A fitness model for the Italian Interbank Money Market
G. De Masi,
Giulia Iori () and
Additional contact information
G. De Masi: Dipartimento di Fisica, Universita' dell'Aquila Coppito
G. Caldarelli: INFM-CNR Centro SMC and Dipartimento di Fisica Universit\'a di Roma "La Sapienza" Roma, Italy
Papers from arXiv.org
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 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 modeling of the market could be an efficient way to evaluate the impact of different policies in the market of liquidity.
References: Add references at CitEc
Citations: View citations in EconPapers (62) Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/physics/0610108 Latest version (application/pdf)
Working Paper: A fitness model for the Italian interbank money market (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0610108
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().