A fitness model for the Italian Interbank Money Market

Giulia de Masi, Giulia Iori () and Guido Caldarelli

No 06/08, City University Economics Discussion Papers from Department of Economics, City University, London

Abstract: We use the theory of complex networks in order to quantitatively characterise the formation of communities in a particular financial market. The system is composed by different banks exchanging on a daily basis loans and debts of liquidity. Through topological analysis and by means of a model of network growth we can determine the formation of different group of banks characterized by different business strategy. The model based on Pareto's Law makes no use of growth or preferential attachment and it reproduces correctly all the various statistical properties of the system. We believe that this network modelling of the market could be an efficient way to evaluate the impact of different policies in the market of liquidity.

New Economics Papers: this item is included in nep-ban, nep-eec and nep-net
Date: 2006-10

Published in Physical Rev. E 74, 066112 (2006)

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Working Paper: A fitness model for the Italian Interbank Money Market (2006)
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