Trading strategies in the Italian Interbank Market

Giulia Iori (), Roberto Renò, Giulia de Masi and Guido Caldarelli

No 06/03, City University Economics Discussion Papers from Department of Economics, City University, London

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.

New Economics Papers: this item is included in nep-ban, nep-cse and nep-mst
Date: 2006-04
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Working Paper: Trading strategies in the Italian interbank market (2006)
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