relation: http://eprints.imtlucca.it/1105/
title: Trading strategies in the Italian interbank market
creator: Iori, Giulia
creator: Renò, Renato
creator: De Masi, Giulia
creator: Caldarelli, Guido
subject: HG Finance
subject: QC Physics
description: 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.
publisher: Elsevier
date: 2007-11
type: Article
type: PeerReviewed
identifier:   Iori, Giulia and Renò, Renato and De Masi, Giulia and Caldarelli, Guido  Trading strategies in the Italian interbank market.  Physica A: Statistical Mechanics and its Applications, 376.  pp. 467-479.  ISSN 0378-4371      (2007)  
relation: http://dx.doi.org/10.1016/j.physa.2006.10.053
relation: 10.1016/j.physa.2006.10.053