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A network analysis of the Italian overnight money market. (English) Zbl 1181.91234

Summary: The objective of this paper is to analyze the network topology of the Italian segment of the European overnight money market through methods of statistical mechanics applied to complex networks. We investigate differences in the activities of banks of different sizes and the evolution of their connectivity structure over the maintenance period. The main purpose of the analysis is to establish the potential implications of the current institutional arrangements on the stability of the banking system and to assess the efficiency of the interbank market in terms of absence of speculative and preferential trading relationships.

MSC:

91B74 Economic models of real-world systems (e.g., electricity markets, etc.)
91B80 Applications of statistical and quantum mechanics to economics (econophysics)
91G70 Statistical methods; risk measures
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