Papers by Leonardo Bargigli
arXiv (Cornell University), Nov 19, 2013
The interbank market has a natural multiplex network representation. We employ a unique database ... more The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum entropy models reveal different unexpected substructures, such as network motifs, in different layers. Using the total interbank network or focusing on a specific layer as representative of the other layers provides a poor representation of interlinkages in the interbank market and could lead to biased estimation of systemic risk.
We identify two sources of heteroskedasticity in high-frequency financial data. The first source ... more We identify two sources of heteroskedasticity in high-frequency financial data. The first source is the endogenous changing participation of heterogeneous speculators to the market, coupled with the time varying behavior of the market maker. The second source is the exogenous flow of market relevant information. We model the first one by means of a Markov switching (MS) SVAR process, and the second one by means of a GARCH process for the MS-SVAR structural errors. Using transaction data of the EUR/USD market in 2016, we detect three regimes characterized by different levels of endogenous volatility. The impact of structural shocks on the market depends on both sources, but the exogenous information is channeled to the market mostly through price. This suggests that the market maker is better informed than the speculators, who act as momentum traders. The latter are able to profit from trade because, unlike noise traders, they respond immediately to price shocks.
Physica A: Statistical Mechanics and its Applications, 2018
h i g h l i g h t s • The Italian Corporate board network is very resilient and its main properti... more h i g h l i g h t s • The Italian Corporate board network is very resilient and its main properties remain stable over decades. • The Italian corporate board network is not different from other countries of the same variety of capitalism, and it is close to a small world model. • Community analysis reveals two main adjustments: after the nationalization of the electrical industry and after the financial crisis of the late Seventies.
Journal of Financial Econometrics
We study two sources of heteroscedasticity in high-frequency financial data and estimate their c... more We study two sources of heteroscedasticity in high-frequency financial data and estimate their contribution to overall volatility by means of a Markov switching (MS) structural VAR model. We achieve identification for all coefficients by assuming that the structural errors follow a GARCH-DCC process. Using transaction data of the EUR/USD interdealer market in 2016, we first detect three regimesof volatility. Then we show that both sources of volatility matter for the transmission of shocks, and that information is channeled to the market mostly through demand shocks. This suggests that, on the EUR/USD market, some liquidity takers (LTs) are better informed than both liquidity providers and those LTs who follow a feedback strategy.
Advances in Complex Systems, 2022
The interbank market is considered one of the most important channels of contagion. Its network r... more The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the recent theoretical and empirical literature, for assessing systemic risk and identifying systematically important financial institutions. Different types of links, for example in terms of maturity and collateralization of the claim/obligation, can be established between financial institutions. Therefore a natural representation of the interbank structure which takes into account more features of the market, is a multiplex, where each layer is associated with a type of link. In this paper we review the empirical structure of the multiplex and the theoretical consequences of this representation. We also investigate the betweenness and eigenvector centrality of a bank in the network, comparing its centrality properties across different layers and with M...
Journal of Economic Behavior & Organization, 2014
In this paper we analyze the network structure that endogenously emerges in the credit market of ... more In this paper we analyze the network structure that endogenously emerges in the credit market of the agent-based model of Riccetti et al. (2011), where two kinds of financial accelerators are at work: the "leverage accelerator" and the "network-based accelerator". We focus on the properties of network topology and its interplay with the overall economic performance. Moreover, we empirically calibrate the banking network in the model by using Japanese real data.
We build a statistical ensemble representation of two economic models describing respectively, in... more We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann-Gibbs distribution where the role of the Hamiltonian is taken by the total money supply (i.e. including money created from debt) of a set of interacting economic agents. As a result, we can read the main thermodynamic quantities in terms of monetary ones. In particular, we define for the credit market model a work term which is related to the impact of monetary policy on credit creation. Furthermore, with our formalism we recover and extend some results concerning the temperature of an economic system, previously presented in the literature by considering only the monetary base as conserved quantity. Finally, we study the statistical ensemble for the Pareto distribution.
Le imprese dell’Ict in Toscana: profili competitivi e modelli innovativi (by Leonardo Bargigli e ... more Le imprese dell’Ict in Toscana: profili competitivi e modelli innovativi (by Leonardo Bargigli e Martina Cioni) - ABSTRACT: The impact and consequences of ICT revolution on global economies are actually under reconsideration due to the present crisis of the so-called new economy. But global crises show their consequences also at a local level. In Tuscany, after some years of optimism in which ICT was thought to be one of the possible drivers of future growth, a careful analysis needs now to be undertaken in order to assess the real solidity of ICT-related activities, in particular with regard to innovative capability. The empirical evidence presented in this paper is based on the results of a survey realised in 2001. Thanks to a cluster analysis performed on a sample of 263 firms, the main typologies of ICT firms in Tuscany are identified. These are classified on the basis of a wide set of variables size, R&D intensity, main markets, sources of innovation, human capital-, in order t...
* Professore Ordinario di Psicologia Cognitiva, Politecnico di Milano e irso di Milano. È segreta... more * Professore Ordinario di Psicologia Cognitiva, Politecnico di Milano e irso di Milano. È segretario generale dell'International Ergonomics Association.** Dottorando di ricerca in Telematica e Società dell'Informazione presso il Dipartimento di Ingegneria Elettronica ...
Introduction to Agent-Based Economics
Journal of Economic Interaction and Coordination
I introduce an optimizing monopolistic market maker in an otherwise standard setting a la Brock a... more I introduce an optimizing monopolistic market maker in an otherwise standard setting a la Brock and Hommes (1998) (BH98). The market maker manages her inventory of a zero yielding asset, such as foreign currency, and can earn profits from trading, taking advantage of her knowledge of speculators' demand. The resulting dynamic behavior is qualitatively identical to the one described in BH98, showing that the results of the latter are independent from the institutional framework of the market. At the same time I show that the market maker has conflicting effects. She acts as a stabilizer when she allows for market imbalances, while she acts as a destabilizer when she manages aggressively her inventories and when she trades actively, both if she acts as fundamentalist or if she is a strong extrapolator. Indeed the more stable institutional framework is one in which market makers are inventory neutral and don't trade actively but, even in this case, the typical complex behavior of BH98 occurs.
New Economic Windows, 2016
Journal of Statistical Physics, 2016
We represent an exchange economy in terms of statistical ensembles for complex networks by introd... more We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the flow of a given commodity from agent $i$ to agent $j$. This sequence can be arranged in a nonnegative matrix $W$ which we can regard as the representation of a weighted and directed network or digraph $G$. Our main result consists in showing that general equilibrium theory imposes highly restrictive conditions upon market configurations, which are in most cases not fulfilled by real markets. An explicit example with reference to the e-MID interbank credit market is provided.
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Papers by Leonardo Bargigli