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Trading strategies in the Italian Interbank Market

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Author Info
Giulia Iori () (Department of Economics, City University, London)
Roberto Renò
Giulia de Masi
Guido Caldarelli

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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://www.city.ac.uk/economics/dps/discussion_papers/0603.pdf
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Paper provided by Department of Economics, City University, London in its series City University Economics Discussion Papers with number 06/03.

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Length: 19 pages
Date of creation: Apr 2006
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Handle: RePEc:cty:dpaper:0603

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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. [Downloadable!] (restricted)
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This page was last updated on 2009-12-13.

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