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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.

  • 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

 

Last modified: 21 September 2011