Giulia Iori

City University London - Department of Economics

Northampton Square

London, EC1V 0HB

United Kingdom

  • City University London - Department of Economics

SCHOLARLY PAPERS

17

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94

Scholarly Papers (17)

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1.

Systemic Risk on the Interbank Market

Number of pages: 35 Posted: 06 Feb 2001
Giulia Iori, Saqib Jafarey and Francesco Padilla
City University London - Department of Economics, University of Liverpool Management School (ULMS) - Economics Division and King's College London
Downloads 548 (84,851)
Citation 17

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Systemic risk, contagion, interbank lending

2.

Comparing Correlation Matrix Estimators Via Kullback-Leibler Divergence

Number of pages: 20 Posted: 02 Dec 2011
Vanessa Mattiussi, Michele Tumminello, Giulia Iori and Rosario N. Mantegna
City University London - Department of Economics, University of Palermo, City University London - Department of Economics and University of Palermo
Downloads 511 (92,525)
Citation 2

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Correlation estimation, Pearson estimator, Fourier estimator, Hayashi-Yoshida estimator, Kullback-Leibler divergence

3.

Modeling Stock Pinning

Number of pages: 12 Posted: 14 Jul 2006
Marc Jeannin, Giulia Iori and David Samuel
affiliation not provided to SSRN, City University London - Department of Economics and Royal Bank of Scotland (RBS)
Downloads 482 (99,382)
Citation 1

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derivatives, hedging, pinning, market microstructure

4.

A Network Analysis of the Italian Overnight Money Market

Number of pages: 22 Posted: 09 Nov 2005
Giulia Iori, Giulia de Masi, Ovidiu Precup, Giampaolo Gabbi and Guido Caldarelli
City University London - Department of Economics, University of L'Aquila - Department of Physics, Kings College, London - Department of Mathematics, SDA Bocconi School of Management and IMT Alti Studi Lucca
Downloads 329 (153,246)
Citation 102

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5.

Scaling and Multi-Scaling in Financial Markets

Number of pages: 6 Posted: 21 Aug 2000
Giulia Iori
City University London - Department of Economics
Downloads 295 (172,036)
Citation 1

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Scaling, multiscaling, volatility clustering

6.

Inter Bank Lending and Systemic Risk

Number of pages: 35 Posted: 09 Nov 2005
Giulia Iori, Saqib Jafarey and Francesco Padilla
City University London - Department of Economics, University of Liverpool Management School (ULMS) - Economics Division and King's College London
Downloads 286 (177,748)
Citation 1

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7.

An Analysis of Systemic Risk in Alternative Securities Settlement Architectures

Number of pages: 29 Posted: 06 Jan 2005
Giulia Iori
City University London - Department of Economics
Downloads 246 (206,635)
Citation 3

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Security clearing and settlement, gross and net systems, systemic risk

8.

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

Quantitative Finance Research Centre Research Paper No. 152
Number of pages: 16 Posted: 02 May 2006
Carl Chiarella and Giulia Iori
University of Technology, Sydney - UTS Business School, Finance Discipline Group and City University London - Department of Economics
Downloads 224 (226,253)
Citation 22

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9.

A Microsimulation of Traders Activity in the Stock Market: The Role of Heterogeneity, Agents' Interactions and Trade Frictions

Number of pages: 12 Posted: 24 Jul 1999
Giulia Iori
City University London - Department of Economics
Downloads 223 (227,197)
Citation 5

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10.

Cross-Correlation Measures in the High-Frequency Domain

Number of pages: 19 Posted: 09 Nov 2005
Ovidiu Precup and Giulia Iori
Kings College, London - Department of Mathematics and City University London - Department of Economics
Downloads 212 (238,148)
Citation 2

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High-Frequency Correlation, Fourier method, Epps Effect, Minimum Spanning Tree, random networks

11.

Quantifying Preferential Trading in the e-MID Interbank Market

Number of pages: 25 Posted: 25 Oct 2013 Last Revised: 05 Nov 2013
Vasilis Hatzopoulos, Giulia Iori, Rosario N. Mantegna, Salvatore Miccichè and Michele Tumminello
City University London - Department of Economics, City University London - Department of Economics, University of Palermo, University of Palermo - Department of Physics and Chemistry and University of Palermo
Downloads 130 (360,417)
Citation 5

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Interbank markets, interbank rates, preferential links, statistically validated networks

12.

Patterns of Consumption in a Discrete Choice Model with Asymmetric Interactions

Number of pages: 10 Posted: 09 Nov 2000
Vassilis Koulovassilopoulos and Giulia Iori
London South Bank University - Business and City University London - Department of Economics
Downloads 124 (373,301)

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Discrete Choice Models, Asymmetric Interactions, Heterogeneous Interacting Agents, Consumption Behaviour, Complexity

13.

Market Microstructure, Banks' Behaviour, and Interbank Spreads

Number of pages: 35 Posted: 26 Oct 2013
Giampaolo Gabbi, Guido Germano, Vasilis Hatzopoulos, Giulia Iori and Mauro Politi
SDA Bocconi School of Management, University College London, City University London - Department of Economics, City University London - Department of Economics and University of Marburg
Downloads 106 (418,203)
Citation 2

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nterbank lending, market microstructure, subprime crisis, liquidity management

14.

Patterns of Consumption in Socio-Economic Models with Heterogeneous Interacting Agents

Number of pages: 21 Posted: 29 Oct 1999
Giulia Iori and Vassilis Koulovassilopoulos
City University London - Department of Economics and London South Bank University - Business
Downloads 97 (444,545)

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15.

Networked Relationships in the e-MID Interbank Market: A Trading Model with Memory

Number of pages: 37 Posted: 14 Mar 2014
Giulia Iori, Rosario N. Mantegna, Luca Marotta, Salvatore Miccichè, James Porter and Michele Tumminello
City University London - Department of Economics, University of Palermo, University of Palermo, University of Palermo - Department of Physics and Chemistry, City University London and University of Palermo
Downloads 62 (575,291)
Citation 5

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16.

A Simulation Analysis of the Microstructure of Double Auction Markets

Quantitative Finance, Vol. 2, pp. 346-353, 2002
Posted: 09 Nov 2005
Giulia Iori and Carl Chiarella
City University London - Department of Economics and University of Technology, Sydney - UTS Business School, Finance Discipline Group

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17.

Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process

Physical Review Letters, Vol. 90, No. 10, 2003
Posted: 08 Nov 2005
Giulia Iori, J. Doyne Farmer, Eric Smith and Laszlo Gillemot
City University London - Department of Economics, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Santa Fe Institute - Economics and Santa Fe Institute

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