Iori, Giulia; Renò, Roberto; De Masi, Giulia; … - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 467-479
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...