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Trading strategies in the Italian interbank market

Author

Listed:
  • 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.

Suggested Citation

  • Giulia Iori & Roberto Reno' & Giulia De Masi & Guido Caldarelli, 2006. "Trading strategies in the Italian interbank market," Papers physics/0611023, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0611023
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    References listed on IDEAS

    as
    1. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers) 475, Bank of Italy, Economic Research and International Relations Area.
    2. Joseph R.A Ayee, 2005. "Working Paper 82 - Public Sector Management in Africa," Working Paper Series 217, African Development Bank.
    3. Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005. "A network analysis of the Italian overnight money market," Working Papers 05/05, Department of Economics, City University London.
    4. 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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    More about this item

    JEL classification:

    • D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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