• Phone +44-020-7040-4575
  • Fax + 44-020-7040-8580

Working Papers


Gurgone, A. and Iori, G.
A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements
http://openaccess.city.ac.uk/21902/

Giulia Iori, Polina Kovaleva and Maria Cristina Recchioni,
Optimal Trading Strategy in a Limit Order Market with Imperfect Liquidity

Vanessa Mattiussi, Michele Tumminello, Giulia Iori and Rosario N. Mantegna
Comparing correlation matrix estimators via Kullback-Leibler divergence
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1966714

Forthcoming Papers


Maria Cristina Recchioni, Giulia Iori, Gabriele Tedeschi, Michelle S. Ouellette
The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
European Journal of Operation Research

Book Chapters


G.Iori and R. Mantegna
Empirical analyses of networks in finance
Handbook of Computational Economics 4 (2018). Eds C. Hommes and B. LeBaron, Chapter 11: Complex Financial Networks. Elsevier
https://doi.org/10.1016/bs.hescom.2018.02.005

Grilli, Ruggero, Iori, Giulia, Stamboglis, Niccol and Tedeschi, Gabriele
A networked economy: a survey on the effect of interaction in credit markets
Introduction to Agent-Based Economics, Chapter 10, Edited by Mauro Gallegati, Antonio Palestrini, Alberto Russo, Elsevier
https://doi.org/10.1016/B978-0-12-803834-5.00013-8

G. Iori and J. Porter
Agent based Modelling for Financial Markets
Handbook on Computational Economics and Finance, Chapter 21, Eds. Shu-Heng Chen and Mak Kaboudan, OUP Oxford University Pres (2017)
https://global.oup.com/academic/product/the-oxford-handbook-of-computational-economics-and-finance-9780199844371?cc=us&lang=en&

Polina Kovaleva and Giulia Iori
Heterogeneous Beliefs and Quote Transparency in an Order-Driven Market
Nonlinear Economic Dynamics and Financial Modelling, Springer Festschrift for Carl Chiarella's 70 birthday
https://doi.org/10.1007/978-3-319-07470-2_10

G. Iori and C. Deissenberg
An analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures
in E.J. Konotghiorghes, B. Rustem and P. Winker (Eds.): "Computational Methods in Financial Engineering", Springer, Heidelberg, 2008
http://openaccess.city.ac.uk/1481/

Vanessa Mattiussi and Giulia Iori
Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis
in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed) (2008)
http://openaccess.city.ac.uk/1452/

De Masi, Giulia and Iori, Giulia and Caldarelli, Guido :
The Italian interbank network: statistical properties and a simple model.
Noise and stochastics in complex systems and finance, SPIE, pp. 210-223. ISBN 978-0819467386
https://doi.org/10.1117/12.727064

J. D. Farmer, L. Gillemot, G. Iori , S. Krishnamaurty, E. Smith, and M.G. Daniel
A random order placement model of price formation in the continuos double auction
in The Economy as an evolving complex system III, Blume and Durlauf (Eds), 175-206,Oxford University press, (2006)
http://www.oxfordscholarship.com/view/10.1093/acprof:oso/9780195162592.001.0001/acprof-9780195162592-chapter-7

G. Iori and V. Koulovassilopoulos
Patterns of consumption in a discrete choice model with asymmetric interactions
in William Barnett, Christophe Deissenberg, and Gustav Feichtinger (Eds.), "Economic Complexity: Non-linear Dynamics, Multi-agents Economies, and Learning", ISETE Vol 14, Elsevier, Amsterdam (2004).
https://www.emeraldinsight.com/doi/abs/10.1108/S1571-0386%282004%290000014011

G.Iori
Scaling and Multiscaling in Financial Markets
in Disordered and Complex Systems, ed. P.Sollich et al., AIP Conference Proceedings, Vol 553, 297-302 (2001).
https://aip.scitation.org/doi/abs/10.1063/1.1358199

Reviews


G. Iori
A close look at market microstructure
Quantitative Finance, Vol 3, No 2, C23-C25 (2003)
http://www.doi.org/10.1088/1469-7688/3/2/702

Journal Articles


Kapar, B., Iori, G. , Gabbi, G. and Germano,
Market Microstructure, Banks' Behaviour and Interbank Spreads. Evidence after the Crisis
J. Economic Interaction and Coordination 15, 283–331 (2020)
http://openaccess.city.ac.uk/3950/

Andrea Gurgone, Giulia Iori, and Saqib Jafarey
The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model
Journal of Economic Dynamics and Control, Volume 91, Pages 257-288 (2018).

Asena Teminzsoy, Giulia Iori, Gabriel Montes-Rojas
Network Centrality and Funding Rates in the e-MID Interbank Market
Journal of Financial Stability, Volume 33, December 2017, Pages 346-365
https://doi.org/10.1016/j.jfs.2016.11.003

Vasilis Hatzopoulos, Giulia Iori, Rosario N. Mantegna, Salvatore Micciche', Michele Tumminello
Quantifying preferential trading in the e-MID interbank market
Quantitative Finance, Vol 15, 4, pages 693-710 (2015)
http://dx.doi.org/10.1080/14697688.2014.969889

Burcu Kapar, Giulia Iori and Jose Olmo
Bank Characteristics and the Interbank Money Market: A Distributional Approach
Studies in Nonlinear Dynamics & Econometrics, Vol 19, 3, Pages 249–283 (2015)
http://www.degruyter.com/view/j/snde.2015.19.issue-3/snde-2014-0030/snde-2014-0030.xml?format=INT

Iori, Giulia and Mantegna, Rosario N. and Marotta, Luca and Miccichè, Salvatore and Porter, James and Tumminello, Michele,
Networked Relationships in the e-MID Interbank Market: A Trading Model with Memory
Journal of Economic Dynamics and Control, Vol 50, pages 98-116 (2015)
http://dx.doi.org/10.1016/j.jedc.2014.08.016

Giampaolo Gabbi, Giulia Iori, Saqib Jafarey, James Porter
Financial regulations and bank credit to the real economy
Journal of Economic Dynamics and Control, Vol 50, pages 117-143 (2015)
http://dx.doi.org/10.1016/j.jedc.2014.07.002

Polina Kovaleva and Giulia Iori
The Impact of Reduced Pre-Trade Transparency Regimes on Market Quality
Journal of Economic Dynamics and Control, Volume 57, Pages 145–162 (2015)
http://dx.doi.org/10.1016/j.jedc.2015.05.011

Asena Temizsoy, Giulia Iori, Gabriel Montes-Rojas
The role of bank relationships in the interbank market
Journal of Economic Dynamics and Control, Volume 59,Pages 118–141 (2015)
http://dx.doi.org//10.1016/j.jedc.2015.07.008

G. Iori, M. Politi, G. Germano and G. Gabbi,
Banks' ​S​trategies and ​C​ost of ​M​oney: Effects of the ​Financial ​C​risis on the European ​E​lectronic ​O​vernight ​Interbank ​M​arket
Journal of Financial Management Markets and Institutions, 2/2015, pp. 179-202, doi: 10.12831/82212
http://www.jfmi.mulino.it/doi/10.12831/82212

Gabriele Tedeschi, Giulia Iori, Mauro Gallegati
Herding Effects in Order Driven Markets: The Rise and Fall of Gurus
Journal of Economic Behaviour and Organization 81 (2012) 82-96.
http://dx.doi.org/10.1016/j.jebo.2011.09.006

G. Tedeschi, G. Iori and M. Gallegati
The role of communication and imitation in limit order markets
Eur. Phys. J. B, 1, 489-497 (2009)
http://www.springerlink.com/content/4104048222065m17/

C. Chiarella, G. Iori, J. Perello
The impact of heterogeneous trading rules on the limit order book and order flows.
Journal of Economic Dynamics and Control, Volume 33, Issue 3, March 2009, Pages 525-537.
http://dx.doi.org/10.1016/j.jedc.2008.08.001

R. Carvalho and G. Iori
Socio-economic networks with long-range interactions
Phys. Rev. E 78, 016110 (2008)
http://arxiv.org/abs/0706.0024

M. Jeannin, G. Iori, D. Samuel
The pinning effect: theory and a simulated microstructure model
Quantitative Finance, Volume 8, Issue 8 December 2008, p. 823-831
http://www.tandfonline.com/doi/abs/10.1080/14697680701881763

G. Iori, G. de Masi, O. Precup, G. Gabbi G. Caldarelli,
A network analysis of the Italian Overnight Money Market,
Journal of Economic Dynamics and Control 32, 259-278 (2008).
http://dx.doi.org/10.1016/j.jedc.2007.01.032

O. Precup and G. Iori,
Cross-Correlation Measures in the High-Frequency Domain,
European Journal of Finance, 13, 4, 319 - 331, (2007)
http://taylorandfrancis.metapress.com/openurl.asp?genre=article&id=doi:10.1080/13518470600813565

G. Iori, R. Reno', G. de Masi and G. Caldarelli,
Correlation of trading strategies in the Italian interbank market,
Physica A, 376, 467-479 (2007),
http://dx.doi.org/10.1016/j.physa.2006.10.053

Giulia Iori and Ovidiu V. Precup,
Weighted network analysis of high frequency cross-correlation measures,
Physical Review E, Vol.75, No.3, (2007)
http://link.aps.org/abstract/PRE/v75/e036110

G. Iori, S. Jafarey, F. Padilla,
Systemic Risk on the Interbank market,
Journal of Economic Behaviour and Organization, Vol. 61, No. 4, 525-542 (2006),
http://dx.doi.org/10.1016/j.jebo.2004.07.018

G. De Masi, G. Iori and G. Caldarelli,
A fitness model for the Italian Interbank Money Market,
Phys. Rev. E 74, 066112 (2006),
http://link.aps.org/abstract/PRE/v74/e066112

C. Deissenberg and G. Iori
EDITORIAL
Journal of Economic Behavior & Organization, Vol. 61, No. 4, (2006) 521-524
http://dx.doi.org/10.1016/j.jebo.2006.05.001

O. Precup and G. Iori,
A Comparison of High-Frequency Cross-Correlation Measures,
Physica A, Vol 344/1-2, 252-256 (2004),
http://dx.doi.org/10.1016/j.physa.2004.06.127

G. Iori, M.G.Daniel, J. D. Farmer, L.Gillemot, S. Krishnamurthy, E. Smith,
An analysis of price impact function in order driven markets,
Physica A, Vol 324, 146-151 (2003),
http://dx.doi.org/10.1016/S0378-4371(02)01888-5

Marcus G. Daniels, J. Doyne Farmer, L. Gillemot, Giulia Iori, Eric Smith,
Quantitative model of price diffusion and market friction based on trading as a mechanistic random process,
Phys. Rev. Lett. Vol 90, No. 10, 108102 (2003),
http://link.aps.org/abstract/PRL/v90/e108102

M.Q. Lopez-Salvans, G. Iori, J. Casademunt, and F. Sagues
Dynamics of finger arrays in a diffusion-limited growth model in the presence of a drift
Physica D, Vol. 164, 127-151, (2002).
http://dx.doi.org/10.1016/S0167-2789(01)00387-6

G. Iori,
A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions,
Journal of Economic Behaviour and Organization, Vol. 49, no. 2, 269-285, (2002),
http://dx.doi.org/10.1016/S0167-2681(01)00164-0

C. Chiarella and G. Iori,
A Simulation Analysis of the Microstructure of Double Auction Markets,
Quantitative Finance, Vol. 2, No 5, 346-353 (2002),
http://dx.doi.org/10.1088/1469-7688/2/5/303

G. Iori and S. Jafarey,
Criticality in a model of banking crisis,
Physica A, 299, 205-212 (2001),
http://dx.doi.org/10.1016/S0378-4371(01)00297-7

C.Voeltz, M. Schroter, G.Iori, A. Betat, A. Lange, A. Engel and I.Rehberg,
Finger-like patterns in sedimenting water-Sand suspentions.
Phys. Rep. 337, 117-138 (2000).
http://dx.doi.org/10.1016/S0370-1573(00)00058-2

G. Iori
A threshold model for stock return volatility and trading volume
International Journal of Theoretical and Applied Finance, Vol. 3, No. 3 (2000) 467-472
http://www.doi.org/10.1142/S0219024900000413

E.P.K. Tsang, J. Ki, S. Markose, H. Er, A. Salhi, G.Iori
EDDIE In Financial Decision Making
The Journal of Management and Economics, Vol 4, No 4 (2000).

G. Iori
Avalanche Dynamics and Trading Friction Effects on Stock Market Returns.
Int. J. Mod. Phys. C, 10, 6, 1149-1162, (1999).
http://dx.doi.org/10.1142/S0129183199000930

G. Iori, J. Ortin, L. Carrillo
Linearly driven Random Field Ising Model: hysteresis and avalanches
Anales de Fisica, 4, 245-246 (1997)

G. Iori, J. Casademunt
DLA simulation of finger competition in an external driving field
Anales de Fisica, 4, 243-244 (1997)

U.M. Bettolo, A. Crisanti, G. Iori
A soluble Phase field model
Phys. Rev. E. Vol 56, No 1, 77-87 (1997)
http://dx.doi.org/10.1103/PhysRevE.56.77

G. Iori, E. Marinari
On the stability of the mean-field spin glass broken phase under non-Hamiltonian perturbations
J. Phys. A: Math. Gen. 30 4489-4511 (1997)
http://dx.doi.org/10.1088/0305-4470/30/13/007

J.P.Bouchaud, G.Iori, D.Sornette
Real world options: smile and residual risk
Risk Vol 9, No 3 (1996)
http://www.cfm.fr/papers/9509095.pdf

T.Garel, G.Iori. H.Orland
A variational study of the random-field XY model
Phys. Rev. B, Vol 53, No. 6, R2941-R2944 (1996)
http://dx.doi.org/10.1103/PhysRevB.53.R2941

G.Iori, E.Marinari, G.Parisi
Non exponential relaxation time scales in disordered systems: an application to protein dynamics
Europhys. Lett. Vol 25, No. 7, (1994) 491-496
http://www.iop.org/EJ/abstract/0295-5075/25/7/003/

G.Iori, E.Marinari, G.Parisi
Heteropolymer Folding on a APE-100 Supercomputer
Int. J. of Mod. Phys. C, Vol 4, No. 6 (1993) 1333-1341
http://www.doi.org/10.1142/S0129183193001051

G.Iori
Proteins and Random Heteropolymers: an Overview
Int. J. of Neural Systems Vol. 3 (Supp. 1992) 201-207
http://www.doi.org/10.1142/S012906579200053X

G.Iori, E.Marinari, G.Parisi and M.V.Struglia,
Statistical Mechanics of Heteropolymer Folding
Physica A 185 (1992) 98-103
http://dx.doi.org/10.1016/0378-4371(92)90442-S

G.Iori, E.Marinari and G.Parisi
Random self-interacting chains: a mechanism for protein folding
J. Phys A 24 (1991) 5349-5362.
http://dx.doi.org/10.1088/0305-4470/24/22/019

L.Narici, G.Iori, I.Modena, G.L.Romani, G.Torrioli, R.Traversa and P.M.Rossini
Neuromagneting Imaging of Syncronized Mu Activity
Advances in Biomagnetism, ed. by Williamson et al. Plenum Press, New York.