Giulia Iori - Academia.edu (original) (raw)

Papers by Giulia Iori

Physica D: Nonlinear Phenomena, 2002

We present a numerical study of the zero-temperature random field Isingmodel, focusing on the inf... more We present a numerical study of the zero-temperature random field Isingmodel, focusing on the influence that a finite rate driving has on hysteresisand avalanches. In the limit of quasistatic driving the model is known todisplay a disorder-induced continuous transition between a regime of smoothhysteresis cycles, displaying only finite size avalanches, and a regime of hysteresiscycles with sharp magnetization jumps, corresponding

This paper compares securities settlement gross and netting architectures. It studies settlement ... more This paper compares securities settlement gross and netting architectures. It studies settlement risk arising from exogenous operational delays and compares settlement failures between the two architectures as functions of the length of the settlement interval under different market conditions. While settlement failures are non-monotonically related to the length of settlement cycles under both architectures, there is no clear cut ranking

Journal of Economic Dynamics and Control, 2015

International Journal of Modern Physics C, 1999

Nonlinear Economic Dynamics and Financial Modelling, 2014

Noise and Stochastics in Complex Systems and Finance, 2007

ABSTRACT We use the theory of complex networks in order to quantitatively characterize the struct... more ABSTRACT We use the theory of complex networks in order to quantitatively characterize the structure of reciprocal expositions of Italian banks in the interbank money market market. We observe two main different strategies of banks: small banks tend to be the lender of the system, while large banks are borrowers. We propose a model to reproduce the main statistical features of this market. Moreover the network analysis allows us to investigate properties of robustness of this system.

Computational Methods in Financial Engineering, 2008

ABSTRACT This paper compares the so-called gross and net architectures for securities settlement.... more ABSTRACT This paper compares the so-called gross and net architectures for securities settlement. It studies the settlement risk arising from exogenous operational delays and compares the importance of settlement failures under the two architectures, as a function of the length of the settlement cycle and of different market conditions. Under both architectures, settlement failures are non-monotonically related to the length of settlement cycle. There is no evidence that continuous time settlement provides always higher stability. Gross systems appear to be more stable than net systems.

Noise and Stochastics in Complex Systems and Finance, 2007

ABSTRACT We review applications, published in three separate papers, of a recently proposed metho... more ABSTRACT We review applications, published in three separate papers, of a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to less noisy estimates than the traditional methodologies proposed so far.

Journal of Economic Behavior & Organization

The limit order book is a device for storing demand and effecting trades that is the primary mech... more The limit order book is a device for storing demand and effecting trades that is the primary mechanism for price formation in most modern financial markets. We study the limit order book under a random process model of order flow, using simulations and an analytic treatment based on a master equation. We make testable predictions of the price diffusion rate,

SSRN Electronic Journal, 2000

Routledge International Studies in Money and Banking, 2007

ABSTRACT This paper uses data-rich estimation techniques to study monetary policy in an open econ... more ABSTRACT This paper uses data-rich estimation techniques to study monetary policy in an open economy. We apply the techniques to a small, forward-looking model and explore the importance of the exchange rate in the monetary policy rule. This approach allows us to discern whether a monetary authority targets the exchange rate per se, or instead simply responds to the exchange rate in order to achieve its other objectives. The approach also removes a downward bias on the estimate of the extent of inflation targeting. We find that this bias is important in the case of Korea, a de jure inflation targeter. In contrast to previous studies, our findings suggest that the Bank of Korea actively targets inflation, not the exchange rate. Apparently, the exchange rate has been only indirectly important in Korea's monetary policy.