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Trading strategies in the Italian interbank market

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Author Info

  • Giulia Iori

    (Dep. Economics City Univ. London UK)

  • Roberto Reno'

    (Dep. Economia Politica Siena Italy)

  • Giulia De Masi

    (Dep. Pysics L'Aquila Italy
    Dep. Physics Univ. "La Sapienza" Rome Italy)

  • Guido Caldarelli

    (Dep. Physics Univ. "La Sapienza" Rome Italy)

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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File URL: http://arxiv.org/pdf/physics/0611023
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number physics/0611023.

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Date of creation: Nov 2006
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Handle: RePEc:arx:papers:physics/0611023

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Web page: http://arxiv.org/

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  1. Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008. "A network analysis of the Italian overnight money market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 259-278, January.
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Cited by:
  1. 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.
  2. Daniel O. Cajueiro & Benjamin M. Tabak, 2007. "The role of banks in the Brazilian Interbank Market: Does bank type matter?," Working Papers Series 130, Central Bank of Brazil, Research Department.
  3. 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.
  4. Andrey Sokolov & Rachel Webster & Andrew Melatos & Tien Kieu, 2012. "Loan and nonloan flows in the Australian interbank network," Papers 1202.3182, arXiv.org.
  5. Marco Pelliccia, 2013. "Ambiguous Networks," Birkbeck Working Papers in Economics and Finance 1303, Birkbeck, Department of Economics, Mathematics & Statistics.
  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. 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.
  8. 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.

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