A Minimal Agent-Based Model Reproduces the Overall Topology of Interbank Networks

Cuenda, Sara and Fernández, Maximiliano Alfredo and Galeano, Javier and Capitán Gómez, José Ángel (2018). A Minimal Agent-Based Model Reproduces the Overall Topology of Interbank Networks. "Journal of Artificial Societies and Social Simulation", v. 21 (n. 1); ISSN 1460-7425. https://doi.org/10.18564/jasss.3562.

Description

Title: A Minimal Agent-Based Model Reproduces the Overall Topology of Interbank Networks
Author/s:
  • Cuenda, Sara
  • Fernández, Maximiliano Alfredo
  • Galeano, Javier
  • Capitán Gómez, José Ángel
Item Type: Article
Título de Revista/Publicación: Journal of Artificial Societies and Social Simulation
Date: 31 January 2018
ISSN: 1460-7425
Volume: 21
Subjects:
Freetext Keywords: Interbank Markets; Agent-Based Modeling; Complex Networks
Faculty: E.T.S. de Edificación (UPM)
Department: Matemática Aplicada
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

The description of the empirical structure of interbank networks constitutes an important field of study since network theory can be used as a powerful tool to assess the resilience of financial systems and their robustness against failures. On the other hand, the development of reliable models of interbank market structure is relevant as they can be used to analyze systemic risk in the absence of transaction data or to test statistical hypotheses regarding network properties. Based on a detailed data-driven analysis of bank positions (assets and liabilities) taken from the Bankscope database, we here develop a minimal, stochastic, agent-based network model that accounts for the basic topology of interbank networks reported in the literature. The main assumption of our model is that loans between banks attempt to compensate assets and liabilities at each time step, and the model renders networks comparable with those observed in empirical studies. In particular, our model is able to qualitatively reproduce degree distributions, the distribution of the number of transactions, the distribution of exposures, the correlations with nearest-neighbor out-degree, and the clustering coefficient. As our simple model captures the overall structure of empirical networks, it can thus be used as a null model for testing hypotheses relative to other specific properties of interbank networks.

Funding Projects

TypeCodeAcronymLeaderTitle
Government of SpainCGL2015-69034-PUnspecifiedUnspecifiedUnspecified
Government of SpainMTM2015-63914-PUnspecifiedUnspecifiedCaos cuántico y clásico en sistema dinámicos y complejidad

More information

Item ID: 57638
DC Identifier: http://oa.upm.es/57638/
OAI Identifier: oai:oa.upm.es:57638
DOI: 10.18564/jasss.3562
Official URL: http://jasss.soc.surrey.ac.uk/21/1/2.html
Deposited by: Memoria Investigacion
Deposited on: 13 Oct 2020 07:06
Last Modified: 13 Oct 2020 07:06
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