Information theoretic description of the e-Mid interbank market: implications for systemic risk

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads

Weighted network analysis of high frequency cross-correlation measures

In this paper we implement a Fourier method to estimate high-frequency correlation matrices from small data sets. The Fourier estimates are shown to be considerably less noisy than the standard Pearson correlation measures and thus capable of detecting subtle changes in correlation matrices with just a month of data. The evolution of correlation at different time scales is analyzed from the full correlation matrix and its minimum spanning tree representation. The analysis is performed by implementing measures from the theory of random weighted networks. © 2007 The American Physical Society

New record of Abelisauroid Theropods from the Bauru group (upper cretaceous), São Paulo State, Brazil

Isolated bones of abelisauroid theropods from the Bauru Group (Late Cretaceous, Brazil), are described. They correspond to three individuals represented by fused ischia and part of the ilium, a partial axis, and a right fi bula, respectively. The fossils come from different sites in the municipalities of Ibirá (axis and fi bula) and Monte Alto (ilium and ischia), São Paulo State, from Maastrichtian beds of the São José do Rio Preto and the Marília formations (Bauru Group), respectively. The specimens provide new information on abelisauroids which are still poorly known in the Brazilian fossil record, and on the distribution of this diverse group of theropod dinosaurs in South America. These discoveries indicate that abelisauroids were the most common large predatory dinosaurs in the outcrops where they come from.Ossos isolados de terópodes abelissauroides do Grupo Bauru (Cretáceo Superior), Brasil, são descritos. O material consiste de restos de três indivíduos, um representado pelos ísquios fusionados e parte do ílio, outro por um fragmento de áxis e outro por uma fíbula direita. Os fósseis, oriundos dos municípios de Ibirá (áxis e fíbula) e Monte Alto (ílio e ísquios fusionados), Estado São Paulo, foram descobertos em depósitos maastrichtianos das formações São José do Rio Preto e Marília (Grupo Bauru), respectivamente. Os espécimes fornecem novas informações sobre abelissauroides, ainda são pouco conhecidos no registro fóssil brasileiro, e sobre a distribuição deste grupo diverso de dinossauros terópodes na América do Sul. Estas descobertas indicam que os abelissauroides foram os grandes dinossauros predadores mais comuns nos afl oramentos de onde eles provêm.Fil: Méndez, Ariel Hernán. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Patagonia Norte. Instituto de Investigaciones en Biodiversidad y Medioambiente. Universidad Nacional del Comahue. Centro Regional Universidad Bariloche. Instituto de Investigaciones en Biodiversidad y Medioambiente; ArgentinaFil: Novas, Fernando Emilio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Museo Argentino de Ciencias Naturales "Bernardino Rivadavia"; ArgentinaFil: Iori, Fabiano V.. Universidade Federal do Rio de Janeiro; Brasi

Market microstructure, bank's behaviour and interbank spreads

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads

Patterns of consumption in a discrete choice model with asymmetric interactions

We study the consumption behaviour of an asymmetric network of heterogeneous agents in the framework of discrete choice models with stochastic decision rules. We assume that the interactions among agents are uniquely specified by their “social distance” and consumption is driven by peering, distinction and aspiration effects. The utility of each agent is positively or negatively affected by the choices of other agents and consumption is driven by peering, imitation and distinction effects. The dynamical properties of the model are explored, by numerical simulations, using three different evolution algorithms with: parallel, sequential and random-sequential updating rules. We analyze the long-time behaviour of the system which, given the asymmetric nature of the interactions, can either converge into a fixed point or a periodic attractor. We discuss the role of symmetric versus asymmetric contributions to the utility function and also that of idiosyncratic preferences, costs and memory in the consumption decision of the agents

Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis

We analyze a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to more robust estimates than the traditional methodologies proposed so far. In the first part of the paper, we evaluate the performance of the Fourier algorithm to reconstruct the time volatility of simulated univariate and bivariate models; in the second part, the Fourier method is used to investigate the volatility and correlation dynamics of futures markets over the Asian crisis period, with the purpose of detecting possible interdependencies and volatility transmissions across countries amid a period of financial turmoil

Cross-correlation measures in the high-frequency domain

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures can not be directly applied to the raw data. To deal with this problem the time series have to be either homogenised through interpolation or methods that can handle raw non-synchronous time series need to be employed. This paper compares two traditional methods that use inter-polation with an alternative method applied directly to the actual time series. The three methods are tested on simulated data and actual trades time series

A fitness model for the Italian Interbank Money Market

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.Comment: 5 pages 5 figure

A quantitative model of trading and price formation in financial markets

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of a market, such as the diffusion rate of prices, which is the standard measure of financial risk, and the spread and price impact functions, which are the main determinants of transaction cost. Guided by dimensional analysis, simulation, and mean field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.Comment: 5 pages, 4 figure