Trading strategies in the Italian interbank market

Giulia Iori, Roberto Renò, Giulia De Masi and Guido Caldarelli
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Giulia De Masi: Dep. Pysics L'Aquila Italy
Guido Caldarelli: Dep. Physics Univ. "La Sapienza" Rome Italy

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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.

Date: 2006-11
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Citations: View citations in EconPapers (3)

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Journal Article: Trading strategies in the Italian interbank market (2007)
Working Paper: Trading strategies in the Italian interbank market (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0611023

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