Citing this article

A standard form of citation of this article is:

Arciero, Luca, Biancotti, Claudia, D'Aurizio, Leandro and Impenna, Claudio (). 'Exploring Agent-Based Methods for the Analysis of Payment Systems: A Crisis Model for StarLogo TNG'. Journal of Artificial Societies and Social Simulation 12(1)2 <http://jasss.soc.surrey.ac.uk/12/1/2.html>.

The following can be copied and pasted into a Bibtex bibliography file, for use with the LaTeX text processor:

@article{arciero,
title = {Exploring Agent-Based Methods for the Analysis of Payment Systems: A Crisis Model for StarLogo TNG},
author = {Arciero, Luca and Biancotti, Claudia and D'Aurizio, Leandro and Impenna, Claudio},
journal = {Journal of Artificial Societies and Social Simulation},
ISSN = {1460-7425},
volume = {12},
number = {1},
pages = {2},
year = {},
URL = {http://jasss.soc.surrey.ac.uk/12/1/2.html},
keywords = {Agent-Based Modeling, Payment Systems, RTGS, Liquidity, Crisis Simulation},
abstract = {This paper presents an exploratory agent-based model of a real time gross settlement (RTGS) payment system. Banks are represented as agents who exchange payment requests, which are then settled according to a set of simple rules. The model features the main elements of a real-life system, including a central bank acting as liquidity provider, and a simplified money market. A simulation exercise using synthetic data of BI-REL (the Italian RTGS) predicts the macroscopic impact of a disruptive event on the flow of interbank payments. In our reduced-scale system, three hypothetical distinct phases emerge after the disruptive event: 1) a liquidity sink effect is generated and the participants' liquidity expectations turn out to be excessive; 2) an illusory thickening of the money market follows, along with increased payment delays; and, finally 3) defaulted obligations dramatically rise. The banks cannot staunch the losses accruing on defaults, even after they become fully aware of the critical event, and a scenario emerges in which it might be necessary for the central bank to step in as liquidity provider.},
}

The following can be copied and pasted into a text file, which can then be imported into a reference database that supports imports using the RIS format, such as Reference Manager and EndNote.


TY - JOUR
TI - Exploring Agent-Based Methods for the Analysis of Payment Systems: A Crisis Model for StarLogo TNG
AU - Arciero, Luca
AU - Biancotti, Claudia
AU - D'Aurizio, Leandro
AU - Impenna, Claudio
Y1 -
JO - Journal of Artificial Societies and Social Simulation
SN - 1460-7425
VL - 12
IS - 1
SP - 2
UR - http://jasss.soc.surrey.ac.uk/12/1/2.html
KW - Agent-Based Modeling
KW - Payment Systems
KW - RTGS
KW - Liquidity
KW - Crisis Simulation
N2 - This paper presents an exploratory agent-based model of a real time gross settlement (RTGS) payment system. Banks are represented as agents who exchange payment requests, which are then settled according to a set of simple rules. The model features the main elements of a real-life system, including a central bank acting as liquidity provider, and a simplified money market. A simulation exercise using synthetic data of BI-REL (the Italian RTGS) predicts the macroscopic impact of a disruptive event on the flow of interbank payments. In our reduced-scale system, three hypothetical distinct phases emerge after the disruptive event: 1) a liquidity sink effect is generated and the participants' liquidity expectations turn out to be excessive; 2) an illusory thickening of the money market follows, along with increased payment delays; and, finally 3) defaulted obligations dramatically rise. The banks cannot staunch the losses accruing on defaults, even after they become fully aware of the critical event, and a scenario emerges in which it might be necessary for the central bank to step in as liquidity provider.
ER -