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Trading strategies in the Italian interbank market

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  • Iori, Giulia
  • Renò, Roberto
  • De Masi, Giulia
  • Caldarelli, Guido

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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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 376 (2007)
Issue (Month): C ()
Pages: 467-479

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Handle: RePEc:eee:phsmap:v:376:y:2007:i:c:p:467-479

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Socio-economics networks; Fourier correlations; Spectral analysis; Communities identification;

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  1. Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005. "A network analysis of the Italian oversight money market," Working Papers 05/05, Department of Economics, City University London.
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Cited by:
  1. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "The role of banks in the Brazilian interbank market: Does bank type matter?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6825-6836.
  2. Sokolov, Andrey & Webster, Rachel & Melatos, Andrew & Kieu, Tien, 2012. "Loan and nonloan flows in the Australian interbank network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2867-2882.
  3. Marco Pelliccia, 2013. "Ambiguous Networks," Birkbeck Working Papers in Economics and Finance 1303, Birkbeck, Department of Economics, Mathematics & Statistics.
  4. Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005. "A network analysis of the Italian oversight money market," Working Papers 05/05, Department of Economics, City University London.
  5. Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M., 2012. "Market microstructure, bank's behaviour and interbank spreads," Working Papers 12/06, Department of Economics, City University London.
  6. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
  7. Cajueiro, Daniel O., 2010. "Optimal navigation for characterizing the role of the nodes in complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1945-1954.
  8. Andrey Sokolov & Rachel Webster & Andrew Melatos & Tien Kieu, 2012. "Loan and nonloan flows in the Australian interbank network," Papers 1202.3182, arXiv.org.

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