英文标题：
《Networked relationships in the e-MID Interbank market: A trading model
with memory》
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作者：
Giulia Iori, Rosario N. Mantegna, Luca Marotta, Salvatore Micciche\',
James Porter, Michele Tumminello
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最新提交年份：
2014
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英文摘要：
Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks. The memory mechanism is used to introduce a proxy of trust in the model. The key idea is that a lender, having lent many times to a borrower in the past, is more likely to lend to that borrower again in the future than to other borrowers, with which the lender has never (or has in- frequently) interacted. The core of the model depends on only one parameter representing the initial attractiveness of all the banks as borrowers. Model outcomes and real data are compared through a variety of measures that describe the structure and properties of trading networks, including number of statistically validated links, bidirectional links, and 3-motifs. Refinements of the pairing method are also proposed, in order to capture finite memory and reciprocity in the model. The model is implemented within the Mason framework in Java.
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中文摘要：
银行间市场是银行流动性管理的基矗本文介绍了一个带记忆的银行间交易模型。我们的模型再现了最近通过统计验证网络方法实证观察到的电子中介市场中优惠交易模式的特征。内存机制用于在模型中引入信任代理。关键的想法是，过去曾多次向借款人放贷的贷款人，未来再次向该借款人放贷的可能性比向其他借款人放贷的可能性更大，因为贷款人从未（或经常）与其他借款人互动。该模型的核心仅取决于一个参数，该参数代表所有银行作为借款人的初始吸引力。模型结果和真实数据通过描述交易网络结构和属性的各种度量进行比较，包括统计验证的链接数、双向链接和3-基序。为了捕获模型中的有限记忆和互易性，还对配对方法进行了改进。该模型是在Java的Mason框架中实现的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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