Trading strategies in the Italian interbank market

Details Trading strategies in the Italian interbank market Trading strategies in the Italian interbank market

2006-11-02

arxiv.org/abs/physics/0611023v1

Physics

Physics and Society

19 pages

Scientific paper

10.1016/j.physa.2006.10.053

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.

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