Trading strategies in the Italian interbank market
Giulia Iori,
Roberto Renò,
Giulia De Masi and
Guido Caldarelli
Physica A: Statistical Mechanics and its Applications, 2007, vol. 376, issue C, 467-479
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.
Keywords: Socio-economics networks; Fourier correlations; Spectral analysis; Communities identification (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437106011277
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
Related works:
Working Paper: Trading strategies in the Italian interbank market (2006) 
Working Paper: Trading strategies in the Italian interbank market (2006) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:376:y:2007:i:c:p:467-479
DOI: 10.1016/j.physa.2006.10.053
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().