City Research Online

Article

Banal-Estanol, A., Jofre-Bonet, M., Iori, G. ORCID: 0000-0001-9443-9353 , Maynou, L., Tumminello, M. & Vassallo, P.view all authors (2023). Performance-based research funding: Evidence from the largest natural experiment worldwide. Research Policy, 52(6), article number 104780. doi: 10.1016/j.respol.2023.104780

Gabbi, G. & Iori, G. ORCID: 0000-0001-9443-9353 (2022). New Measures for a New Normal in Finance and Risk Management. The European Journal of Finance, 28(13-15), pp. 1257-1262. doi: 10.1080/1351847x.2022.2057808

Gurgone, A. & Iori, G. ORCID: 0000-0001-9443-9353 (2021). Macroprudential Capital Buyers in Heterogeneous Banking Networks: Insights from an ABM with Liquidity Crises. The European Journal of Finance, 28(13-15), pp. 1399-1445. doi: 10.1080/1351847x.2021.1976664

Recchioni, C., Iori, G. ORCID: 0000-0001-9443-9353, Tedeschi, G. & Ouellette, M. S.view all authors (2021). The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications. European Journal of Operational Research, 293(1), pp. 336-360. doi: 10.1016/j.ejor.2020.11.050

Steinbacher, M., Raddant, M., Karimi, F. , Cuena, E., Alfarano, S., Iori, G. ORCID: 0000-0001-9443-9353 & Lux, T.view all authors (2021). Advances in the Agent-based Modeling of Economic and Social Behavior. SN Business & Economics, 1(7), article number 99. doi: 10.1007/s43546-021-00103-3

Kapar, B., Iori, G. ORCID: 0000-0001-9443-9353, Gabbi, G. & Germano, G.view all authors (2020). Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis. Journal of Economic Interaction and Coordination, 15(1), pp. 283-331. doi: 10.1007/s11403-019-00248-3

Gurgone, A., Iori, G. ORCID: 0000-0001-9443-9353 & Jafarey, S. (2018). The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model. Journal of Economic Dynamics and Control, 91, pp. 257-288. doi: 10.1016/j.jedc.2018.03.006

Temizsoy, A., Iori, G. & Montes-Rojas, G. (2017). Network Centrality and Funding Rates in the e-MID Interbank Market. Journal of Financial Stability, 33, pp. 346-365. doi: 10.1016/j.jfs.2016.11.003

Iori, G., Politi, M., Germano, G. & Gabbi, G.view all authors (2015). Banks’ strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market. The Journal of Financial Management, Markets and Institutions, 3(2), pp. 179-202. doi: 10.12831/82212

Iori, G., Kapar, B. & Olmo, J. (2015). Bank characteristics and the interbank money market: a distributional approach. Studies In Nonlinear Dynamics And Econometrics, 19(3), pp. 249-283. doi: 10.1515/snde-2014-0030

Hatzopoulos, V., Iori, G., Mantegna, R. , Micciche, S. & Tumminello, M.view all authors (2015). Quantifying preferential trading in the e-MID interbank market. Quantitative Finance, 15(4), pp. 693-710. doi: 10.1080/14697688.2014.969889

Kovaleva, P. & Iori, G. (2015). The Impact of Reduced Pre-Trade Transparency Regimes on Market Quality. Journal of Economic Dynamics & Control, 57, pp. 145-162. doi: 10.1016/j.jedc.2015.05.011

Hommes, C. & Iori, G. (2015). Introduction Special Issue JEDC Crises and Complexity. Journal of Economic Dynamics and Control, 50, pp. 1-4. doi: 10.1016/j.jedc.2014.09.026

Temizsoy, A., Iori, G. & Montes-Rojas, G. (2015). The role of bank relationships in the interbank market. Journal of Economic Dynamics and Control, 59, pp. 118-141. doi: 10.1016/j.jedc.2015.07.008

Iori, G., Mantegna, R., Marotta, L. , Micciche, S., Porter, J. & Tumminello, M.view all authors (2014). Networked relationships in the e-MID Interbank market: A trading model with memory. Journal of Economic Dynamics and Control, 50, pp. 98-116. doi: 10.1016/j.jedc.2014.08.016

Porter, J., Iori, G., Gabbi, G. & Jafarey, S.view all authors (2014). Financial regulations and bank credit to the real economy. Journal of Economic Dynamics and Control, 50, pp. 117-143. doi: 10.1016/j.jedc.2014.07.002

Tedeschi, G., Iori, G. & Gallegati, M. (2012). Herding effects in order driven markets: The rise and fall of gurus. Journal of Economic Behavior and Organization, 81(1), pp. 82-96. doi: 10.1016/j.jebo.2011.09.006

Tedeschi, G., Iori, G. & Gallegati, M. (2009). The role of communication and imitation in limit order markets. European Physical Journal B (The), 71(4), pp. 489-497. doi: 10.1140/epjb/e2009-00337-6

Chiarella, C., Iori, G. & Perello, J. (2008). The impact of heterogeneous trading rules on the limit order book and order flows. Journal Of Economic Dynamics & Control, 33(3), pp. 525-537. doi: 10.1016/j.jedc.2008.08.001

Carvalho, R. & Iori, G. (2008). Socioeconomic networks with long-range interactions. Physical Review E, 78(1), article number 016110. doi: 10.1103/physreve.78.016110

Iori, G., Reno, R., de Masi, G. & Caldarelli, G.view all authors (2007). Trading strategies in the Italian interbank market. Physica A: Statistical Mechanics and its Applications, 376(1-2), pp. 467-479. doi: 10.1016/j.physa.2006.10.053

de Masi, G., Iori, G. & Caldarelli, G. (2006). Fitness model for the Italian interbank money market. Physical Review E (PRE), 74(6), article number 066112. doi: 10.1103/physreve.74.066112

Precup, O. V. & Iori, G. (2004). A comparison of high-frequency cross-correlation measures. Physica A: Statistical Mechanics and its Appliations, 344(1-2), pp. 252-256. doi: 10.1016/j.physa.2004.06.127

Iori, G. (2002). A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions. Journal of Economic Behavior & Organization, 49(2), pp. 269-285. doi: 10.1016/s0167-2681(01)00164-0

Iori, G. & Jafarey, S. (2001). Criticality in a model of banking crises. Physica A: Statistical Mechanics and its Applications, 299(1-2), pp. 205-212. doi: 10.1016/s0378-4371(01)00297-7

Iori, G. (2001). Scaling and multiscaling in financial markets. AIP Conference Proceedings, 553, pp. 297-302. doi: 10.1063/1.1358199

Iori, G. & Marinari, E. (1997). On the stability of the mean-field spin glass broken phase under non-Hamiltonian perturbations. Journal Of Physics A: Mathematical and General, 30(13), pp. 4489-4511. doi: 10.1088/0305-4470/30/13/007

Marconi, U.M.B., Crisanti, A. & Iori, G. (1997). Soluble phase field model. Physical Review E, 56(1), pp. 77-87. doi: 10.1103/physreve.56.77

Garel, T., Iori, G. & Orland, H. (1996). Variational study of the random-field XY model. Physical Review B, 53(6), R2941-R2944. doi: 10.1103/physrevb.53.r2941

Bouchaud, J-P., Iori, G. & Sornette, D. (1995). Real-world options: smile and residual risk. Risk, 9(3), pp. 61-63.

Iori, G., Marinari, E. & Parisi, G. (1994). Non-exponential relaxation time scales in disordered systems: An application to protein dynamics. Europhysics Letters, 25(7), pp. 491-496. doi: 10.1209/0295-5075/25/7/003

Book Section

Iori, G. & Koulovassilopoulos, V. (2004). Patterns of consumption in a discrete choice model with asymmetric interactions. In: Barnett, William A., Deissenberger, Christophe & Feichtenberg, Gustav (Eds.), Economic Complexity. International Symposia in Economic Theory and Econometrics (14). (pp. 215-236). Emerald Group Publishing Limited. doi: 10.1108/S1571-0386(2004)0000014011

Monograph

Iori, G. ORCID: 0000-0001-9443-9353 & Gurgone, A. (2019). A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements (19/05). London, UK: Department of Economics, City, University of London.

Temizsoy, A., Iori, G. & Montes-Rojas, G. (2016). Network Centrality and Funding Rates in the e-MID Interbank Market (16/08). London, UK: Department of Economics, City, University of London.

Hatzopoulos, V., Iori, G., Mantegna, R. , Micciche, S. & Tumminello, M.view all authors (2013). Quantifying preferential trading in the e-MID interbank market (13/14). London, UK: Department of Economics, City University London.

Iori, G. & Porter, J. (2012). Agent-Based Modelling for Financial Markets (12/08). London, UK: Department of Economics, City University London.

Iori, G., Kapar, B. & Olmo, J. (2012). The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation (12/03). London, UK: Department of Economics, City University London.

Hatzopoulos, V. & Iori, G. (2012). Information theoretic description of the e-Mid interbank market: implications for systemic risk (12/04). London, UK: Department of Economics, City University London.

Gabbi, G., Germano, G., Hatzopoulos, V. , Iori, G. & Politi, M.view all authors (2012). Market microstructure, bank's behaviour and interbank spreads (12/06). London, UK: Department of Economics, City University London.

Kovaleva, P. & Iori, G. (2012). Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity (12/05). London, UK: Department of Economics, City University London.

Iori, G. & Tedeschi, G. (2010). Herding effects in order driven markets: The rise and fall of gurus (10/05). London, UK: Department of Economics, City University London.

Iori, G. & Deissenberg, C. (2008). An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture (08/03). London, UK: Department of Economics, City University London.

Chiarella, C., Iori, G. & Perello, J. (2008). The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows (08/04). London, UK: Department of Economics, City University London.

Carvalho, R. & Iori, G. (2007). Socioeconomic networks with long-range interactions (07/12). London, UK: Department of Economics, City University London.

Mattiussi, V. & Iori, G. (2006). Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis (06/09). London, UK: Department of Economics, City University London.

Jeannin, M., Iori, G. & Samuel, D. (2006). Modeling stock pinning (06/04). London, UK: Department of Economics, City University London.

Iori, G., Reno, R., de Masi, G. & Caldarelli, G.view all authors (2006). Trading strategies in the Italian interbank market (06/03). London, UK: Department of Economics, City University London.

Iori, G. & Precup, O. V. (2006). Weighted network analysis of high frequency cross-correlation measures (06/10). London, UK: Department of Economics, City University London.

de Masi, G., Iori, G. & Caldarelli, G. (2006). A fitness model for the Italian interbank money market (06/08). London, UK: Department of Economics, City University London.

Precup, O. V. & Iori, G. (2005). Cross-correlation measures in the high-frequency domain (05/04). London, UK: Department of Economics, City University London.

Iori, G., Masi, G. D., Precup, O. V. , Gabbi, G. & Caldarelli, G.view all authors (2005). A network analysis of the Italian overnight money market (05/05). London, UK: Department of Economics, City University London.

Working Paper

Alfarno, S., Banal-Estanol, A., Camacho, E. , Iori, G. ORCID: 0000-0001-9443-9353, Kapar, B. & Rahi, R.view all authors (2024). Centralized vs Decentralized Markets: The Role of Connectivity. City, University of London.

Recchioni, M. C., Tedeschi, G., Ouellette, M. S. & Iori, G. ORCID: 0000-0001-9443-9353view all authors (2019). Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model. City, University of London.