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Daniel Fricke

Personal Details

First Name:Daniel
Middle Name:
Last Name:Fricke
Suffix:
RePEc Short-ID:pfr242

Affiliation

(60%) University College London, Department of Computer Science

http://www.cs.ucl.ac.uk/home/
United Kingdon, London

(39%) Systemic Risk Centre
London School of Economics (LSE)

London, United Kingdom
http://www.systemicrisk.ac.uk/

: +44 (0)20 7852 3549

Houghton Street London WC2A 2AE
RePEc:edi:srlseuk (more details at EDIRC)

(1%) Saïd Business School
Oxford University

Oxford, United Kingdom
http://www.sbs.ox.ac.uk/

: +44 (0)1865 288800
+44 (0)1865 288805
Park End Street, Oxford OX1 1HP UK
RePEc:edi:sbsoxuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Fricke, Christoph & Fricke, Daniel, 2017. "Vulnerable Funds?," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168209, Verein für Socialpolitik / German Economic Association.
  2. Fricke, Christoph & Fricke, Daniel, 2017. "Vulnerable asset management? The case of mutual funds," Discussion Papers 32/2017, Deutsche Bundesbank.
  3. Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.
  4. Fricke, Daniel & Lux, Thomas, 2013. "On the distribution of links in the interbank network: Evidence from the e-mid overnight money market," Kiel Working Papers 1819, Kiel Institute for the World Economy (IfW).
  5. Fricke, Daniel & Lux, Thomas, 2013. "The effects of a financial transaction tax in an artificial financial market," Kiel Working Papers 1868, Kiel Institute for the World Economy (IfW).
  6. Fricke, Daniel & Finger, Karl & Lux, Thomas, 2013. "On assortative and disassortative mixing in scale-free networks: The case of interbank credit networks," Kiel Working Papers 1830, Kiel Institute for the World Economy (IfW).
  7. Fricke, Daniel & Lux, Thomas, 2012. "Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform," Kiel Working Papers 1759, Kiel Institute for the World Economy (IfW).
  8. Finger, Karl & Fricke, Daniel & Lux, Thomas, 2012. "Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes," Kiel Working Papers 1782, Kiel Institute for the World Economy (IfW).
  9. Fricke, Daniel, 2012. "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Kiel Working Papers 1766, Kiel Institute for the World Economy (IfW).
  10. Fricke, Daniel, 2010. "Contagion between European and US banks: Evidence from equity prices," Kiel Working Papers 1667, Kiel Institute for the World Economy (IfW).

Articles

  1. Simone Alfarano & Daniel Fricke & Thomas Lux & Matthias Raddant, 2016. "Network Approaches to Interbank Markets: Foreword," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 1-2, January.
  2. Fricke, Daniel, 2016. "Has the banking system become more homogeneous? Evidence from banks’ loan portfolios," Economics Letters, Elsevier, vol. 142(C), pages 45-48.
  3. Daniel Fricke & Thomas Lux, 2015. "On the distribution of links in the interbank network: evidence from the e-MID overnight money market," Empirical Economics, Springer, vol. 49(4), pages 1463-1495, December.
  4. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  5. Karl Finger & Daniel Fricke & Thomas Lux, 2013. "Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes," Computational Management Science, Springer, vol. 10(2), pages 187-211, June.
  6. Fricke, Daniel, 2012. "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6528-6542.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.

    Cited by:

    1. Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.

  2. Fricke, Daniel & Lux, Thomas, 2013. "On the distribution of links in the interbank network: Evidence from the e-mid overnight money market," Kiel Working Papers 1819, Kiel Institute for the World Economy (IfW).

    Cited by:

    1. Finger, Karl & Fricke, Daniel & Lux, Thomas, 2012. "Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes," Kiel Working Papers 1782, Kiel Institute for the World Economy (IfW).
    2. Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
    3. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2015. "The role of bank relationships in the interbank market," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 118-141.
    4. Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon, 2015. "Interbank markets and multiplex networks: centrality measures and statistical null models," Papers 1501.05751, arXiv.org.
    5. Ortega, Fabio & León, Carlos, 2018. "Las transferencias procesadas por ACH Colombia: un análisis desde la perspectiva de topología de redes," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, issue 88, pages 109-153, January.
    6. Benjamin Vandermarliere & Alexei Karas & Jan Ryckebusch & Koen Schoors, 2014. "Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks," Papers 1409.3738, arXiv.org, revised Jan 2015.
    7. Berndsen, Ron J. & León, Carlos & Renneboog, Luc, 2018. "Financial stability in networks of financial institutions and market infrastructures," Journal of Financial Stability, Elsevier, vol. 35(C), pages 120-135.
    8. Luu, Duc Thi & Lux, Thomas & Yanovski, Boyan, 2017. "Structural correlations in the Italian overnight money market: An analysis based on network configuration models," Economics Working Papers 2017-02, Christian-Albrechts-University of Kiel, Department of Economics.
    9. Paul Glasserman, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
    10. Paul Glasserman & H. Peyton Young, 2015. "Contagion in Financial Markets," Working Papers 15-21, Office of Financial Research, US Department of the Treasury.
    11. Nicolò Pecora & Alessandro Spelta, 2016. "Discovering SIFIs in interbank communities," DISCE - Working Papers del Dipartimento di Economia e Finanza def037, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    12. Hüser, Anne-Caroline, 2015. "Too interconnected to fail: A survey of the interbank networks literature," SAFE Working Paper Series 91, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    13. Pecora, Nicolò & Spelta, Alessandro, 2015. "Shareholding relationships in the Euro Area banking market: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 1-12.
    14. Lux, Thomas, 2017. "On the distribution of links in financial networks: Structural heterogeneity and functional form," Economics Working Papers 2017-05, Christian-Albrechts-University of Kiel, Department of Economics.
    15. Fabio Ortega & Carlos León, 2017. "Las transferencias compensadas por ACH Colombia: Un análisis desde la perspectiva de topología de redes," Borradores de Economia 990, Banco de la Republica de Colombia.
    16. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
    17. Lux, Thomas, 2016. "Network effects and systemic risk in the banking sector," FinMaP-Working Papers 62, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    18. Glasserman, Paul & Young, H. Peyton, 2016. "Contagion in financial networks," LSE Research Online Documents on Economics 68681, London School of Economics and Political Science, LSE Library.
    19. Fabio Ortega & Carlos León, 2018. "Transfers processed by ACH Colombia: a network topology analysis," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 88, pages 109-153, Enero - J.

  3. Fricke, Daniel & Lux, Thomas, 2013. "The effects of a financial transaction tax in an artificial financial market," Kiel Working Papers 1868, Kiel Institute for the World Economy (IfW).

    Cited by:

    1. Gareth W. Peters & Efstathios Panayi & Francois Septier, 2015. "SMC-ABC methods for the estimation of stochastic simulation models of the limit order book," Papers 1504.05806, arXiv.org.
    2. Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading," Documents de Travail de l'OFCE 2016-12, Observatoire Francais des Conjonctures Economiques (OFCE).
    3. Fontini, Fulvio & Sartori, Elena & Tolotti, Marco, 2016. "Are transaction taxes a cause of financial instability?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 57-70.
    4. Richard M. Bird, 2014. "Global Taxes and International Taxation: Mirage and Reality," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper1429, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
    5. Luigi Bonatti & Lorenza Lorenzetti, 2016. "The co-evolution of tax evasion, social capital and policy responses: A theoretical approach," DEM Working Papers 2016/08, Department of Economics and Management.
    6. Gaffeo, Edoardo & Molinari, Massimo, 2017. "Taxing financial transactions in fundamentally heterogeneous markets," Economic Modelling, Elsevier, vol. 64(C), pages 322-333.

  4. Fricke, Daniel & Finger, Karl & Lux, Thomas, 2013. "On assortative and disassortative mixing in scale-free networks: The case of interbank credit networks," Kiel Working Papers 1830, Kiel Institute for the World Economy (IfW).

    Cited by:

    1. Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
    2. Paolo Barucca & Fabrizio Lillo, 2018. "The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market," Computational Management Science, Springer, vol. 15(1), pages 33-53, January.
    3. Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon, 2013. "The multiplex structure of interbank networks," Papers 1311.4798, arXiv.org.
    4. Lux, Thomas, 2014. "Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market," FinMaP-Working Papers 3, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    5. Berndsen, Ron J. & León, Carlos & Renneboog, Luc, 2018. "Financial stability in networks of financial institutions and market infrastructures," Journal of Financial Stability, Elsevier, vol. 35(C), pages 120-135.
    6. Schrader, Klaus & Bencek, David & Laaser, Claus-Friedrich, 2013. "IfW-Krisencheck: Alles wieder gut in Griechenland?," Kiel Discussion Papers 522/523, Kiel Institute for the World Economy (IfW).
    7. Yangbo Song & Mihaela Schaar, 2015. "Dynamic network formation with incomplete information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 59(2), pages 301-331, June.
    8. Paolo Barucca & Fabrizio Lillo, 2015. "The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market," Papers 1511.08068, arXiv.org, revised Sep 2017.
    9. Lux, Thomas, 2014. "Emergence of a core-periphery structure in a simple dynamic model of the interbank market," Kiel Working Papers 1917, Kiel Institute for the World Economy (IfW).
    10. Paolo Barucca & Fabrizio Lillo, 2015. "Disentangling bipartite and core-periphery structure in financial networks," Papers 1511.08830, arXiv.org.

  5. Fricke, Daniel & Lux, Thomas, 2012. "Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform," Kiel Working Papers 1759, Kiel Institute for the World Economy (IfW).

    Cited by:

    1. Iñaki Aldasoro & Iván Alves, 2016. "Multiplex interbank networks and systemic importance – An application to European data," ESRB Working Paper Series 20, European Systemic Risk Board.
    2. Kanno, Masayasu, 2015. "The network structure and systemic risk in the Japanese interbank market," Japan and the World Economy, Elsevier, vol. 36(C), pages 102-112.
    3. Finger, Karl & Fricke, Daniel & Lux, Thomas, 2012. "Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes," Kiel Working Papers 1782, Kiel Institute for the World Economy (IfW).
    4. Blasques, Francisco & Brauning, Falk & Lelyveld, Iman Van, 2016. "A dynamic network model of the unsecured interbank lending market," Working Papers 16-3, Federal Reserve Bank of Boston.
    5. Tarik Roukny, Co-Pierre Georg and Stefano Battiston, 2014. "A Network Analysis of the Evolution of the German Interbank Market," Working Papers 461, Economic Research Southern Africa.
    6. Abbassi, Puriya & Bräuning, Falk & Schulze, Niels, 2017. "Bargaining power and outside options in the interbank lending market," Discussion Papers 31/2017, Deutsche Bundesbank.
    7. Inaki Aldasoro & Domenico Delli Gatti & Ester Faia, 2015. "Bank Networks: Contagion, Systemic Risk and Prudential Policy," CESifo Working Paper Series 5182, CESifo Group Munich.
    8. Leon Rincon, C.E. & Cely, Jorge & Cadena, Carlos, 2015. "Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data," Discussion Paper 2015-029, Tilburg University, Center for Economic Research.
    9. Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
    10. Aldasoro, Iñaki & Alves, Iván, 2018. "Multiplex interbank networks and systemic importance: An application to European data," Journal of Financial Stability, Elsevier, vol. 35(C), pages 17-37.
    11. Marco van der Leij & Daan in 't Veld & Cars Hommes, 2014. "The Formation of a Core Periphery Structure in Heterogeneous Financial Networks," Tinbergen Institute Discussion Papers 14-098/II, Tinbergen Institute, revised 11 Aug 2016.
    12. Carlos León & Jhonatan Pérez & Luc Renneboog, 2014. "A multi-layer network of the sovereign securities market," BORRADORES DE ECONOMIA 012036, BANCO DE LA REPÚBLICA.
    13. Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája
      [Trading mechanisms and market frictions. Microstructure of the financial markets]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
    14. Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon, 2015. "Interbank markets and multiplex networks: centrality measures and statistical null models," Papers 1501.05751, arXiv.org.
    15. Iman van Lelyveld & Daan in 't Veld, 2012. "Finding the core: Network structure in interbank markets," DNB Working Papers 348, Netherlands Central Bank, Research Department.
    16. Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon, 2013. "The multiplex structure of interbank networks," Papers 1311.4798, arXiv.org.
    17. Lux, Thomas, 2014. "Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market," FinMaP-Working Papers 3, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    18. carlos León & Ron J. Berndsen, 2013. "Modular scale-free architecture of Colombian financial networks: Evidence and challenges with financial stability in view," Borradores de Economia 799, Banco de la Republica de Colombia.
    19. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2015. "Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 207-250, August.
    20. Montagna, Mattia & Lux, Thomas, 2014. "Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information," FinMaP-Working Papers 8, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    21. Finger, Karl & Lux, Thomas, 2014. "Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations," FinMaP-Working Papers 1, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    22. Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2014. "Mapping the UK interbank system," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 288-303.
    23. Poutineau, Jean-Christophe & Vermandel, Gauthier, 2017. "Global banking and the conduct of macroprudential policy in a monetary union," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 306-331.
    24. Raddant, Matthias, 2012. "Structure in the Italian overnight loan market," Kiel Working Papers 1772, Kiel Institute for the World Economy (IfW).
    25. Dror Kenett & Shlomo Havlin, 2015. "Network science: a useful tool in economics and finance," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 14(2), pages 155-167, November.
    26. Lee, Seung Hwan, 2013. "Systemic liquidity shortages and interbank network structures," Journal of Financial Stability, Elsevier, vol. 9(1), pages 1-12.
    27. Paul Glasserman, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
    28. Seungjin Baek & Kimmo Soramäki & Jaeho Yoon, 2014. "Network Indicators for Monitoring Intraday Liquidity in BOK-Wire+," Working Papers 2014-1, Economic Research Institute, Bank of Korea.
    29. Silva, Thiago Christiano & de Souza, Sergio Rubens Stancato & Tabak, Benjamin Miranda, 2016. "Network structure analysis of the Brazilian interbank market," Emerging Markets Review, Elsevier, vol. 26(C), pages 130-152.
    30. Nicolò Pecora & Alessandro Spelta, 2016. "Discovering SIFIs in interbank communities," DISCE - Working Papers del Dipartimento di Economia e Finanza def037, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    31. Tasca, Paolo & Battiston, Stefano, 2014. "Diversification and financial stability," LSE Research Online Documents on Economics 59297, London School of Economics and Political Science, LSE Library.
    32. Hausenblas, Václav & Kubicová, Ivana & Lešanovská, Jitka, 2015. "Contagion risk in the Czech financial system: A network analysis and simulation approach," Economic Systems, Elsevier, vol. 39(1), pages 156-180.
    33. Thiago Christiano Silva & Marcos Soares da Silva & Benjamin Miranda Tabak, 2015. "Liquidity Performance Evaluation of the Brazilian Interbank Market using a Network-Based Approach," Working Papers Series 401, Central Bank of Brazil, Research Department.
    34. Ethan Cohen-Cole & Eleonora Patacchini & Yves Zenou, 2014. "Static and Dynamic Networks in Interbank Markets," EIEF Working Papers Series 1408, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2014.
    35. Leon Rincon, C.E. & Machado, C. & Sarmiento Paipilla, N.M., 2015. "Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks," Discussion Paper 2015-052, Tilburg University, Center for Economic Research.
    36. Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter, 2017. "Counterparty credit limits: An effective tool for mitigating counterparty risk?," Papers 1709.08238, arXiv.org.
    37. Fricke, Daniel, 2012. "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6528-6542.
    38. Makoto Nirei & Julián Caballero & Vladyslav Sushko, 2015. "Bank capital shock propagation via syndicated interconnectedness," BIS Working Papers 484, Bank for International Settlements.
    39. Hüser, Anne-Caroline, 2015. "Too interconnected to fail: A survey of the interbank networks literature," SAFE Working Paper Series 91, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    40. Vinko Zlati'c & Giampaolo Gabbi & Hrvoje Abraham, 2014. "Reduction of systemic risk by means of Pigouvian taxation," Papers 1406.5817, arXiv.org.
    41. Pawe{l} Smaga & Mateusz Wili'nski & Piotr Ochnicki & Piotr Arendarski & Tomasz Gubiec, 2016. "Can banks default overnight? Modeling endogenous contagion on O/N interbank market," Papers 1603.05142, arXiv.org.
    42. Iori, Giulia & Mantegna, Rosario N. & Marotta, Luca & Miccichè, Salvatore & Porter, James & Tumminello, Michele, 2015. "Networked relationships in the e-MID interbank market: A trading model with memory," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 98-116.
    43. Sheri M. Markose, 2012. "Systemic Risk from Global Financial Derivatives; A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax," IMF Working Papers 12/282, International Monetary Fund.
    44. Montagna, Mattia & Kok, Christoffer, 2013. "Multi-layered interbank model for assessing systemic risk," Kiel Working Papers 1873, Kiel Institute for the World Economy (IfW).
    45. Lux, Thomas, 2014. "A Model of the Topology of the Bank-Firm Credit Network and Its Role as Channel of Contagion," FinMaP-Working Papers 19, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    46. Paolo Barucca & Fabrizio Lillo, 2015. "The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market," Papers 1511.08068, arXiv.org, revised Sep 2017.
    47. Gaël Hauton & Jean-Cyprien Héam, 2015. "Interconnectedness of Financial Conglomerates," Risks, MDPI, Open Access Journal, vol. 3(2), pages 1-25, May.
    48. Batiz-Zuk, Enrique & López-Gallo, Fabrizio & Martínez-Jaramillo, Serafín & Solórzano-Margain, Juan Pablo, 2016. "Calibrating limits for large interbank exposures from a system-wide perspective," Journal of Financial Stability, Elsevier, vol. 27(C), pages 198-216.
    49. Oet, Mikhail V. & Ong, Stephen J., 2015. "From Organization to Activity in the US Collateralized Interbank Market," Working Paper 1529, Federal Reserve Bank of Cleveland.
    50. Paolo Barucca & Fabrizio Lillo, 2015. "Disentangling bipartite and core-periphery structure in financial networks," Papers 1511.08830, arXiv.org.

  6. Finger, Karl & Fricke, Daniel & Lux, Thomas, 2012. "Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes," Kiel Working Papers 1782, Kiel Institute for the World Economy (IfW).

    Cited by:

    1. Piero Mazzarisi & Paolo Barucca & Fabrizio Lillo & Daniele Tantari, 2017. "A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market," Papers 1801.00185, arXiv.org.
    2. Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
    3. Paolo Barucca & Fabrizio Lillo, 2018. "The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market," Computational Management Science, Springer, vol. 15(1), pages 33-53, January.
    4. Daniel Fricke & Thomas Lux, 2015. "On the distribution of links in the interbank network: evidence from the e-MID overnight money market," Empirical Economics, Springer, vol. 49(4), pages 1463-1495, December.
    5. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2015. "Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 207-250, August.
    6. Benjamin Vandermarliere & Alexei Karas & Jan Ryckebusch & Koen Schoors, 2014. "Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks," Papers 1409.3738, arXiv.org, revised Jan 2015.
    7. Iori Giulia & Kapar Burcu & Olmo Jose, 2015. "Bank characteristics and the interbank money market: a distributional approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(3), pages 249-283, June.
    8. Luu, Duc Thi & Lux, Thomas & Yanovski, Boyan, 2017. "Structural correlations in the Italian overnight money market: An analysis based on network configuration models," Economics Working Papers 2017-02, Christian-Albrechts-University of Kiel, Department of Economics.
    9. Montagna, Mattia & Lux, Thomas, 2014. "Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information," FinMaP-Working Papers 8, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    10. Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini, 2016. "What do central counterparties default funds really cover? A network-based stress test answer," Papers 1611.03782, arXiv.org.
    11. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2017. "Network centrality and funding rates in the e-MID interbank market," Journal of Financial Stability, Elsevier, vol. 33(C), pages 346-365.
    12. Finger, Karl & Lux, Thomas, 2014. "Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations," FinMaP-Working Papers 1, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    13. Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
    14. Spiros Bougheas & Alan Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," Discussion Papers 2014/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    15. Finger, Karl & Lux, Thomas, 2014. "Friendship between banks: An application of an actor-oriented model of network formation on interbank credit relations," Kiel Working Papers 1916, Kiel Institute for the World Economy (IfW).
    16. Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2017. "Network models of financial systemic risk: A review," Discussion Papers 1719, Graduate School of Economics, Kobe University.
    17. Fricke, Daniel, 2012. "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6528-6542.
    18. Edoardo Gaffeo & Massimo Molinari, 2017. "A functional perspective on financial networks," Working Papers 181, University of Rome La Sapienza, Department of Public Economics.
    19. Vinko Zlati'c & Giampaolo Gabbi & Hrvoje Abraham, 2014. "Reduction of systemic risk by means of Pigouvian taxation," Papers 1406.5817, arXiv.org.
    20. Lux, Thomas, 2017. "On the distribution of links in financial networks: Structural heterogeneity and functional form," Economics Working Papers 2017-05, Christian-Albrechts-University of Kiel, Department of Economics.
    21. Paolo Barucca & Fabrizio Lillo, 2015. "The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market," Papers 1511.08068, arXiv.org, revised Sep 2017.
    22. Lux, Thomas, 2016. "Network effects and systemic risk in the banking sector," FinMaP-Working Papers 62, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    23. Sadamori Kojaku & Giulio Cimini & Guido Caldarelli & Naoki Masuda, 2018. "Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis," Papers 1802.05139, arXiv.org.
    24. Fernando Linardi & Cees (C.G.H.) Diks & Marco (M.J.) van der Leij & Iuri Lazier, 2017. "Dynamic Interbank Network Analysis Using Latent Space Models," Tinbergen Institute Discussion Papers 17-101/II, Tinbergen Institute.
    25. Montagna, Mattia & Lux, Thomas, 2014. "Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information," Kiel Working Papers 1937, Kiel Institute for the World Economy (IfW).

  7. Fricke, Daniel, 2012. "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Kiel Working Papers 1766, Kiel Institute for the World Economy (IfW).

    Cited by:

    1. Finger, Karl & Fricke, Daniel & Lux, Thomas, 2012. "Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes," Kiel Working Papers 1782, Kiel Institute for the World Economy (IfW).
    2. Nicolò Pecora & Alessandro Spelta, 2016. "Discovering SIFIs in interbank communities," DISCE - Working Papers del Dipartimento di Economia e Finanza def037, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    3. Markus Engler & Vahidin Jeleskovic, 2016. "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics 201648, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    4. Pecora, Nicolò & Spelta, Alessandro, 2015. "Shareholding relationships in the Euro Area banking market: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 1-12.

Articles

  1. Daniel Fricke & Thomas Lux, 2015. "On the distribution of links in the interbank network: evidence from the e-MID overnight money market," Empirical Economics, Springer, vol. 49(4), pages 1463-1495, December.
    See citations under working paper version above.
  2. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
    See citations under working paper version above.
  3. Karl Finger & Daniel Fricke & Thomas Lux, 2013. "Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes," Computational Management Science, Springer, vol. 10(2), pages 187-211, June.
    See citations under working paper version above.
  4. Fricke, Daniel, 2012. "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6528-6542. See citations under working paper version above.Sorry, no citations of articles recorded.

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  1. NEP-FMK: Financial Markets (1) 2017-11-12. Author is listed

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