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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
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Citations: View citations in EconPapers (35)

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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

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