Details about Giulia Iori

Access statistics for papers by Giulia Iori.

Last updated 2009-09-25. Update your information in the RePEc Author Service.

Short-id: pio8

Working Papers

2008

1. An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures
   City University Economics Discussion Papers, Department of Economics, City University, London
2. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
   City University Economics Discussion Papers, Department of Economics, City University, London View citations
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations
   Quantitative Finance Papers, arXiv.org (2007) View citations

2007

3. Socioeconomic Networks with Long-Range Interactions
   City University Economics Discussion Papers, Department of Economics, City University, London

2006

4. A fitness model for the Italian Interbank Money Market
   Quantitative Finance Papers, arXiv.org
   Also in City University Economics Discussion Papers, Department of Economics, City University, London (2006)
5. Currency Futures Volatility during the 1997 East Asian Crisis: An Application of Fourier Analysis
   City University Economics Discussion Papers, Department of Economics, City University, London
6. Modeling Stock Pinning
   City University Economics Discussion Papers, Department of Economics, City University, London
   See also Journal Article in Quantitative Finance (2008)
7. Trading strategies in the Italian Interbank Market
   City University Economics Discussion Papers, Department of Economics, City University, London
   Also in Quantitative Finance Papers, arXiv.org (2006)
8. Weighted Network Analysis of High Frequency Cross-Correlation Measures
   City University Economics Discussion Papers, Department of Economics, City University, London

2005

9. A Network Analysis of the Italian Overnight Money Market
   City University Economics Discussion Papers, Department of Economics, City University, London View citations
   See also Journal Article in Journal of Economic Dynamics and Control (2008)
10. Cross-Correlation Measures in the High-Frequency Domain
    City University Economics Discussion Papers, Department of Economics, City University, London View citations
    See also Journal Article in European Journal of Finance (2007)
11. The Microstructure of the Italian Overnight Money Market
    Computing in Economics and Finance 2005, Society for Computational Economics

2004

12. An analysis of systemic risk in alternative securities settlement architectures
    Working Paper Series, European Central Bank View citations

2003

13. Interbank Lending, Reserve Requirements and Systemic Risk
    Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics

2002

14. A quantitative model of trading and price formation in financial markets
    Quantitative Finance Papers, arXiv.org View citations
15. A simple microstructure model of double auction markets
    Computing in Economics and Finance 2002, Society for Computational Economics View citations
16. Contagion in a heterogeneous inter bank market model
    Computing in Economics and Finance 2002, Society for Computational Economics
17. Demand Storage, Market Liquidity, and Price Volatility
    Working Papers, Santa Fe Institute View citations

2001

18. Criticality in a model of banking crises
    Quantitative Finance Papers, arXiv.org

2000

19. A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
    Finance, EconWPA
    Also in Finance, EconWPA (1999) View citations
    See also Journal Article in Journal of Economic Behavior & Organization (2002)
20. PATTERNS OF CONSUMPTION IN DISCRETE CHOICE MODELS WITH ASYMMETRIC INTERACTIONS
    Computing in Economics and Finance 2000, Society for Computational Economics
21. SCALING AND MULTI-SCALING ANALYSIS IN A MARKET MODEL WITH ENDOGENOUS THRESHOLD DYNAMICS
    Computing in Economics and Finance 2000, Society for Computational Economics
22. Scaling and Multi-scaling in Financial Markets
    Quantitative Finance Papers, arXiv.org View citations
    Also in Finance, EconWPA (2000) View citations

1999

23. Patterns of consumption in socio-economic models with heterogeneous interacting agents
    Quantitative Finance Papers, arXiv.org

1995

24. Real-world options: smile and residual risk
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations

Journal Articles

2008

1. A network analysis of the Italian overnight money market
   Journal of Economic Dynamics and Control, 2008, 32, (1), 259-278 View citations
   See also Working Paper (2005)
2. Modeling stock pinning
   Quantitative Finance, 2008, 8, (8), 823-831
   See also Working Paper (2006)

2007

3. Cross-correlation Measures in the High-frequency Domain
   European Journal of Finance, 2007, 13, (4), 319-331 View citations
   See also Working Paper (2005)

2006

4. Introduction
   Journal of Economic Behavior & Organization, 2006, 61, (4), 521-524
5. Systemic risk on the interbank market
   Journal of Economic Behavior & Organization, 2006, 61, (4), 525-542 View citations

2002

6. A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
   Journal of Economic Behavior & Organization, 2002, 49, (2), 269-285 View citations
   See also Working Paper (2000)