| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482121 | Physica A: Statistical Mechanics and its Applications | 2012 | 15 Pages |
Abstract
⺠We analyze the correlations between banks' interbank trading strategies. ⺠We find evidence for significant and persistent bilateral correlations. ⺠In most semesters we find two anti-correlated clusters of trading strategies. ⺠The clusters consist of net buyers and net sellers, respectively. ⺠The structure was largely unaffected by the global financial crisis.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Daniel Fricke,