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Details about Giulia Iori

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

Access statistics for papers by Giulia Iori.

Last updated 2021-01-18. Update your information in the RePEc Author Service.

Short-id: pio8


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Working Papers

2020

  1. Centralized vs decentralized markets in the laboratory: The role of connectivity
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Macroprudential capital buffers in heterogeneous banking networks: Insights from an ABM with liquidity crises
    BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group Downloads
  3. 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 Downloads
    See also Journal Article in Journal of Economic Interaction and Coordination (2020)

2019

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

2016

  1. Network Centrality and Funding Rates in the e-MID Interbank Market
    Working Papers, Department of Economics, City University London Downloads View citations (1)
    See also Journal Article in Journal of Financial Stability (2017)

2015

  1. 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 Downloads View citations (1)
    See also Journal Article in Journal of Financial Management, Markets and Institutions (2015)

2014

  1. Networked relationships in the e-MID Interbank market: A trading model with memory
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Journal of Economic Dynamics and Control (2015)

2013

  1. Quantifying preferential trading in the e-MID interbank market
    Working Papers, Department of Economics, City University London Downloads View citations (5)
    See also Journal Article in Quantitative Finance (2015)

2012

  1. Agent-Based Modelling for Financial Markets
    Working Papers, Department of Economics, City University London Downloads View citations (4)
  2. Information theoretic description of the e-Mid interbank market: implications for systemic risk
    Working Papers, Department of Economics, City University London Downloads View citations (3)
  3. Market microstructure, bank's behaviour and interbank spreads
    Working Papers, Department of Economics, City University London Downloads View citations (7)
  4. Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity
    Working Papers, Department of Economics, City University London Downloads View citations (3)
  5. The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation
    Working Papers, Department of Economics, City University London Downloads View citations (7)

2010

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

2008

  1. An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture
    Working Papers, Department of Economics, City University London Downloads
  2. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
    Working Papers, Department of Economics, City University London Downloads View citations (1)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (19)
    Papers, arXiv.org (2007) Downloads View citations (26)

    See also Journal Article in Journal of Economic Dynamics and Control (2009)

2007

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

2006

  1. A fitness model for the Italian Interbank Money Market
    Papers, arXiv.org Downloads View citations (71)
    Also in Working Papers, Department of Economics, City University London (2006) Downloads View citations (76)
  2. Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis
    Working Papers, Department of Economics, City University London Downloads
  3. Modeling stock pinning
    Working Papers, Department of Economics, City University London Downloads
    See also Journal Article in Quantitative Finance (2008)
  4. Trading strategies in the Italian interbank market
    Papers, arXiv.org Downloads View citations (2)
    Also in Working Papers, Department of Economics, City University London (2006) Downloads View citations (4)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
  5. Weighted network analysis of high frequency cross-correlation measures
    Working Papers, Department of Economics, City University London Downloads

2005

  1. A network analysis of the Italian oversight money market
    Working Papers, Department of Economics, City University London Downloads View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)
  2. Cross-correlation measures in the high-frequency domain
    Working Papers, Department of Economics, City University London Downloads View citations (2)
    See also Journal Article in The European Journal of Finance (2007)
  3. The Microstructure of the Italian Overnight Money Market
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (2)

2004

  1. An analysis of systemic risk in alternative securities settlement architectures
    Working Paper Series, European Central Bank Downloads View citations (4)

2003

  1. Interbank Lending, Reserve Requirements and Systemic Risk
    Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics Downloads View citations (4)
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (8)

2002

  1. A quantitative model of trading and price formation in financial markets
    Papers, arXiv.org Downloads
  2. A simple microstructure model of double auction markets
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (10)
  3. Contagion in a heterogeneous inter bank market model
    Computing in Economics and Finance 2002, Society for Computational Economics
  4. Demand Storage, Market Liquidity, and Price Volatility
    Working Papers, Santa Fe Institute

2001

  1. Criticality in a model of banking crises
    Papers, arXiv.org Downloads View citations (8)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2001)

2000

  1. A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
    Finance, University Library of Munich, Germany Downloads View citations (12)
    Also in Finance, University Library of Munich, Germany (1999) Downloads View citations (5)

    See also Journal Article in Journal of Economic Behavior & Organization (2002)
  2. PATTERNS OF CONSUMPTION IN DISCRETE CHOICE MODELS WITH ASYMMETRIC INTERACTIONS
    Computing in Economics and Finance 2000, Society for Computational Economics Downloads
  3. SCALING AND MULTI-SCALING ANALYSIS IN A MARKET MODEL WITH ENDOGENOUS THRESHOLD DYNAMICS
    Computing in Economics and Finance 2000, Society for Computational Economics Downloads
  4. Scaling and Multi-scaling in Financial Markets
    Papers, arXiv.org Downloads View citations (2)
    Also in Finance, University Library of Munich, Germany (2000) Downloads View citations (1)

1999

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

1995

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

Journal Articles

2020

  1. Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis
    Journal of Economic Interaction and Coordination, 2020, 15, (1), 283-331 Downloads
    See also Working Paper (2020)

2018

  1. 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 Downloads View citations (12)

2017

  1. Network centrality and funding rates in the e-MID interbank market
    Journal of Financial Stability, 2017, 33, (C), 346-365 Downloads View citations (5)
    See also Working Paper (2016)

2015

  1. Bank characteristics and the interbank money market: a distributional approach
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 249-283 Downloads View citations (7)
  2. 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 Downloads View citations (2)
    See also Working Paper (2015)
  3. Financial regulations and bank credit to the real economy
    Journal of Economic Dynamics and Control, 2015, 50, (C), 117-143 Downloads View citations (15)
  4. Networked relationships in the e-MID interbank market: A trading model with memory
    Journal of Economic Dynamics and Control, 2015, 50, (C), 98-116 Downloads View citations (33)
    See also Working Paper (2014)
  5. Quantifying preferential trading in the e-MID interbank market
    Quantitative Finance, 2015, 15, (4), 693-710 Downloads View citations (22)
    See also Working Paper (2013)
  6. The impact of reduced pre-trade transparency regimes on market quality
    Journal of Economic Dynamics and Control, 2015, 57, (C), 145-162 Downloads View citations (3)
  7. The role of bank relationships in the interbank market
    Journal of Economic Dynamics and Control, 2015, 59, (C), 118-141 Downloads View citations (24)

2012

  1. Herding effects in order driven markets: The rise and fall of gurus
    Journal of Economic Behavior & Organization, 2012, 81, (1), 82-96 Downloads View citations (43)
    See also Working Paper (2010)

2009

  1. 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 Downloads View citations (113)
    See also Working Paper (2008)
  2. 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 Downloads View citations (25)

2008

  1. A network analysis of the Italian overnight money market
    Journal of Economic Dynamics and Control, 2008, 32, (1), 259-278 Downloads View citations (240)
    See also Working Paper (2005)
  2. Modeling stock pinning
    Quantitative Finance, 2008, 8, (8), 823-831 Downloads View citations (3)
    See also Working Paper (2006)

2007

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

2006

  1. Introduction
    Journal of Economic Behavior & Organization, 2006, 61, (4), 521-524 Downloads
  2. Systemic risk on the interbank market
    Journal of Economic Behavior & Organization, 2006, 61, (4), 525-542 Downloads View citations (163)

2004

  1. A comparison of high-frequency cross-correlation measures
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 252-256 Downloads View citations (3)

2003

  1. A close look at market microstructure
    Quantitative Finance, 2003, 3, (2), 23-25 Downloads
  2. An analysis of price impact function in order-driven markets
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 146-151 Downloads View citations (9)

2002

  1. 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 Downloads View citations (77)
    See also Working Paper (2000)
  2. A simulation analysis of the microstructure of double auction markets
    Quantitative Finance, 2002, 2, (5), 346-353 Downloads View citations (112)

2001

  1. Criticality in a model of banking crises
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 205-212 Downloads View citations (7)
    See also Working Paper (2001)

2000

  1. A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 467-472 Downloads View citations (1)

1999

  1. AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
    International Journal of Modern Physics C (IJMPC), 1999, 10, (06), 1149-1162 Downloads View citations (5)

1993

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

1992

  1. Statistical mechanics of heteropolymer folding
    Physica A: Statistical Mechanics and its Applications, 1992, 185, (1), 98-103 Downloads
 
Page updated 2021-03-04