eprintid: 1107
rev_number: 10
eprint_status: archive
userid: 6
dir: disk0/00/00/11/07
datestamp: 2012-02-01 16:12:55
lastmod: 2014-12-18 15:56:24
status_changed: 2012-02-01 16:12:55
type: article
metadata_visibility: show
creators_name: De Masi, Giulia
creators_name: Iori, Giulia
creators_name: Caldarelli, Guido
creators_id: 
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
title: Fitness model for the Italian interbank money market
ispublished: pub
subjects: HG
subjects: QC
divisions: EIC
full_text_status: public
keywords: PACS: 89.65.Gh, 02.50.−r, 05.45.Df

note: © 2006 American Physical Society
abstract: 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.
date: 2006-12
date_type: published
publication: Physical Review E
volume: 74
number: 6
publisher: American Physical Society
pagerange: 066112
id_number: 10.1103/PhysRevE.74.066112
refereed: TRUE
issn: 1539-3755
official_url: http://dx.doi.org/10.1103/PhysRevE.74.066112
related_url_url: http://arxiv.org/abs/physics/0610108
citation:   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)  
document_url: http://eprints.imtlucca.it/1107/1/PhysRevE.Caldarelli_2006.pdf