Trading strategies in the Italian interbank market

Iori, G., Reno, R., de Masi, G. & Caldarelli, G. (2007). Trading strategies in the Italian interbank market. Physica A: Statistical Mechanics and its Applications, 376, pp. 467-479. doi: 10.1016/j.physa.2006.10.053

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Abstract

Using a data set which includes all transactions among banks in the Italian money market, we study their trading strategies and the dependence among them. We use the Fourier method to compute the variance–covariance matrix of trading strategies. Our results indicate that well defined patterns arise. Two main communities of banks, which can be coarsely identified as small and large banks, emerge.

Item Type: Article
Additional Information: © 2007, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: Socio-economics networks; Fourier correlations; Spectral analysis; Communities identification
Subjects: H Social Sciences > HF Commerce
Divisions: School of Social Sciences > Department of Economics
URI: http://openaccess.city.ac.uk/id/eprint/7594

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