Giulia Iori

City University London - Department of Economics

Northampton Square

London, EC1V 0HB

United Kingdom

SCHOLARLY PAPERS

18

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CITATIONS
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in Total Papers Citations

144

Scholarly Papers (18)

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 506 (53,816)
Citation 62

Abstract:

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Systemic risk, contagion, interbank lending

2.

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 381 (75,987)
Citation 1

Abstract:

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derivatives, hedging, pinning, market microstructure

3.

Comparing Correlation Matrix Estimators Via Kullback-Leibler Divergence

Number of pages: 20 Posted: 02 Dec 2011
City University London - Department of Economics, University of Palermo, City University London - Department of Economics and University of Palermo
Downloads 380 (76,212)
Citation 1

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

4.

A Network Analysis of the Italian Overnight Money Market

Number of pages: 22 Posted: 09 Nov 2005
City University London - Department of Economics, University of L'Aquila - Department of Physics, Kings College, London - Department of Mathematics, SDA Bocconi and IMT Alti Studi Lucca
Downloads 297 (100,600)
Citation 112

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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 271 (110,933)
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 253 (119,253)
Citation 1

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7.

An Analysis of Systemic Risk in Alternative Securities Settlement Architectures

ECB Working Paper No. 404
Number of pages: 29 Posted: 06 Jan 2005
Giulia Iori
City University London - Department of Economics
Downloads 228 (132,325)
Citation 1

Abstract:

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

8.

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 197 (152,011)
Citation 15

Abstract:

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9.

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 193 (154,999)
Citation 4

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

10.

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 184 (161,811)
Citation 15

Abstract:

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11.

Quantifying Preferential Trading in the e-MID Interbank Market

Number of pages: 25 Posted: 25 Oct 2013 Last Revised: 05 Nov 2013
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 104 (254,897)
Citation 7

Abstract:

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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 103 (256,608)

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

13.

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 80 (301,170)

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14.

Market Microstructure, Banks' Behaviour, and Interbank Spreads

Number of pages: 35 Posted: 26 Oct 2013
SDA Bocconi, University College London, City University London - Department of Economics, City University London - Department of Economics and University of Marburg
Downloads 68 (330,195)

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nterbank lending, market microstructure, subprime crisis, liquidity management

15.

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

Number of pages: 37 Posted: 14 Mar 2014
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 44 (404,038)
Citation 10

Abstract:

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16.

A Multi-Agent Methodology to Assess the Effectiveness of Alternative Systemic Risk Adjusted Capital Requirements

Number of pages: 26 Posted: 26 Mar 2019
Andrea Gurgone and Giulia Iori
Complexity Lab in Economics - CLE, Catholic University of Milan and City University London - Department of Economics
Downloads 11 (567,912)

Abstract:

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agent-based-model; systemic-risk; macroprudential policy

17.

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

Abstract:

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18.

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
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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