Logo eprints

Fitness model for the Italian interbank money market

De Masi, Giulia and Iori, Giulia and Caldarelli, Guido Fitness model for the Italian interbank money market. Physical Review E, 74 (6). 066112. ISSN 1539-3755 (2006)

PDF - Published Version
Download (226kB) | Preview


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.

Item Type: Article
Identification Number: 10.1103/PhysRevE.74.066112
Additional Information: © 2006 American Physical Society
Uncontrolled Keywords: PACS: 89.65.Gh, 02.50.−r, 05.45.Df
Subjects: H Social Sciences > HG Finance
Q Science > QC Physics
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 01 Feb 2012 16:12
Last Modified: 18 Dec 2014 15:56
URI: http://eprints.imtlucca.it/id/eprint/1107

Actions (login required)

Edit Item Edit Item