Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
976955 | Physica A: Statistical Mechanics and its Applications | 2007 | 13 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Giulia Iori, Roberto Renò, Giulia De Masi, Guido Caldarelli,