We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate...

This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing interbank credit connections...

We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these...

Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they...

High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have...

A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized...

This paper develops a methodology for estimating the parameters of dynamic opinion or expectation formation processes with social interactions. We study a simple stochastic framework of a collective process of opinion formation by a group of agents...

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with...

This chapter provides an overview over the recently developed so called multifractal (MF) approach for modeling and forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and...

Milaković, Alfarano and Lux (2010) have identified a small core of directors who are both highly central to the entire network of German corporate boards as well as closely connected among themselves. While their analysis...