eprintid: 1105
rev_number: 7
eprint_status: archive
userid: 6
dir: disk0/00/00/11/05
datestamp: 2012-02-01 15:59:45
lastmod: 2013-11-21 09:19:40
status_changed: 2012-02-01 15:59:45
type: article
metadata_visibility: show
creators_name: Iori, Giulia
creators_name: Renò, Renato
creators_name: De Masi, Giulia
creators_name: Caldarelli, Guido
creators_id: 
creators_id: 
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
title: Trading strategies in the Italian interbank market
ispublished: pub
subjects: HG
subjects: QC
divisions: EIC
full_text_status: none
keywords: Socio-economics networks; Fourier correlations; Spectral analysis; Communities identification
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.
date: 2007-11
date_type: published
publication: Physica A: Statistical Mechanics and its Applications
volume: 376
publisher: Elsevier
pagerange: 467-479
id_number: 10.1016/j.physa.2006.10.053
refereed: TRUE
issn: 0378-4371
official_url: http://dx.doi.org/10.1016/j.physa.2006.10.053
related_url_url: http://arxiv.org/abs/physics/0611023
citation:   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)