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)
Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.physa.2006.10.053
Related URLs
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.
| Item Type: | Article |
|---|---|
| Identification Number: | https://doi.org/10.1016/j.physa.2006.10.053 |
| Uncontrolled Keywords: | Socio-economics networks; Fourier correlations; Spectral analysis; Communities identification |
| Subjects: | H Social Sciences > HG Finance Q Science > QC Physics |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Ms T. Iannizzi |
| Date Deposited: | 01 Feb 2012 15:59 |
| Last Modified: | 21 Nov 2013 09:19 |
| URI: | http://eprints.imtlucca.it/id/eprint/1105 |
Actions (login required)
 |
Edit Item |
