Beyeler, Walter E.; Glass, Robert J.; Bech, Morten L.; … - In: Physica A: Statistical Mechanics and its Applications 384 (2007) 2, pp. 693-718
We develop a parsimonious model of the interbank payment system. The model incorporates an endogenous instruction arrival process, a scale-free topology of payments between banks, a fixed total liquidity which limits banks’ capacity to process arriving instructions, and a global market that...