Trading strategies in the Italian interbank market

Iori, Giulia; Renò, Roberto; Masi, Giulia De; Caldarelli, Guido

doi:10.1016/j.physa.2006.10.053

Cited by 46 publications

(20 citation statements)

References 32 publications

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“…Nonetheless a bank may act as lender and borrower on the same day for different reasons; its position may change during the day as a result of unforeseen cash-flows, the bank could be trying to exploit a profit opportunity, or it may attempt to finetune its reserve level, which may be difficult to achieve via unidirectional operations. Further studies are required to establish the precise nature and rationale for these transactions around the EoM (see Iori et al, 2007).…”

Section: Article In Pressmentioning

confidence: 99%

A network analysis of the Italian overnight money market

Iori

Masi

Precup

et al. 2008

Journal of Economic Dynamics and Control

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Section: Article In Pressmentioning

confidence: 99%

A network analysis of the Italian overnight money market

Iori

Masi

Precup

et al. 2008

Journal of Economic Dynamics and Control

Self Cite

445

310

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“…Examples for the Italian e-MID (electronic market for interbank deposit) include De Masi et al (2006), Iori et. al (2007;2008), Finger et al (in progress), and Fricke and Lux (2012).…”

Section: Introduction and Existing Literaturementioning

confidence: 99%

Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform

Fricke

2012

Physica A: Statistical Mechanics and its Applications

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We analyze the correlations in patterns of trading for members of the Italian interbank trading platform e-MID. The trading strategy of a particular member institution is defined as the sequence of (intra-) daily net trading volumes within a certain semester. Based on this definition, we show that there are significant and persistent bilateral correlations between institutions' trading strategies. In most semesters we find two clusters, with positively (negatively) correlated trading strategies within (between) clusters. We show that the two clusters mostly contain continuous net buyers and net sellers of money, respectively, and that cluster memberships of individual banks are highly persistent. Additionally, we highlight some problems related to our definition of trading strategies. Our findings add further evidence on the fact that preferential lending relationships on the micro-level lead to community structure on the macro-level. Terms of use: Documents inKeywords: interbank market, socio-economic networks, community identification JEL classification: G21, E42 Daniel Fricke AbstractWe analyze the correlations in patterns of trading for members of the Italian interbank trading platform e-MID. The trading strategy of a particular member institution is dened as the sequence of (intra-) daily net trading volumes within a certain semester. Based on this denition, we show that there are signicant and persistent bilateral correlations between institutions' trading strategies. In most semesters we nd two clusters, with positively (negatively) correlated trading strategies within (between) clusters. We show that the two clusters mostly contain continuous net buyers and net sellers of money, respectively, and that cluster memberships of individual banks are highly persistent. Additionally, we highlight some problems related to our denition of trading strategies. Our ndings add further evidence on the fact that preferential lending relationships on the micro-level lead to community structure on the macro-level. JEL-Classication: G21, E42

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“…The simulation results show that it is easy for homogeneous banks which belong to the same type or have similar sizes to built credit lending relationships, thus contributing to the emergence of the community structure. The community structure is also showed in the real interbank markets, such as those in Austria [21] and Italy [28]. Banks from different regions and sectors form community structures in the Austrian interbank market, while the community structure in the Italian interbank market is related to the bank's size and location.…”

Section: Community Structurementioning

confidence: 92%

“…Besides, the Italian interbank network was found to be highly heterogeneous, and large banks might lend funds from small banks. Also, a recent study [28] found that the Italian interbank market had two different communities, with one consisting of foreign banks and large banks, and the other composed of small banks. It indicated that the interbank market had a clear community structure.…”

Section: Introductionmentioning

confidence: 99%

A network model of the interbank market

Zhuang

2010

Physica A: Statistical Mechanics and its Applications

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Trading strategies in the Italian interbank market

Cited by 46 publications

References 32 publications

A network analysis of the Italian overnight money market

A network analysis of the Italian overnight money market

Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform

A network model of the interbank market

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