dorsal/arxiv
View SchemaTrading strategies in the Italian interbank market
| Authors | Giulia Iori, Roberto Reno', Giulia De Masi, Guido Caldarelli |
|---|---|
| Categories | |
| ArXiv ID | physics/0611023 |
| URL | https://arxiv.org/abs/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.
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"abstract": "Using a data set which includes all transactions among banks in the Italian\nmoney market, we study their trading strategies and the dependence among them.\nWe use the Fourier method to compute the variance-covariance matrix of trading\nstrategies. Our results indicate that well defined patterns arise. Two main\ncommunities of banks, which can be coarsely identified as small and large\nbanks, emerge.",
"arxiv_id": "physics/0611023",
"authors": [
"Giulia Iori",
"Roberto Reno\u0027",
"Giulia De Masi",
"Guido Caldarelli"
],
"categories": [
"physics.soc-ph",
"q-fin.TR"
],
"doi": "10.1016/j.physa.2006.10.053",
"title": "Trading strategies in the Italian interbank market",
"url": "https://arxiv.org/abs/physics/0611023"
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