%X 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.
%T Trading strategies in the Italian interbank market
%J Physica A: Statistical Mechanics and its Applications
%L eprints1105
%A Giulia Iori
%A Renato Ren?
%A Giulia De Masi
%A Guido Caldarelli
%V 376
%D 2007
%I Elsevier
%R 10.1016/j.physa.2006.10.053
%K Socio-economics networks; Fourier correlations; Spectral analysis; Communities identification
%P 467-479