research
Interbank Payment System Simulator(IPSS) - An agent based approach
The IPSS is a simulation tool to test different interbank
payment systems configurations, including RTGS, DNS and Hybrid
systems, using agents. The simulator allows the user to compare
the effects on costs, number of delayed payments, strategic
behaviour and liquidity-delay tradeoff, under different payment
system configurations.
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Presentation at the CCBS (Bank of England) at the Expert
Forum: Payment System Architecture and Oversight:
31-Jan-2005 to 02-Feb-2005
Version 2.11
Version 2.10
-
Run IPSS version 2.10 (30th Jan 2005)
- What's new in version 2.10:
- Default settings for Payment
data to Proxied data.
Feel free to email me any questions/bugs/suggestions to aalent
(non-Essex users should add @essex.ac.uk to create full e-mail address)
Amadeo
Earlier Versions
Version 2.0
-
Run IPSS
version 2.9 (6th Dec 2004)
- What's new in version 2.9:
- New strategy that gives the optimal time to make
each payment based on the minimization of total cost
- Faster creation of
payments
Version 2.8
-
Run IPSS version 2.8 (21st July 2004)
- What's new in version 2.8: - Two modes of liquidity posting: Just in Time and
Open Liquidity - Two modes of queuing payments: First in First out, or Order by
size - New menu to run the Experiments outlined in the BoE Working Paper
Version 2.6
Run IPSS ver 2.6 (9 March 2004)
- What's new in version 2.6:
- Option to read payments data file
- Option
to post opening liquidity
Version 2.5
-
Run IPSS ver 2.5 (1 March 2004)
- What's new in version 2.5:
- New bilateral netting option, that nets payments
every hour
- New window under View>Queues to see the hidden queues of the banks
- New graph to see the interbank net flow, under View>Interbank balances
- Fixed
problems in post-failure experiments
- Added number of failed payments in Excel
file
- Statistics collector has options to select which scenarios to run
- Added
a Play, Pause and Stop buttons in the toolbar, so simulation can be paused
Version 2.4
-
Run IPSS ver 2.4 (26 Feb 2004)
- What's new in version 2.4:
- New option to make all payments the same size,
equal to £1.9 million (= mean of the Chaps distribution)
- Statistics collector
runs 16 simulations, for all combinations of Scenarios, Strategies and Bank
sizes
- New button to print the liability matrix from the program
- Changes in
the Excel file
- Display Liquidity Controlled, Bilateral
and Multilateral netting for each individual bank
- Added totals for each column
- Printed the statistics on
top of the spreadsheet
- Fixed bugs
Version 2.3
-
Run IPSS ver 2.3 (24 Feb 2004)
- What's new in version 2.3:
- New star graph under View menu
Version 2.2
-
Run IPSS ver 2.2 (23 Feb 2004)
- What's new in version 2.2:
- You can now use any large number of payments,
without the Overflow problem - new menu Tools with the Statistics Collector
- Added 4 scenarios on how the received payments are distributed to banks
- Statistics collector calculates the Multilateral netting value
- Use the median
value, instead of the mean value, for the strategy of agents
- New function
under View to output Individual Intraday liquidity for each bank, node risk, HI
and net flow
- You can view the real-time the values for HI, node risk and
Net Flow inside the bank boxes
- During the simulation, you can click on a bank
to make it fail, and then see how the other banks fail
- Banks use the Internal
Reserve of 10% of total payments once there has been a bank failure
Version 2.1
-
Run IPSS ver 2.1 (19 Feb 2004)
- What's new in version 2.1:
- added a new strategy of delaying large payments.
Click on the menu "Settings">"Strategy settings" to select this option
- Can
create banks of different sizes, from the new menu "Settings">"Bank network
settings"
- Can have either (n-1)xn payments, or any arbitrary number of
payments, which gets distributed based on bank sizes
- New option to display
number of payments in brackets ( ) on the liability matrix
- The HI index for
each bank is displayed in the last column of the liability matrix
- New
Bilateral Netting matrix under the View menu
- New Intraday graphs, showing
Intraday liquidity, intraday delayed payments and intraday time of payment
execution
- You can click on the payments in the intraday panel to see the
payment details
- On the intraday panel, the delayed payments are shown in red,
and the on-time payments in black
- New option to keep liability
matrix constant, so we can compare what happens when using different strategies
- New cost equations for intraday costs of delays and liqudity.
Version 2.0
-
Run IPSS ver 2.0 (16 Feb 2004)
- What's new in version 2.0:
- We now have two models: the morning/period model
from Matthews, and an Intraday model, consisting of periods of 1 minute
- Payment amounts can be all of £1 or different amounts based on Chaps
distribution (asymmetric payments)
- There is an option to enforce that the
total of each bank's liabilities to the rest of the system is the same as what
it is owed
- You can view the liability matrix
- Have added an intraday emission
of liabilities, that you can view in simulated "real-time"
- Payments can arrive
at the bank either all in the morning (Matthew's model) or throughout the day
Version 1.1