Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes

DOI10.1007/s10287-013-0171-9zbMath1282.91397OpenAlexW2006451603MaRDI QIDQ2438069

Karl Finger, Daniel Fricke, Thomas C. H. Lux

Publication date: 10 March 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/60331

zbMATH Keywords

financial crisisnetwork modelsinterbank market

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Actuarial science and mathematical finance (91G99)

Related Items (10)

Constructing banking networks under decreasing costs of link formation ⋮ Financial liquidity: an emergent phenomena ⋮ Networked relationships in the e-MID interbank market: a trading model with memory ⋮ Emergence of a core-periphery structure in a simple dynamic model of the interbank market ⋮ Dynamic interbank network analysis using latent space models ⋮ Dimensional reduction of solvency contagion dynamics on financial networks ⋮ Bank characteristics and the interbank money market: a distributional approach ⋮ FINANCIAL CONTAGION IN LARGE, INHOMOGENEOUS STOCHASTIC INTERBANK NETWORKS ⋮ A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market ⋮ The impacts of interest rates on banks' loan portfolio risk-taking

Uses Software

• visone

Cites Work

• A network analysis of the Italian overnight money market
• Network and eigenvalue analysis of financial transaction networks
• Evolving market structure: An ACE model of price dispersion and loyalty
• Risk Assessment for Banking Systems
• Collective dynamics of ‘small-world’ networks

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