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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.