210 citations · 607 across the 10 of their papers we have counts for
10 papers
Networked relationships in the e-MID Interbank market: A trading model with memory
Giulia Iori, Rosario N. Mantegna, Luca Marotta +3
Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential…
Socioeconomic Networks with Long-Range Interactions
Rui Carvalho, Giulia Iori
We study a modified version of a model previously proposed by Jackson and Wolinsky to account for communicating information and allocating goods in socioeconomic networks. In the m…
Trading strategies in the Italian interbank market
Giulia Iori, Roberto Reno', Giulia De Masi +1
Using a data set which includes all transactions among banks in the Italian money market, we study their trading strategies and the dependence among them. We use the Fourier method…
A fitness model for the Italian Interbank Money Market
G. De Masi, G. Iori, G. Caldarelli
We use the theory of complex networks in order to quantitatively characterize the formation of communities in a particular financial market. The system is composed by different ban…
A Comparison of High-Frequency Cross-Correlation Measures
Ovidiu Precup, Giulia Iori
On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures can not be directly applied to the raw data. There are two ways to deal with…
A quantitative model of trading and price formation in financial markets
Marcus G. Daniels, J. Doyne Farmer, Laszlo Gillemot +2
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This mod…