Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/57273
Authors: 
Fricke, Daniel
Year of Publication: 
2012
Series/Report no.: 
Kiel Working Paper 1766
Abstract: 
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 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.
Subjects: 
interbank market
socio-economic networks
community identification
JEL: 
G21
E42
Document Type: 
Working Paper

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