Trading strategies in the Italian interbank market
arXiv:physics/0611023 · doi:10.1016/j.physa.2006.10.053
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.
19 pages
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