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Category Archives: Research
Simulation analyses and stress testing of payment networks
The third edition of Bank of Finland series on payment and settlement system simulation studies has been published today. The preliminary versions of the papers have been presented at the annual simulator seminars arranged by the Bank in 2007 and 2008. The main focus of the analyses in this edition is on business continuity arrangements, [...]
Posted in Research Comments closed
Genetic algorithms in Java
As part of another project I revisited some Java code for developing genetic algorithms (GA). I had programmed them earlier as part of our Agent-based simulations where banks’ decision making evolved through the use of genetic algorithms. I decided to make the general purpose GA code available in case someone finds a use for it. [...]
Also posted in Tools and software Comments closed
The Financial Crisis and the Systemic Failure of Academic Economics
I got my hands on this excellent "opinion paper" entitled "The Financial Crisis and the Systemic Failure of Academic Economics" by eight well known economists (Dahlem report). The paper outlines what went wrong with economics and finance in retrospect to the current crisis, and track it back (kindly said) to the failure of economics to [...]
Also posted in News Comments closed
Network topology of CHAPS Sterling
A paper by Christopher Becher, Stephen Millard and me looking at the topology of payment flows among UK banks was published as a Bank of England Working Paper (No. 355). In the paper we look at the structure of payment flows under normal circumstances and see how a real operational disruption of a major bank [...]
Posted in Research Comments closed
Competition in two-sided markets
Work by Wilko Bolt and me was recently published in the Nederlandsche Bank Working paper series. In the paper we look at pricing strategies of competing platforms operating in two-sided markets. Many markets are two-sided, i.e. serving two different types of customers: buyers and sellers (auctions, online trading platforms), card holders and merchants (credit [...]
Posted in Research Comments closed
Bank of Finland Simulation Seminar
As for the past five late August weeks, the Bank of Finland organised its annual Payment and Settlement Simulation Seminar. The BoF-PSS2 simulator which I helped to create is now in use in 72 sites across the world, mainly at central banks, clearing houses and universities. The seminar program consisted of a wide array of [...]
Also posted in Conferences Comments closed
An agent-based model of payment systems
First results of my research with the Bank of England on developing agent based models of payment systems was recently published in the Bank of England’s working paper series. The paper entitled “Agent based model of payment systems” studies the equilibrium level of liquidity posted by banks in a payment system where the behavior of the banks [...]
Posted in Research Comments closed
Global Trends in Large-Value Payments
A paper by me, Christine Preisig and Morten Bech examining trends and developments in the world’s large-value payment systems was published recently in the Federal Reserve Bank of New York’s Economic Policy Review. See the press release for details.
The article was also featured on Finextra.com
Posted in Research Comments closed
7th Bank of Finland Simulation seminar