Details about Giulia Iori

Homepage:	http://www.giuliaiori.com
Workplace:	Department of Economics, City St George's, (more information at EDIRC)

Access statistics for papers by Giulia Iori.

Last updated 2024-02-06. Update your information in the RePEc Author Service.

Short-id: pio8

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Working Papers

2024

1. Centralized vs Decentralized Markets: The Role of Connectivity
   Working Papers, Barcelona School of Economics
   Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2024)

2021

2. Advances in the Agent-Based Modeling of Economic and Social Behavior
   MPRA Paper, University Library of Munich, Germany View citations (9)
   See also Journal Article Advances in the agent-based modeling of economic and social behavior, SN Business & Economics, Springer (2021) View citations (10) (2021)

2020

3. Centralized vs decentralized markets in the laboratory: The role of connectivity
   MPRA Paper, University Library of Munich, Germany View citations (1)
4. Macroprudential capital buffers in heterogeneous banking networks: Insights from an ABM with liquidity crises
   BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group View citations (5)
   See also Journal Article Macroprudential capital buffers in heterogeneous banking networks: insights from an ABM with liquidity crises, The European Journal of Finance, Taylor & Francis Journals (2022) View citations (2) (2022)
5. Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
   See also Journal Article Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis, Journal of Economic Interaction and Coordination, Springer (2020) (2020)

2019

6. A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements
   Working Papers, Department of Economics, City University London View citations (1)

2016

7. Network Centrality and Funding Rates in the e-MID Interbank Market
   Working Papers, Department of Economics, City University London View citations (1)
   See also Journal Article Network centrality and funding rates in the e-MID interbank market, Journal of Financial Stability, Elsevier (2017) View citations (17) (2017)

2015

8. Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
   See also Journal Article Banks' Strategies and Cost of Money: Effects of the Financial Crisis on the European Electronic Overnight Interbank Market, Journal of Financial Management, Markets and Institutions, Società editrice il Mulino (2015) View citations (2) (2015)

2014

9. Networked relationships in the e-MID Interbank market: A trading model with memory
   Papers, arXiv.org View citations (6)
   See also Journal Article Networked relationships in the e-MID interbank market: A trading model with memory, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (53) (2015)

2013

10. Quantifying preferential trading in the e-MID interbank market
    Working Papers, Department of Economics, City University London View citations (6)
    See also Journal Article Quantifying preferential trading in the e-MID interbank market, Quantitative Finance, Taylor & Francis Journals (2015) View citations (29) (2015)

2012

11. Agent-Based Modelling for Financial Markets
    Working Papers, Department of Economics, City University London View citations (9)
12. Information theoretic description of the e-Mid interbank market: implications for systemic risk
    Working Papers, Department of Economics, City University London View citations (4)
13. Market microstructure, bank's behaviour and interbank spreads
    Working Papers, Department of Economics, City University London View citations (10)
14. Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity
    Working Papers, Department of Economics, City University London View citations (3)
15. The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation
    Working Papers, Department of Economics, City University London View citations (8)

2010

16. Herding effects in order driven markets: The rise and fall of gurus
    Working Papers, Department of Economics, City University London View citations (3)
    See also Journal Article Herding effects in order driven markets: The rise and fall of gurus, Journal of Economic Behavior & Organization, Elsevier (2012) View citations (61) (2012)

2008

17. An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture
    Working Papers, Department of Economics, City University London
    See also Chapter An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures, Springer Books, Springer (2008) (2008)
18. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
    Working Papers, Department of Economics, City University London View citations (2)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (20)
    Papers, arXiv.org (2007) View citations (32)
    See also Journal Article The impact of heterogeneous trading rules on the limit order book and order flows, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (154) (2009)

2007

19. Socioeconomic networks with long-range interactions
    Working Papers, Department of Economics, City University London

2006

20. A fitness model for the Italian Interbank Money Market
    Papers, arXiv.org View citations (93)
    Also in Working Papers, Department of Economics, City University London (2006) View citations (94)
21. Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis
    Working Papers, Department of Economics, City University London
22. Modeling stock pinning
    Working Papers, Department of Economics, City University London
    See also Journal Article Modeling stock pinning, Quantitative Finance, Taylor & Francis Journals (2008) View citations (8) (2008)
23. Trading strategies in the Italian interbank market
    Working Papers, Department of Economics, City University London View citations (5)
    Also in Papers, arXiv.org (2006) View citations (3)
    See also Journal Article Trading strategies in the Italian interbank market, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (35) (2007)
24. Weighted network analysis of high frequency cross-correlation measures
    Working Papers, Department of Economics, City University London

2005

25. A network analysis of the Italian overnight money market
    Working Papers, Department of Economics, City University London View citations (4)
    See also Journal Article A network analysis of the Italian overnight money market, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (308) (2008)
26. Cross-correlation measures in the high-frequency domain
    Working Papers, Department of Economics, City University London View citations (3)
    See also Journal Article Cross-correlation Measures in the High-frequency Domain, The European Journal of Finance, Taylor & Francis Journals (2007) View citations (10) (2007)
27. The Microstructure of the Italian Overnight Money Market
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (2)

2004

28. An analysis of systemic risk in alternative securities settlement architectures
    Working Paper Series, European Central Bank View citations (5)

2003

29. Interbank Lending, Reserve Requirements and Systemic Risk
    Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics View citations (5)
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (8)

2002

30. A quantitative model of trading and price formation in financial markets
    Papers, arXiv.org
31. A simple microstructure model of double auction markets
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (13)
32. Contagion in a heterogeneous inter bank market model
    Computing in Economics and Finance 2002, Society for Computational Economics
33. Demand Storage, Market Liquidity, and Price Volatility
    Working Papers, Santa Fe Institute

2001

34. Criticality in a model of banking crises
    Papers, arXiv.org View citations (13)
    See also Journal Article Criticality in a model of banking crises, Physica A: Statistical Mechanics and its Applications, Elsevier (2001) View citations (12) (2001)

2000

35. A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
    Finance, University Library of Munich, Germany View citations (12)
    Also in Finance, University Library of Munich, Germany (1999) View citations (8)
    See also Journal Article A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions, Journal of Economic Behavior & Organization, Elsevier (2002) View citations (107) (2002)
36. PATTERNS OF CONSUMPTION IN DISCRETE CHOICE MODELS WITH ASYMMETRIC INTERACTIONS
    Computing in Economics and Finance 2000, Society for Computational Economics
    See also Chapter Patterns of Consumption in a Discrete Choice Model with Asymmetric Interactions, International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited (2004) (2004)
37. SCALING AND MULTI-SCALING ANALYSIS IN A MARKET MODEL WITH ENDOGENOUS THRESHOLD DYNAMICS
    Computing in Economics and Finance 2000, Society for Computational Economics
38. Scaling and Multi-scaling in Financial Markets
    Papers, arXiv.org View citations (2)
    Also in Finance, University Library of Munich, Germany (2000) View citations (1)

1999

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

1995

40. Real-world options: smile and residual risk
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (2)

Journal Articles

2023

1. Performance-based research funding: Evidence from the largest natural experiment worldwide
   Research Policy, 2023, 52, (6) View citations (3)

2022

2. Introduction to the special issue on the 24th annual Workshop on Economic science with Heterogeneous Interacting Agents, London, 2019 (WEHIA 2019)
   Journal of Economic Interaction and Coordination, 2022, 17, (2), 401-404
3. Macroprudential capital buffers in heterogeneous banking networks: insights from an ABM with liquidity crises
   The European Journal of Finance, 2022, 28, (13-15), 1399-1445 View citations (2)
   See also Working Paper Macroprudential capital buffers in heterogeneous banking networks: Insights from an ABM with liquidity crises, BERG Working Paper Series (2020) View citations (5) (2020)
4. New measures for a new normal in finance and risk management
   The European Journal of Finance, 2022, 28, (13-15), 1257-1262

2021

5. Advances in the agent-based modeling of economic and social behavior
   SN Business & Economics, 2021, 1, (7), 1-24 View citations (10)
   See also Working Paper Advances in the Agent-Based Modeling of Economic and Social Behavior, MPRA Paper (2021) View citations (9) (2021)
6. The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
   European Journal of Operational Research, 2021, 293, (1), 336-360 View citations (7)

2020

7. Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis
   Journal of Economic Interaction and Coordination, 2020, 15, (1), 283-331
   See also Working Paper Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis, LSE Research Online Documents on Economics (2020) View citations (2) (2020)

2018

8. The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model
   Journal of Economic Dynamics and Control, 2018, 91, (C), 257-288 View citations (26)

2017

9. Network centrality and funding rates in the e-MID interbank market
   Journal of Financial Stability, 2017, 33, (C), 346-365 View citations (17)
   See also Working Paper Network Centrality and Funding Rates in the e-MID Interbank Market, Working Papers (2016) View citations (1) (2016)

2015

10. Bank characteristics and the interbank money market: a distributional approach
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 249-283 View citations (9)
11. Banks' Strategies and Cost of Money: Effects of the Financial Crisis on the European Electronic Overnight Interbank Market
    Journal of Financial Management, Markets and Institutions, 2015, (2), 179-202 View citations (2)
    See also Working Paper Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market, LSE Research Online Documents on Economics (2015) View citations (1) (2015)
12. Financial regulations and bank credit to the real economy
    Journal of Economic Dynamics and Control, 2015, 50, (C), 117-143 View citations (30)
13. Networked relationships in the e-MID interbank market: A trading model with memory
    Journal of Economic Dynamics and Control, 2015, 50, (C), 98-116 View citations (53)
    See also Working Paper Networked relationships in the e-MID Interbank market: A trading model with memory, Papers (2014) View citations (6) (2014)
14. Quantifying preferential trading in the e-MID interbank market
    Quantitative Finance, 2015, 15, (4), 693-710 View citations (29)
    See also Working Paper Quantifying preferential trading in the e-MID interbank market, Working Papers (2013) View citations (6) (2013)
15. The impact of reduced pre-trade transparency regimes on market quality
    Journal of Economic Dynamics and Control, 2015, 57, (C), 145-162 View citations (8)
16. The role of bank relationships in the interbank market
    Journal of Economic Dynamics and Control, 2015, 59, (C), 118-141 View citations (39)

2012

17. Herding effects in order driven markets: The rise and fall of gurus
    Journal of Economic Behavior & Organization, 2012, 81, (1), 82-96 View citations (61)
    See also Working Paper Herding effects in order driven markets: The rise and fall of gurus, Working Papers (2010) View citations (3) (2010)

2009

18. The impact of heterogeneous trading rules on the limit order book and order flows
    Journal of Economic Dynamics and Control, 2009, 33, (3), 525-537 View citations (154)
    See also Working Paper The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows, Working Papers (2008) View citations (2) (2008)
19. The role of communication and imitation in limit order markets
    The European Physical Journal B: Condensed Matter and Complex Systems, 2009, 71, (4), 489-497 View citations (28)

2008

20. A network analysis of the Italian overnight money market
    Journal of Economic Dynamics and Control, 2008, 32, (1), 259-278 View citations (308)
    See also Working Paper A network analysis of the Italian overnight money market, Working Papers (2005) View citations (4) (2005)
21. Modeling stock pinning
    Quantitative Finance, 2008, 8, (8), 823-831 View citations (8)
    See also Working Paper Modeling stock pinning, Working Papers (2006) (2006)

2007

22. Cross-correlation Measures in the High-frequency Domain
    The European Journal of Finance, 2007, 13, (4), 319-331 View citations (10)
    See also Working Paper Cross-correlation measures in the high-frequency domain, Working Papers (2005) View citations (3) (2005)
23. Trading strategies in the Italian interbank market
    Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 467-479 View citations (35)
    See also Working Paper Trading strategies in the Italian interbank market, Working Papers (2006) View citations (5) (2006)

2006

24. Introduction
    Journal of Economic Behavior & Organization, 2006, 61, (4), 521-524
25. Systemic risk on the interbank market
    Journal of Economic Behavior & Organization, 2006, 61, (4), 525-542 View citations (200)

2004

26. A comparison of high-frequency cross-correlation measures
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 252-256 View citations (4)

2003

27. A close look at market microstructure
    Quantitative Finance, 2003, 3, (2), 23-25
28. An analysis of price impact function in order-driven markets
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 146-151 View citations (11)

2002

29. 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 (107)
    See also Working Paper A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions, Finance (2000) View citations (12) (2000)
30. A simulation analysis of the microstructure of double auction markets
    Quantitative Finance, 2002, 2, (5), 346-353 View citations (145)

2001

31. Criticality in a model of banking crises
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 205-212 View citations (12)
    See also Working Paper Criticality in a model of banking crises, Papers (2001) View citations (13) (2001)

2000

32. A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 467-472 View citations (5)

1999

33. AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
    International Journal of Modern Physics C (IJMPC), 1999, 10, (06), 1149-1162 View citations (25)

1993

34. HETEROPOLYMER FOLDING ON A APE-100 SUPERCOMPUTER
    International Journal of Modern Physics C (IJMPC), 1993, 04, (06), 1333-1341

1992

35. Statistical mechanics of heteropolymer folding
    Physica A: Statistical Mechanics and its Applications, 1992, 185, (1), 98-103

Chapters

2008

1. An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures
   Springer
   See also Working Paper An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture, Department of Economics, City University London (2008) (2008)

2004

2. Patterns of Consumption in a Discrete Choice Model with Asymmetric Interactions
   A chapter in Economic Complexity, 2004, pp 215-236
   See also Working Paper PATTERNS OF CONSUMPTION IN DISCRETE CHOICE MODELS WITH ASYMMETRIC INTERACTIONS, Society for Computational Economics (2000) (2000)