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A fitness model for the Italian Interbank Money Market

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  • G. De Masi

    (Dipartimento di Fisica, Universita' dell'Aquila Coppito
    INFM-CNR Centro SMC and Dipartimento di Fisica Universit\'a di Roma "La Sapienza" Roma, Italy)

  • G. Iori

    (Department of Economics, City University, London, UK)

  • G. Caldarelli

    (INFM-CNR Centro SMC and Dipartimento di Fisica Universit\'a di Roma "La Sapienza" Roma, Italy
    Centro Studi e Museo della Fisica Enrico Fermi, Roma, Italy)

Abstract

We use the theory of complex networks in order to quantitatively characterize the formation of communities in a particular financial market. The system is composed by different banks exchanging on a daily basis loans and debts of liquidity. Through topological analysis and by means of a model of network growth we can determine the formation of different group of banks characterized by different business strategy. The model based on Pareto's Law makes no use of growth or preferential attachment and it reproduces correctly all the various statistical properties of the system. We believe that this network modeling of the market could be an efficient way to evaluate the impact of different policies in the market of liquidity.

Suggested Citation

  • G. De Masi & G. Iori & G. Caldarelli, 2006. "A fitness model for the Italian Interbank Money Market," Papers physics/0610108, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0610108
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