A Data Rich Money Market Model - Agent-based Modelling for Financial Stability

Paul Devine, Rahul Savani

2014

Abstract

Our position is that agent-based modelling is a potentially powerful complementary tool in the study of financial systems, especially where institutional behavioural factors and empirical data are incorporated. The work reported here concerns an agent-based model of a banking system focused on liquidity provision, principally the flows of cash between banks and other system actors. This model has been developed in conjunction with senior staff drawn from a major UK bank and consultancy and is highly data-rich in comparison with previous theoretical work in the field. Agents and relationships reflect practitioners’ views of the system and it incorporates institutional balance sheet representations, financial instruments together with real-world data collated from a range of sources. The bank agents in the model possess heterogeneous behaviours and data content drawn from real bank data. We report preliminary studies of the dynamical behaviour of this system in the context of the types of systemic shocks and perturbations observed in the real world. We review results which model the impact on a bank of a perceived lowering of its creditworthiness. These dynamics are not the result of endogenous assessments of the bank’s position, but the interplay of other banks’ and actor’s responses with its own behaviour.

Paper Citation

in Harvard Style

Devine P. and Savani R. (2014). A Data Rich Money Market Model - Agent-based Modelling for Financial Stability . In Proceedings of the 4th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - Volume 1: SIMULTECH, ISBN 978-989-758-038-3, pages 231-236. DOI: 10.5220/0005096602310236

in Bibtex Style

@conference{simultech14,
author={Paul Devine and Rahul Savani},
title={A Data Rich Money Market Model - Agent-based Modelling for Financial Stability},
booktitle={Proceedings of the 4th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - Volume 1: SIMULTECH,},
year={2014},
pages={231-236},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005096602310236},
isbn={978-989-758-038-3},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 4th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - Volume 1: SIMULTECH,
TI - A Data Rich Money Market Model - Agent-based Modelling for Financial Stability
SN - 978-989-758-038-3
AU - Devine P.
AU - Savani R.
PY - 2014
SP - 231
EP - 236
DO - 10.5220/0005096602310236