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 |
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.
| Item Type: | Article |
|---|---|
| Identification Number: | https://doi.org/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 |
