Trading strategies in the Italian interbank market

Giulia Iori (), Reno', Roberto, Giulia De Masi and Guido Caldarelli
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Reno', Roberto: Dep. Economia Politica Siena Italy
Giulia De Masi: Dep. Pysics L'Aquila Italy
Guido Caldarelli: Dep. Physics Univ. "La Sapienza" Rome Italy

Quantitative Finance Papers from arXiv.org

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.

Date: 2006-11
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Working Paper: Trading strategies in the Italian Interbank Market (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:physics/0611023

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