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Trading strategies in the Italian interbank market
Giulia Iori (Dep. Economics City Univ. London UK), Roberto Reno' (Dep. Economia Politica Siena Italy), Giulia De Masi (Dep. Pysics L'Aquila Italy), Guido Caldarelli (Dep. Physics Univ. "La Sapienza" Rome Italy)
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.