Working Paper |
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12 months |
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12 months |
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A fitness model for the Italian Interbank Money Market |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
132 |
A fitness model for the Italian interbank money market |
0 |
0 |
0 |
24 |
0 |
1 |
1 |
139 |
A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions |
0 |
0 |
0 |
359 |
1 |
1 |
3 |
1,229 |
A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions |
0 |
0 |
0 |
293 |
0 |
0 |
1 |
813 |
A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements |
0 |
0 |
1 |
29 |
0 |
0 |
2 |
51 |
A network analysis of the Italian overnight money market |
0 |
0 |
0 |
21 |
1 |
1 |
2 |
99 |
A quantitative model of trading and price formation in financial markets |
0 |
0 |
2 |
70 |
0 |
1 |
6 |
201 |
A simple microstructure model of double auction markets |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
509 |
Advances in the Agent-Based Modeling of Economic and Social Behavior |
1 |
1 |
5 |
50 |
1 |
3 |
7 |
48 |
Agent-Based Modelling for Financial Markets |
0 |
0 |
0 |
151 |
1 |
1 |
2 |
288 |
An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture |
0 |
0 |
0 |
11 |
0 |
0 |
2 |
61 |
An analysis of systemic risk in alternative securities settlement architectures |
0 |
0 |
0 |
77 |
0 |
0 |
0 |
249 |
Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
29 |
Centralized vs Decentralized Markets: The Role of Connectivity |
0 |
0 |
9 |
9 |
0 |
1 |
11 |
11 |
Centralized vs decentralized markets in the laboratory: The role of connectivity |
0 |
0 |
0 |
22 |
0 |
0 |
2 |
63 |
Centralized vs decentralized markets: The role of connectivity |
0 |
0 |
6 |
6 |
2 |
4 |
7 |
7 |
Contagion in a heterogeneous inter bank market model |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
209 |
Criticality in a model of banking crises |
0 |
0 |
0 |
11 |
0 |
1 |
1 |
61 |
Cross-correlation measures in the high-frequency domain |
0 |
0 |
0 |
12 |
2 |
3 |
3 |
73 |
Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis |
0 |
0 |
0 |
3 |
0 |
1 |
1 |
52 |
Demand Storage, Market Liquidity, and Price Volatility |
0 |
0 |
0 |
119 |
0 |
1 |
3 |
576 |
Herding effects in order driven markets: The rise and fall of gurus |
0 |
0 |
0 |
33 |
1 |
2 |
2 |
125 |
Information theoretic description of the e-Mid interbank market: implications for systemic risk |
0 |
0 |
0 |
20 |
1 |
2 |
3 |
54 |
Interbank Lending, Reserve Requirements and Systemic Risk |
0 |
0 |
1 |
391 |
0 |
0 |
1 |
1,108 |
Interbank Lending, reserve requirements and systemic risk |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
579 |
Macroprudential capital buffers in heterogeneous banking networks: Insights from an ABM with liquidity crises |
0 |
0 |
3 |
44 |
1 |
1 |
5 |
41 |
Market microstructure, bank's behaviour and interbank spreads |
0 |
0 |
0 |
118 |
0 |
0 |
0 |
235 |
Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis |
1 |
1 |
1 |
10 |
1 |
1 |
1 |
24 |
Modeling stock pinning |
0 |
0 |
0 |
29 |
0 |
1 |
2 |
103 |
Network Centrality and Funding Rates in the e-MID Interbank Market |
0 |
0 |
0 |
6 |
1 |
1 |
2 |
45 |
Networked relationships in the e-MID Interbank market: A trading model with memory |
1 |
1 |
1 |
36 |
1 |
2 |
2 |
161 |
Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
132 |
PATTERNS OF CONSUMPTION IN DISCRETE CHOICE MODELS WITH ASYMMETRIC INTERACTIONS |
0 |
0 |
0 |
184 |
0 |
0 |
0 |
497 |
Patterns of consumption in socio-economic models with heterogeneous interacting agents |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
41 |
Quantifying preferential trading in the e-MID interbank market |
0 |
0 |
0 |
21 |
0 |
0 |
2 |
71 |
Real-world options: smile and residual risk |
0 |
0 |
0 |
248 |
0 |
0 |
2 |
728 |
SCALING AND MULTI-SCALING ANALYSIS IN A MARKET MODEL WITH ENDOGENOUS THRESHOLD DYNAMICS |
0 |
0 |
0 |
82 |
0 |
0 |
0 |
249 |
Scaling and Multi-scaling in Financial Markets |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
110 |
Scaling and multiscaling in financial markets |
0 |
0 |
0 |
490 |
0 |
0 |
7 |
1,318 |
Socioeconomic networks with long-range interactions |
0 |
0 |
0 |
74 |
0 |
0 |
0 |
207 |
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation |
0 |
0 |
0 |
30 |
1 |
2 |
3 |
97 |
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
84 |
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows |
0 |
0 |
0 |
158 |
3 |
5 |
14 |
433 |
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows |
0 |
0 |
1 |
38 |
0 |
2 |
6 |
164 |
The Microstructure of the Italian Overnight Money Market |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
198 |
Trading strategies in the Italian interbank market |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
114 |
Trading strategies in the Italian interbank market |
0 |
0 |
0 |
18 |
1 |
1 |
1 |
84 |
Weighted network analysis of high frequency cross-correlation measures |
0 |
0 |
0 |
4 |
0 |
1 |
2 |
34 |
Total Working Papers |
3 |
3 |
30 |
3,460 |
19 |
42 |
124 |
11,936 |