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Proceedings Paper

The Italian Interbank Network: statistical properties and a simple model
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Paper 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.

Paper Details

Date Published: 15 June 2007
PDF: 14 pages
Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010U (15 June 2007); doi: 10.1117/12.727064
Show Author Affiliations
G. De Masi, Univ. delle Marche (Italy)
G. Iori, City Univ. (United Kingdom)
G. Caldarelli, INFM-CNR, Univ. di Roma La Sapienza (Italy)
Ctr. Studi e Museo della Fisica Enrico Fermi (Italy)

Published in SPIE Proceedings Vol. 6601:
Noise and Stochastics in Complex Systems and Finance
János Kertész; Stefan Bornholdt; Rosario N. Mantegna, Editor(s)

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