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Daniel Fricke

received a PhD in Economics in 2013 from the Christian-Albrechts University Kiel, Germany. His thesis was supervised by Thomas Lux. Recently he took a postdoc position at the University of Oxford, where he is associated both with the Institute for New Economic Thinking (Oxford Martin School) and the CABDyN Complexity Centre (Said Business School). His research focuses on the optimal structure and regulation of certain complex systems in financial markets. His papers, in particular on the effects of a financial transaction tax and the structure and dynamics of the Italian interbank network, have been published in renowned international journals.

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Structure and Dynamics of the Italian Interbank Network

Interbank markets are at the center of the monetary system and their proper functioning is crucial to the working of the economy. In a series of papers, we explored the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. These networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In particular, we find that the network displays a highly persistent core-periphery structure and existing network models (e.g. Erdös-Renyi and scale-free) cannot match the empirical findings. The reduction of interbank lending during the global financial crisis in 2008 was mainly due to core banks reducing their numbers of active outgoing links.

Last modified: 2018.11.30.

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