Professor Giulia Iori
Address
City University
Economics Department
Northampton Square, London, EC1V 0HB
TEL: 020 7040 4575
g.iori@city.ac.uk
Education
- – Ph. D. in Theoretical Physics Università di Roma la Sapienza Roma, Italy September 1993.
- – B. A. in Physics Università di Roma Tor Vergata July 1990. Final Evaluation: 110/100 cum laude.
Appointments
| Jan 2005- present : | Professor of Economics City University London, UK. |
| Sep 2004 - Dec 2004 : | Reader of Applied Mathematics King's College London, UK. |
| Aug 2000 - Aug 2004 : | Lecturer of Financial Mathematics King's College London, UK. |
| Sep 1998 - Jul 2000 : | Lecturer of Finance University of Essex Colchester, UK. |
| Jan 1997 - Sep 1998 : | TMR Postdoctoral Fellow Universitat de Barcelona Spain. |
| Oct 1995 - Dec 1996 : | Postdoctoral Fellow Università di Roma, La Sapienza Italy. |
| Nov 1993 - Oct 1995 : | Marie Curie Postdoctoral Fellow SPHT, Cea-Saclay (Paris) France |
| Mar 1993 - Aug 1993 : | Visiting Researcher UCSC Santa Cruz California |
Teaching
- – Essex University MSc Finance: Financial Derivatives (Spring 1999, Spring 2000)
- – King’s College London MSc Financial Mathematics: Exotic Derivatives (Spring 2001, Spring 2002, Spring 2003, Spring 2004).
- – King’s College London BSc Mathematics: Probability and Statistics II (Spring 2001).
- – City University, London BSc Economics: Introduction to Financial Derivatives (Spring 2007, 2008)
- – City University, London MSc Financial Economics: Topics in Corporate Finance (Spring 2006, 2007, 2008)
- – City University MSc Financial Economics, Financial Derivatives (Fall, 2005, 2006, 2007)
- – King’s College London MSc Financial Mathematics: Financial Markets (Fall 2002, Fall 2003, Fall 2004).
- – Essex University BSc Finance: Investment (Spring 2000), Corporate Finance (Fall 1998).
Invited Lectures
- – Palermo University, Italy 20-hour course of invited lectures on Financial Engineering for the MSc in Quantitative methods and operational strategies for financial risk management(January 2003).
- – University of Siena, Italy Two sets of 4-hour lectures on Financial Time Series Analysis and Systemic Risk for the MSc in Economics and Banking (June 2002, June 2003, June 2005, December 2008). Master course in Energy and Weather derivatives (8 hours) May 2007
- – ICTP, Trieste, Italy 10-hour course of invited lectures on Financial Mathematics and Option Pricing for the MSc in Applied Mathematics (April 2002, April 2003, December 2007).
Supervision
- – Supervisor of 3 PhD students, and several MSc Students and B.Sc Projects.
- – University of Ancona (Italy) External supervisor of one PhD Student (2007)
- – ICTP Trieste, (Italy) External supervision of one MSc student (Nov 2004-June 2005).
Administration
- – City University: Financial Economics MSc Programme Director (since 2005); Senior Tutor for Research (2005, 2006); Chair of Departmental Research Committee (since 2005); Chair of School Research Committee (2005-2006, 2006-2007);
Research
- Academic research visits and collaborations:
- European Central Bank, Frankfurt, 27-29 October 2003. University of Technology Sydney, 1-15 August 2003 and 14 November 2000 - 1 January 2001, research collaboration with Professor C. Chiarella. Helsinki University of Technology, 19-22 July 2003, research visit to Professor K. Kaski. University of Siena, 9-10 June 2003 and 20-22 June 2002, research collaboration with Professor G. Gabbi. ICTP, Trieste, 1-12 April 2003, 1-15 April 2002, 12-15 April 2005, research visit to Dr. S. Franz, Dr. A. Vespignani and Dr. M. Marsili. Palermo University, 6-17 January 2003, research visit to Professor R. Mantegna. Santa Fe Institute, New Mexico (2-8 July 2001, 9 August- 3 September 2001), research collaboration with Professor D. Farmer. Otto-von-Guericke University, Magdeburg, February 1998 - March 1998, research collaboration with Professor I. Rehberg.
- Membership of Scientific Committees
- 8th International Conference on Computing in Economics and Finance, Aix- Marselle June 27-29 2002; 11th Annual Symposium of the Society for Non-linear Dynamics and Econometrics, Florence, March 11-13 2003; 2nd conference on Complex Behaviour in Economics: Modeling, Computing, and Mastering Complexity, Aix en Provence, 8-11 May 2003; WEHIA 2005, June 12-15, University of Essex; GRID in Finance, Palermo, February 3-4, 2006; WEHIA 2006, June 15-17 University of Bologna; 12th International Conference on Computation in Economics and Finance, Cyprus, June 22-24, 2006; Noise and Fluctuations in Complex Systems and Finance, Florence, May 20-24, 2007. Econophysics Colloquium, Ancona, 27-29 September, 2007.
- Conference Organization
- Local co-organizer of the 13th Annual Symposium of the Society for Non-linear Dynamics and Econometrics, City University, London, March 31-April 1, 2005; Co-organizer of the 3rd Conference on Complex Behaviour in Economics: Modeling, Computing, and Mastering Complexity, Aix en Provence, 17-21 May 2006.
- Editorial Activity
- Associate Editor for Journal of Economic Behaviour and Organization (since 2005). Guest Editor (with Professor C. Deissenberg) for a special issue of Journal of Economic Behaviour and Organization (forthcoming, 2006) and a special issue of Computa- tional Economics (Vol 24, N 4, 2005) devoted to the 2nd Conference on Complex Behaviour in Economics: Modeling, Computing, and Mastering Complexity.
- Referee activity
- Referee service for Physical Review Letters, Physical Review E, Physica A, European Physical Journal, Journal of Economic Behaviour and Organization, Computa- tional Economics, Quantitative Finance, International Journal of Theoretical and Applied Finance, Advances in Complex Systems, Studies in Non-linear Dynamics and Econometrics, and Proceedings of the Royal Society.
- Expert evaluator activity
- Grant evaluator for the EPSRC, the British Council; Expert Evaluator for European Commission (Programmes Marie Curie and NEST, 2004, 2005, 2006).
- Memberships
- Member of the Institute of Physics. Member of Physics in Finance group at the Institute of Physics. Member of the London Mathematical Society. Member of the Bachelier Finance Society.
- Co-founder of the Finance-and-Physics mailing list
- (www.jiscmail.ac.uk/lists/finance-and- physics.html), aimed to help and promote discussions between different professional profiles involved in the study of financial markets.
Presentations
| – | A microsimulation of traders activity in the stock market: the role of heterogeneity, agent's interactions and trade frictions New York University (USA) 18-19 March 1999 Seventh Annual Symposium of the Society for Nonlinear Dynamics and Econometrics. |
| – | Avalanche Dynamics and Trading Friction Effects on Stock Market Returns Universita di Genova (Italy) 04-05 June 1999 Workshop on Economics with Heterogeneous Interacting Agents. |
| – | A threshold model for stock return volatility and trading volume Trinity College Dublin (Ireland) 15-17 July 1999 Conference on Applications of Physics in Financial Analysis 1 |
| – | Patterns of Consumption in Socio-Economic Models with Heterogeneous Interacting Agents Aix an Provence (France) 04-06 May 2000 1st conference on Complex Behaviour in Economics: Modeling, Computing, and Mastering Complexity |
| – | Avalanche dynamics in a threshold model for trading London (UK) 31 May-02 June 2000 Conference on Forcasting Financial Markets/Computational Finance (CF/FFM) |
| – | Patterns of Consumption in a discrete choice model with asymmetric interactions Universitat Pompeo Fabra, Barcelona (Spain) 06-08 July 2000 Conference on Computation in Economics and Finance (CEF 2000) |
| – | Scaling and Multiscaling in Financial Markets King’s College, London (UK) 10-14 July 2000 Conference on Disordered and Complex Systems, Satellite meeting of the International Congress of Mathematical Physics. |
| – | Inter Bank Lending, Reserve Requirements and Systemic Risk Sydney (Australia) 04-09 December 2000 Quantitative Methods in Finance & Bernoulli Society 2000 Conference. |
| – | Criticality in a model of banking crisis Prague (Czech Republic) 08-10 February 2001 NATO Conference on Application of Physics in Economics Modelling 4. |
| – | Scaling and Multiscaling in Financial Markets London (UK) 30 May-01 June 2001 Conference on Forecasting Financial Markets. |
| – | Inter Bank Lending, Reserve Requirements and Systemic Risk Yale University, New Haven (USA) 28-29 June 2001 7th International Conference of the Society of Computational Economics. |
| – | Neither a lender or a borrower be: systemic risk in the banking system Salerno University (Italy) 12-15 September 2001 Conference on NEW Economics Windows, invited speaker. |
| – | Modeling trading on double auction markets London (UK) 05-07 December 2001 Conference on Applications of Physics in Financial Analysis 3, keynote speaker. |
| – | Optimal Limit Order Strategies London (UK) 29-31 May 2002 Conference on Forecasting Financial Markets. |
| – | Modeling Limit Order Trading Bali (Indonesia) 29-31 August 2002 International Conference on Economics and Physics, invited speaker. |
| – | Systemic Risk in Economic Networks Florence (Italy) 13-15 March 2003 Eleventh Symposium of the Society for Nonlinear Dynamics and Econometrics, invited speaker and session organizer. |
| – | Payment Systems, Inter Bank Lending and Systemic Risk Aix en Provence (France) 08-11 May 2003 2nd Conference on Complex Behaviour in Economics: Modeling, Computing, and Mastering Complexity, invited speaker and session organizer. |
| – | Modelling Limit Order Trading Istanbul (Turkey) 06-10 July 2003 EURO/INFORMS Joint International Meeting on New Opportunities for Operations Research. |
| – | Athens (Greece) 20-21 November 2003 Third ECB-CFS Workshop hosted by the Bank of Greece, invited participant. |
| – | Systemic Risk in Payment, clearing and settlement architectures Nyborg (Denmark) 17-20 April 2004 COST P10 Kick Off Workshop Physics of Risk, invited speaker. |
| – | Symposium of the ECB-CFS Research Network on Capital Markets and Financial Integration in Europe Frankfurth (Germany) 10-11 May 2004 Systemic Risk in alternative clearing and settlement architectures, invited speaker |
| – | The Microstructure of Double Auction Markets: Further Simulation Analysis Kyoto (Japan) 27-29 May 2004 WHEIA 2004 |
| – | High-Frequency Cross-Correlation Dynamics in US Equity Markets, Melbourne (Australia) 09 June 2004 Workshop on Returns and Volatility in Markets for Financial Instruments, keynote speaker. |
| – | Modelling the microstructure of dealer and auction markets London (UK) 25 June 2004 Royal Bank of Scotland Quantitative Trading Symposium, guest speaker. |
| – | Beyond Robinson Crusoe economics: some ideas from statistical mechanics Ambleside (UK) 31 August 2004 EPSRC Condensed Matter Theory Summer School, invited evening seminar. |
| – | A Network Analysis of The Italian Overnight Money Market Oxford (UK) 27-29 September 2004 Sphinx Econophysics Workshop |
| – | Cross-Correlation Measures in the High-Frequency Domain. City University (London) 31 March-01 April 2005 13th Meeting of Society for Non Linear Dynamics and Econometrics |
| – | A network analysis of the Italian Overnight Money Market. Toledo (Spain) 23-26 April 2005 COST P10 (Physics of Risk) 2nd Annual Meeting |
| – | The Microstructure of the Italian Overnight Money Market. Universita delle Marche (Ancona) 16-21 May 2005 EU-Thematic Institute: Complexity, Heterogeneity and Interactions in Economics and Finance |
| – | The Microstructure of the Italian Overnight Money Market Siena University (Italy) 08-11 June 2005 2005 European Financial Management Association |
| – | The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows Essex University (UK) 13-15 June 2005 10th Workshop on Economics with Hetergeneous Interacting Agents (WEHIA) |
| – | An analysis of systemic risk in alternative securities settlement architectures. City University, CASS Business School (UK) 16-18 June 2005 Workshop on Clearing and settlement of financial markets: Europe and beyond. |
| – | Newton Institute, Cambridge (UK) 04-08 July 2005 Development in Quantitative Finance Workshop, Invited Participant. |
| – | An analysis of systemic risk in alternative securities settlement architectures. Collegium Budapest, Budapest (Hungary) 30 September-01 October 2005 Workshop on Systemic Risk in the Financial Sector, invited speaker. |
| – | Modeling Stock Pinning. Vilnius (Lithuania) 13-16 May 2006 3rd Annual meeting of the COST Action P10 ”Physics of Risk”. |
| – | The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. Aix an Provence (France) 17-21 May 2006 3rd conference on Complex Behaviour in Economics: Modeling, Computing, and Mastering Complexity |
| – | The Microstructure of Stock Pinning. University of Bologna (Italy) 14-17 June 2006 WEHIA 2006. |
| – | Network analysis of socio-economic systems Erice (Italy) 17-23 September 2006 Erice International School of Complexity |
| – | The impact of heterogeneous trading rules on the limit order book and order flows. Oxford (UK) 28-29 October 2006 Complex Adaptive Systems and Interacting Agents, satellite workshop to ECCS'06. |
| – | Measuring Volatility and Correlation with High Frequency Data Florence (Italy) 20-24 May 2007 SPIE Fluctuations and Noise, The 4th International Symposium, Villa La Pietra |
| – | Socioeconomic Networks with Long-Range Interactions Citta del Mare (Palermo) (Italy) 20-23 September 2007 Annual Cost P10 Meeting |
| – | Modeling Stock Pinning Warwick (UK) 17-19 March 2008 Royal Economic Society Meeting |
| – | Numerical and empirical analysis of interbank lending and systemic risk Warwick (UK) 04-05 April 2008 |
| – | Numerical and empirical analysis of interbank lending and sy stemic risk Copenhagen, Niels Bohr Institute (Denmark) 07-09 May 2008 Econophysics: new trends and challenges |
| – | Numerical and empirical analysis of interbank lending and systemic risk Kiel (Germany) 13 May 2008 |
| – | The impact of heterogeneous trading rules on the limit order book and order flows. Warsaw (Poland) 19-21 June 2008 WEHIA/ESHIA |
| – | The impact of heterogeneous trading rules on the limit order book and order flows. Paris (France) 26-28 June 2008 CEF |
| – | The impact of heterogeneous trading rules on the limit order book and order flows. London (UK) 15-19 July 2008 Bachelier 5th World Congress |
Publications
Working Papers | – | Giulia Iori, Francisco Padilla, Mihail Zervos Optimal limit order strategies |
| – | G. Tedeschi, G. Iori and M. Gallegati The role of exogenous and endogenous communication in limit order markets |
Forthcoming Papers | – | M. Jeannin, G. Iori, D. Samuel The pinning effect: theory and a simulated microstructure model Quantitative Finance (forthcoming, 2008) http://econpapers.repec.org/paper/ctydpaper/0604.htm |
| – | C. Chiarella, G. Iori, J. Perello The impact of heterogeneous trading rules on the limit order book and order flows. Journal of Economic Dynamics and Control (forthcoming). http://dx.doi.org/10.1016/j.jedc.2008.08.001 |
Book Chapters | – | Vanessa Mattiussi and Giulia Iori Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed) (2008) http://econpapers.repec.org/paper/ctydpaper/0609.htm |
| – | G. Iori and C. Deissenberg An analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures in E.J. Konotghiorghes, B. Rustem and P. Winker (Eds.): "Computational Methods in Financial Engineering", Springer, Heidelberg, 2008 |
| – | J. D. Farmer, L. Gillemot, G. Iori , S. Krishnamaurty, E. Smith, and M.G. Daniel A random order placement model of price formation in the continuos double auction in The Economy as an evolving complex system III, Blume and Durlauf (Eds), 175-206,Oxford University press, (2006) |
| – | G. Iori and V. Koulovassilopoulos Patterns of consumption in a discrete choice model with asymmetric interactions in William Barnett, Christophe Deissenberg, and Gustav Feichtinger (Eds.), "Economic Complexity: Non-linear Dynamics, Multi-agents Economies, and Learning", ISETE Vol 14, Elsevier, Amsterdam (2004). http://econpapers.repec.org/paper/scescecf0/84.htm |
| – | G.Iori Scaling and Multiscaling in Financial Markets in Disordered and Complex Systems, ed. P.Sollich et al., AIP Conference Proceedings, Vol 553, 297-302 (2001). http://econpapers.repec.org/paper/wpawuwpfi/0004006.htm |
Reviews | – | G. Iori A close look at market microstructure Quantitative Finance, Vol 3, No 2, C23-C25 (2003) http://www.doi.org/10.1088/1469-7688/3/2/702 |
Journal Articles | – | G. Iori, G. de Masi, O. Precup, G. Gabbi G. Caldarelli, A network analysis of the Italian Overnight Money Market, Journal of Economic Dynamics and Control 32, 259-278 (2008). http://dx.doi.org/10.1016/j.jedc.2007.01.032 |
| – | R. Carvalho and G. Iori Socio-economic networks with long-range interactions Phys. Rev. E 78, 016110 (2008) http://arxiv.org/abs/0706.0024 |
| – | G. Iori, R. Reno', G. de Masi and G. Caldarelli, Correlation of trading strategies in the Italian interbank market, Physica A, 376, 467-479 (2007), http://dx.doi.org/10.1016/j.physa.2006.10.053 |
| – | O. Precup and G. Iori, Cross-Correlation Measures in the High-Frequency Domain, European Journal of Finance, 13, 4, 319 - 331, (2007) http://taylorandfrancis.metapress.com/openurl.asp?genre=article&id=doi:10.1080/13518470600813565 |
| – | Giulia Iori and Ovidiu V. Precup, Weighted network analysis of high frequency cross-correlation measures, Physical Review E, Vol.75, No.3, (2007) http://link.aps.org/abstract/PRE/v75/e036110 |
| – | G. De Masi, G. Iori and G. Caldarelli, A fitness model for the Italian Interbank Money Market, Phys. Rev. E 74, 066112 (2006), http://link.aps.org/abstract/PRE/v74/e066112 |
| – | G. Iori, S. Jafarey, F. Padilla, Systemic Risk on the Interbank market, Journal of Economic Behaviour and Organization, Vol. 61, No. 4, 525-542 (2006), http://dx.doi.org/10.1016/j.jebo.2004.07.018 |
| – | C. Deissenberg and G. Iori EDITORIAL Journal of Economic Behavior & Organization, Vol. 61, No. 4, (2006) 521-524 http://dx.doi.org/10.1016/j.jebo.2006.05.001 |
| – | O. Precup and G. Iori, A Comparison of High-Frequency Cross-Correlation Measures, Physica A, Vol 344/1-2, 252-256 (2004), http://dx.doi.org/10.1016/j.physa.2004.06.127 |
| – | G. Iori, M.G.Daniel, J. D. Farmer, L.Gillemot, S. Krishnamurthy, E. Smith, An analysis of price impact function in order driven markets, Physica A, Vol 324, 146-151 (2003), http://dx.doi.org/10.1016/S0378-4371(02)01888-5 |
| – | Marcus G. Daniels, J. Doyne Farmer, L. Gillemot, Giulia Iori, Eric Smith, Quantitative model of price diffusion and market friction based on trading as a mechanistic random process, Phys. Rev. Lett. Vol 90, No. 10, 108102 (2003), http://link.aps.org/abstract/PRL/v90/e108102 |
| – | G. Iori, A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions, Journal of Economic Behaviour and Organization, Vol. 49, no. 2, 269-285, (2002), http://dx.doi.org/10.1016/S0167-2681(01)00164-0 |
| – | C. Chiarella and G. Iori, A Simulation Analysis of the Microstructure of Double Auction Markets, Quantitative Finance, Vol. 2, No 5, 346-353 (2002), http://dx.doi.org/10.1088/1469-7688/2/5/303 |
| – | M.Q. Lopez-Salvans, G. Iori, J. Casademunt, and F. Sagues Dynamics of finger arrays in a diffusion-limited growth model in the presence of a drift Physica D, Vol. 164, 127-151, (2002). http://dx.doi.org/10.1016/S0167-2789(01)00387-6 |
| – | G. Iori and S. Jafarey, Criticality in a model of banking crisis, Physica A, 299, 205-212 (2001), http://dx.doi.org/10.1016/S0378-4371(01)00297-7 |
| – | E.P.K. Tsang, J. Ki, S. Markose, H. Er, A. Salhi, G.Iori EDDIE In Financial Decision Making The Journal of Management and Economics, Vol 4, No 4 (2000). |
| – | C.Voeltz, M. Schroter, G.Iori, A. Betat, A. Lange, A. Engel and I.Rehberg, Finger-like patterns in sedimenting water-Sand suspentions. Phys. Rep. 337, 117-138 (2000). http://dx.doi.org/10.1016/S0370-1573(00)00058-2 |
| – | G. Iori A threshold model for stock return volatility and trading volume International Journal of Theoretical and Applied Finance, Vol. 3, No. 3 (2000) 467-472 http://www.doi.org/10.1142/S0219024900000413 |
| – | G. Iori Avalanche Dynamics and Trading Friction Effects on Stock Market Returns. Int. J. Mod. Phys. C, 10, 6, 1149-1162, (1999). http://dx.doi.org/10.1142/S0129183199000930 |
| – | G. Iori, J. Ortin, L. Carrillo Linearly driven Random Field Ising Model: hysteresis and avalanches Anales de Fisica, 4, 245-246 (1997) |
| – | G. Iori, J. Casademunt DLA simulation of finger competition in an external driving field Anales de Fisica, 4, 243-244 (1997) |
| – | G. Iori, E. Marinari On the stability of the mean-field spin glass broken phase under non-Hamiltonian perturbations J. Phys. A: Math. Gen. 30 4489-4511 (1997) http://dx.doi.org/10.1088/0305-4470/30/13/007 |
| – | U.M. Bettolo, A. Crisanti, G. Iori A soluble Phase field model Phys. Rev. E. Vol 56, No 1, 77-87 (1997) http://dx.doi.org/10.1103/PhysRevE.56.77 |
| – | J.P.Bouchaud, G.Iori, D.Sornette Real world options: smile and residual risk Risk Vol 9, No 3 (1996) http://www.cfm.fr/papers/9509095.pdf |
| – | T.Garel, G.Iori. H.Orland A variational study of the random-field XY model Phys. Rev. B, Vol 53, No. 6, R2941-R2944 (1996) http://dx.doi.org/10.1103/PhysRevB.53.R2941 |
| – | G.Iori, E.Marinari, G.Parisi Non exponential relaxation time scales in disordered systems: an application to protein dynamics Europhys. Lett. Vol 25, No. 7, (1994) 491-496 http://www.iop.org/EJ/abstract/0295-5075/25/7/003/ |
| – | G.Iori, E.Marinari, G.Parisi Heteropolymer Folding on a APE-100 Supercomputer Int. J. of Mod. Phys. C, Vol 4, No. 6 (1993) 1333-1341 http://www.doi.org/10.1142/S0129183193001051 |
| – | G.Iori Proteins and Random Heteropolymers: an Overview Int. J. of Neural Systems Vol. 3 (Supp. 1992) 201-207 http://www.doi.org/10.1142/S012906579200053X |
| – | G.Iori, E.Marinari, G.Parisi and M.V.Struglia, Statistical Mechanics of Heteropolymer Folding Physica A 185 (1992) 98-103 http://dx.doi.org/10.1016/0378-4371(92)90442-S |
| – | G.Iori, E.Marinari and G.Parisi Random self-interacting chains: a mechanism for protein folding J. Phys A 24 (1991) 5349-5362. http://dx.doi.org/10.1088/0305-4470/24/22/019 |
| – | L.Narici, G.Iori, I.Modena, G.L.Romani, G.Torrioli, R.Traversa and P.M.Rossini Neuromagneting Imaging of Syncronized Mu Activity Advances in Biomagnetism, ed. by Williamson et al. Plenum Press, New York. |