First ABM-BaF in Torino

The first workshop on Agent-Based Modeling in Banking and Finance (ABM-BaF, see agenda) was organized by ISI Foundation, the Association of Italian Bankers, the Italian Cognitive Science Association and the Department of Economics and Public Finance “G. Prato” of the University of Torino. The three day event (9-11 February 2009) brought together researchers, bankers and central bankers and covered a lot of new ground in financial network theory and agent based modeling.

For me the most interesting new research was Domenico Delli Gatti and co-authors work on building bottom up ABM models of the economy (presentation) and Marco Lamieri and co-authors work on building credit risk models incorporating network information extracted from companies’ payment data (presentation).

I (co-)presented two papers. First, a model on “Interdependent payment systems” (presentation) and secondly, some recent work with Marco Galbiati on “Liquidity saving mechanisms and bank behavior” in interbank payment systems (presentation).

I hope the second workshop (possibly in Mexico City next year?) will be as successful as the first one.