Trading strategies in the Italian interbank market
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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- Joseph R.A Ayee, 2005. "Working Paper 82 - Public Sector Management in Africa," Working Paper Series 217, African Development Bank.
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05/05, Department of Economics, City University London.
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