Short-id: pzi2

Working Papers

2010

1. Risk Appetite and Endogenous Risk
   FMG Discussion Papers, Financial Markets Group View citations (28)

2009

2. Endogenous Liquidity and Contagion
   FMG Discussion Papers, Financial Markets Group

2007

3. Strategic Financial Innovation in Segmented Markets
   FMG Discussion Papers, Financial Markets Group View citations (6)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
   FMG Discussion Papers, Financial Markets Group (2004)
   See also Journal Article Strategic Financial Innovation in Segmented Markets, The Review of Financial Studies, Society for Financial Studies (2009) View citations (20) (2009)

2006

4. Consistent Measures of Risk
   FMG Discussion Papers, Financial Markets Group View citations (3)
5. Equilibrium Asset Pricing with Systemic Risk
   FMG Discussion Papers, Financial Markets Group View citations (3)
   See also Journal Article Equilibrium asset pricing with systemic risk, Economic Theory, Springer (2008) View citations (23) (2008)

2004

6. (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?
   FMG Discussion Papers, Financial Markets Group

2003

7. On time-scaling of risk and the square–root–of–time rule
   FMG Discussion Papers, Financial Markets Group
   See also Journal Article On time-scaling of risk and the square-root-of-time rule, Journal of Banking & Finance, Elsevier (2006) View citations (57) (2006)

2002

8. Rational Asset Pricing Implications from Realistic Trading Frictions
   FMG Discussion Papers, Financial Markets Group View citations (1)
   See also Journal Article Rational Asset Pricing Implications from Realistic Trading Frictions, The Journal of Business, University of Chicago Press (2005) View citations (1) (2005)

2001

9. Asset Price Dynamics with Value-at-Risk Constrained Traders
   FMG Discussion Papers, Financial Markets Group View citations (8)
10. On Physics and Finance
    FMG Special Papers, Financial Markets Group
11. Rational Limits to Arbitrage
    FMG Discussion Papers, Financial Markets Group View citations (3)
12. What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
    FMG Discussion Papers, Financial Markets Group View citations (17)

1999

13. Arbitrage and Endogenous Market Integration
    FMG Discussion Papers, Financial Markets Group View citations (6)

Journal Articles

2009

1. Strategic Financial Innovation in Segmented Markets
   The Review of Financial Studies, 2009, 22, (8), 2941-2971 View citations (20)
   See also Working Paper Strategic Financial Innovation in Segmented Markets, FMG Discussion Papers (2007) View citations (6) (2007)

2008

2. Equilibrium asset pricing with systemic risk
   Economic Theory, 2008, 35, (2), 293-319 View citations (23)
   See also Working Paper Equilibrium Asset Pricing with Systemic Risk, FMG Discussion Papers (2006) View citations (3) (2006)

2006

3. Endogenous market integration, manipulation and limits to arbitrage
   Journal of Mathematical Economics, 2006, 42, (3), 301-314 View citations (7)
4. On time-scaling of risk and the square-root-of-time rule
   Journal of Banking & Finance, 2006, 30, (10), 2701-2713 View citations (57)
   See also Working Paper On time-scaling of risk and the square–root–of–time rule, FMG Discussion Papers (2003) (2003)

2005

5. Highwaymen or heroes: Should hedge funds be regulated?: A survey
   Journal of Financial Stability, 2005, 1, (4), 522-543 View citations (8)
6. Rational Asset Pricing Implications from Realistic Trading Frictions
   The Journal of Business, 2005, 78, (3), 871-892 View citations (1)
   See also Working Paper Rational Asset Pricing Implications from Realistic Trading Frictions, FMG Discussion Papers (2002) View citations (1) (2002)

2004

7. A general equilibrium analysis of strategic arbitrage
   Journal of Mathematical Economics, 2004, 40, (8), 923-952 View citations (11)
8. The impact of risk regulation on price dynamics
   Journal of Banking & Finance, 2004, 28, (5), 1069-1087 View citations (103)

Chapters

2012

1. Endogenous and Systemic Risk
   A chapter in Quantifying Systemic Risk, 2012, pp 73-94 View citations (22)