A computational model of the market microstructure of bilateral credit limits in payments Systems and other Financial Market Infrastructures

Payments Canada has released its latest discussion paper entitled, A computational model of the market microstructure of bilateral credit limits in payments systems and other financial market infrastructures, authored by senior researcher Segun Bewaji. The paper combines computational agent-based methods with machine learning to support understanding of participant behavior in a clearing and settlement system. The paper applies this approach to inform participants’ daily decision to allocate credit limits to each other in the Canadian Large-Value Transfer System (LVTS).