Professor Giulia Iori

Department of Economics,

School of Social Science

City University,

Northampton Square,

London EC1V 0HB.

Phone +44-020-7040-4575

Fax + 44-020-7040-8580

E: g.iori@city.ac.uk

Personal Web Page: http://www.giuliaiori.com/

 

 

Education

Ph. D. in Theoretical Physics Università di Roma la Sapienza Roma, Italy September 1993.

Bsc., MSc. in Physics Università di Roma Tor Vergata July 1990.

 

Working Papers

C. Chiarella, G. Iori, J. Perello The impact of heterogeneous trading rules on the limit order book and order flows.

 

Giulia Iori, Francisco Padilla, Mihail Zervos Optimal limit order strategies

 

Giulia Iori An analysis of systemic risk in alternative securities settlement architectures European Central Bank Working Paper No. 404, November 2004.

http://www.ecb.int/pub/pdf/scpwps/ecbwp404.pdf

 

M. Jeannin, G. Iori, D. Samuel The pinning effect: theory and a simulated microstructure model, http://econpapers.repec.org/paper/ctydpaper/0604.htm

 

R. Carvalho and G. Iori Socio-economica networks with long-range interactions, http://econpapers.repec.org/paper/ctydpaper/07_2F12.htm

 

Forthcoming Papers

G. Iori, G. de Masi, O. Precup, G. Gabbi G. Caldarelli, A network analysis of the Italian Overnight Money Market, Journal of Economic Dynamics and Control (forthcoming, 2007).

http://dx.doi.org/10.1016/j.jedc.2007.01.032

 

Journal Articles

O. Precup and G. Iori, Cross-Correlation Measures in the High-Frequency Domain, European Journal of Finance, 13, 4, 319 - 331, (2007)

http://taylorandfrancis.metapress.com/openurl.asp?genre=article&id=doi:10.1080/13518470600813565

 

G. Iori, R. Reno', G. de Masi and G. Caldarelli, Correlation of trading strategies in the Italian interbank market, Physica A, 376, 467-479 (2007),

http://dx.doi.org/10.1016/j.physa.2006.10.053

 

Giulia Iori and Ovidiu V. Precup, Weighted network analysis of high frequency cross-correlation measures, Physical Review E, Vol.75, No.3, (2007)

http://link.aps.org/abstract/PRE/v75/e036110

 

C. Deissenberg and G. Iori EDITORIAL Journal of Economic Behavior & Organization, Vol. 61, No. 4, (2006) 521-524

http://dx.doi.org/10.1016/j.jebo.2006.05.001

 

G. Iori, S. Jafarey, F. Padilla, Systemic Risk on the Interbank market, Journal of Economic Behaviour and Organization, Vol. 61, No. 4, 525-542 (2006),

http://dx.doi.org/10.1016/j.jebo.2004.07.018

 

G. De Masi, G. Iori and G. Caldarelli, A fitness model for the Italian Interbank Money Market, Phys. Rev. E 74, 066112 (2006),

http://link.aps.org/abstract/PRE/v74/e066112

 

O. Precup and G. Iori, A Comparison of High-Frequency Cross-Correlation Measures, Physica A, Vol 344/1-2, 252-256 (2004),

http://dx.doi.org/10.1016/j.physa.2004.06.127

 

G. Iori, M.G.Daniel, J. D. Farmer, L.Gillemot, S. Krishnamurthy, E. Smith, An analysis of price impact function in order driven markets, Physica A, Vol 324, 146-151 (2003),

http://dx.doi.org/10.1016/S0378-4371(02)01888-5

 

Marcus G. Daniels, J. Doyne Farmer, L. Gillemot, Giulia Iori, Eric Smith, Quantitative model of price diffusion and market friction based on trading as a mechanistic random process, Phys. Rev. Lett. Vol 90, No. 10, 108102 (2003),

http://link.aps.org/abstract/PRL/v90/e108102

 

C. Chiarella and G. Iori, A Simulation Analysis of the Microstructure of Double Auction Markets, Quantitative Finance, Vol. 2, No 5, 346-353 (2002),

http://dx.doi.org/10.1088/1469-7688/2/5/303

 

G. Iori, A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions, Journal of Economic Behaviour and Organization, Vol. 49, no. 2, 269-285, (2002),

http://dx.doi.org/10.1016/S0167-2681(01)00164-0

 

M.Q. Lopez-Salvans, G. Iori, J. Casademunt, and F. Sagues Dynamics of finger arrays in a diffusion-limited growth model in the presence of a drift Physica D, Vol. 164, 127-151, (2002).

http://dx.doi.org/10.1016/S0167-2789(01)00387-6

 

G. Iori and S. Jafarey, Criticality in a model of banking crisis, Physica A, 299, 205-212 (2001),

http://dx.doi.org/10.1016/S0378-4371(01)00297-7

 

E.P.K. Tsang, J. Ki, S. Markose, H. Er, A. Salhi, G.Iori EDDIE In Financial Decision Making The Journal of Management and Economics, Vol 4, No 4 (2000).

 

C.Voeltz, M. Schroter, G.Iori, A. Betat, A. Lange, A. Engel and I.Rehberg, Finger-like patterns in sedimenting water-Sand suspentions. Phys. Rep. 337, 117-138 (2000).

http://dx.doi.org/10.1016/S0370-1573(00)00058-2

 

G. Iori A threshold model for stock return volatility and trading volume International Journal of Theoretical and Applied Finance, Vol. 3, No. 3 (2000) 467-472

http://www.doi.org/10.1142/S0219024900000413

 

G. Iori Avalanche Dynamics and Trading Friction Effects on Stock Market Returns. Int. J. Mod. Phys. C, 10, 6, 1149-1162, (1999).

http://dx.doi.org/10.1142/S0129183199000930

 

G. Iori, E. Marinari On the stability of the mean-field spin glass broken phase under non-Hamiltonian perturbations J. Phys. A: Math. Gen. 30 4489-4511 (1997)

http://dx.doi.org/10.1088/0305-4470/30/13/007

 

G. Iori, J. Ortin, L. Carrillo Linearly driven Random Field Ising Model: hysteresis and avalanches Anales de Fisica, 4, 245-246 (1997)

 

G. Iori, J. Casademunt DLA simulation of finger competition in an external driving field Anales de Fisica, 4, 243-244 (1997)

 

U.M. Bettolo, A. Crisanti, G. Iori A soluble Phase field model Phys. Rev. E. Vol 56, No 1, 77-87 (1997)

http://dx.doi.org/10.1103/PhysRevE.56.77

 

T.Garel, G.Iori. H.Orland A variational study of the random-field XY model Phys. Rev. B, Vol 53, No. 6, R2941-R2944 (1996)

http://dx.doi.org/10.1103/PhysRevB.53.R2941

 

J.P.Bouchaud, G.Iori, D.Sornette Real world options: smile and residual risk Risk Vol 9, No 3 (1996)

http://www.cfm.fr/papers/9509095.pdf

 

G.Iori, E.Marinari, G.Parisi Non exponential relaxation time scales in disordered systems: an application to protein dynamics Europhys. Lett. Vol 25, No. 7, (1994) 491-496

http://www.iop.org/EJ/abstract/0295-5075/25/7/003/

 

G.Iori, E.Marinari, G.Parisi Heteropolymer Folding on a APE-100 Supercomputer Int. J. of Mod. Phys. C, Vol 4, No. 6 (1993) 1333-1341

http://www.doi.org/10.1142/S0129183193001051

 

G.Iori, E.Marinari, G.Parisi and M.V.Struglia, Statistical Mechanics of Heteropolymer Folding Physica A 185 (1992) 98-103

http://dx.doi.org/10.1016/0378-4371(92)90442-S

 

G.Iori Proteins and Random Heteropolymers: an Overview Int. J. of Neural Systems Vol. 3 (Supp. 1992) 201-207

http://www.doi.org/10.1142/S012906579200053X

 

G.Iori, E.Marinari and G.Parisi Random self-interacting chains: a mechanism for protein folding J. Phys A 24 (1991) 5349-5362.

http://dx.doi.org/10.1088/0305-4470/24/22/019

 

L.Narici, G.Iori, I.Modena, G.L.Romani, G.Torrioli, R.Traversa and P.M.Rossini Neuromagneting Imaging of Syncronized Mu Activity Advances in Biomagnetism, ed. by Williamson et al. Plenum Press, New York.

 

Book Chapters

Vanessa Mattiussi and Giulia Iori Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed) (2008)

http://econpapers.repec.org/paper/ctydpaper/0609.htm

 

G. Iori and C. Deissenberg An analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures in E.J. Konotghiorghes, B. Rustem and P. Winker (Eds.): "Computational Methods in Financial Engineering", Springer, Heidelberg, 2008

 

J. D. Farmer, L. Gillemot, G. Iori , S. Krishnamaurty, E. Smith, and M.G. Daniel A random order placement model of price formation in the continuos double auction in The Economy as an evolving complex system III, Blume and Durlauf (Eds), 175-206,Oxford University press, (2006)

 

G. Iori and V. Koulovassilopoulos Patterns of consumption in a discrete choice model with asymmetric interactions in William Barnett, Christophe Deissenberg, and Gustav Feichtinger (Eds.), "Economic Complexity: Non-linear Dynamics, Multi-agents Economies, and Learning", ISETE Vol 14, Elsevier, Amsterdam (2004).

 

G.Iori Scaling and Multiscaling in Financial Markets in Disordered and Complex Systems, ed. P.Sollich et al., AIP Conference Proceedings, Vol 553, 297-302 (2001).

Reviews

 

G. Iori A close look at market microstructure Quantitative Finance, Vol 3, No 2, C23-C25 (2003)

http://www.doi.org/10.1088/1469-7688/3/2/702

 

Teaching

City University MSc Financial Economics, Financial Derivatives

City University, London MSc Financial Economics: Topics in Corporate Finance City University, London BSc Economics: Introduction to Financial Derivatives