A Comparison of Three Models to Predict Liquidity Flows between Banks Based on Daily Payments Transactions

Ron Triepels; Hennie Daniels

doi:10.2139/ssrn.2835979

A Comparison of Three Models to Predict Liquidity Flows between Banks Based on Daily Payments Transactions

Research output: Working paper / Preprint › Discussion paper

Abstract

The analysis of payment data has become an important task for operators and overseers of financial market infrastructures. Payment data provide an accurate description of how banks manage their liquidity over time. In this paper we compare three models to predict future liquidity flows from payment data: 1) a moving average model, 2) a linear dynamic system that links the inflow of banks with their outflow, and 3) a similar dynamic system but with a constraint that guarantees the conservation of liquidity. The error graphs of one-step-ahead predictions on real-world payment data reveal that the moving average model performs best, followed by the dynamic system with constraint, and finally the dynamic system without constraint.

Original language	English
Publisher	CentER
Number of pages	16
DOIs	https://doi.org/10.2139/ssrn.2835979
Publication status	Published - 2016
Externally published	Yes

Publication series

Series	CentER Discussion Paper Series
Number	037

JEL classifications

c32 - "Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models"
c53 - "Forecasting and Prediction Methods; Simulation Methods "
c61 - "Optimization Techniques; Programming Models; Dynamic Analysis"
e42 - "Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems"
e44 - Financial Markets and the Macroeconomy
e47 - Money and Interest Rates: Forecasting and Simulation: Models and Applications

Keywords

large-value payment systems
predictive modeling
dynamic system
TIME-SERIES ANALYSIS

Access to Document

10.2139/ssrn.2835979

Cite this

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