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dc.contributor.authorFricke, Danielen_US
dc.date.accessioned2012-04-13en_US
dc.date.accessioned2012-04-19T07:54:05Z-
dc.date.available2012-04-19T07:54:05Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/57273-
dc.description.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 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 positive correlations within the clusters and negative correlations between them. 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.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKiel Working Papers 1766en_US
dc.subject.jelG21en_US
dc.subject.jelE42en_US
dc.subject.ddc330en_US
dc.subject.keywordinterbank marketen_US
dc.subject.keywordsocio-economic networksen_US
dc.subject.keywordcommunity identificationen_US
dc.titleTrading strategies in the overnight money market: Correlations and clustering on the e-MID trading platformen_US
dc.typeWorking Paperen_US
dc.identifier.ppn690108508en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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