Network analysis of the e‐MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes

Network analysis of the e‐MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes

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Article ID: iaor20133871
Volume: 10
Issue: 2
Start Page Number: 187
End Page Number: 211
Publication Date: Jun 2013
Journal: Computational Management Science
Authors: , ,
Keywords: networks
Abstract:

In this paper, we analyze the network properties of the Italian e‐MID data based on overnight loans during the period 1999–2010. We show that the networks appear to be random at the daily level, but contain significant non‐random structure for longer aggregation periods. In this sense, the daily networks cannot be considered as being representative for the underlying ‘latent’ network. Rather, the development of various network statistics under time aggregation points toward strong non‐random determinants of link formation. We also identify the global financial crisis as a significant structural break for many network measures.

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