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Working Papers


Vasilis Hatzopoulos, Giulia Iori and Giampaolo Gabbi
The topology of the e-Mid interbank market during the sub-prime crisis: implications for financial stability

Vasilis Hatzopoulos and Giulia Iori
Information theoretic description of the e-Mid interbank market: implications for systemic risk

Polina Kovaleva and Giulia Iori
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

Submitted Papers


Hrvoje Abraham , Guido Caldarelli Giulia Iori, Marko Popovic , Vinko Zlatic
Temporal Asymmetries in Italian Interbank Market reproduced by a data-driven Agent-Based Mode

Forthcoming Papers


Asena Teminzsoy, Giulia Iori, Gabriel Montes-Rojas
Network Centrality and Funding Rates in the e-MID Interbank Market
Journal of Financial Stability

Book Chapters


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

G. Iori and J. Porter
Agent based Modelling for Financial Markets
chapter for Handbook on Computational Economics and Finance. Eds. Shu-Heng Chen and Mak Kaboudan, OUP Oxford University Pres

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://econpapers.repec.org/paper/ctydpaper/0609.htm

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

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

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)

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).
http://econpapers.repec.org/paper/scescecf0/84.htm

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).
http://econpapers.repec.org/paper/wpawuwpfi/0004006.htm

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


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

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

M. Politi, G. Iori, 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 mMarkets and Institutions

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

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

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

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

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

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/

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

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

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

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

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, 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

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

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

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

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

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

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).

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
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)

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

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

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.