IDEAS home Printed from https://ideas.repec.org/p/bca/bocawp/23-1.html
   My bibliography  Save this paper

Simulating Intraday Transactions in the Canadian Retail Batch System

Author

Listed:
  • Nellie Zhang

Abstract

This paper proposes a unique approach to simulate intraday transactions in the Canadian retail payments batch system. Such transactions are currently unobtainable. The simulation procedure, though demonstrated in the realm of payments systems, has tremendous potential for helping with data-deficient problems where only high-level aggregate information is available. The approach uses the concept of integer composition in combinatorics to break down the daily total value and volume (available) into individual data points (unavailable) throughout the day. The algorithm also introduces a technique to incorporate any intraday timing pattern (known or hypothetical) to make simulated data closer to reality. Simulation results show that the probability distribution of individual payment values is remarkably stable through repeated random sampling. This suggests a high degree of accuracy and viability of this simulation method. In addition, the densities of simulated intraday transactions are found to be invariably skewed to the left of the mean payment value, which reflects the nature of retail payments systems.

Suggested Citation

  • Nellie Zhang, 2023. "Simulating Intraday Transactions in the Canadian Retail Batch System," Staff Working Papers 23-1, Bank of Canada.
    • Handle: RePEc:bca:bocawp:23-1
    as

    Download full text from publisher

    File URL: https://www.bankofcanada.ca/wp-content/uploads/2023/01/swp2023-01.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Héctor Pérez Saiz & Siddharth Untawala & Gabriel Xerri, 2018. "A Calibrated Model of Intraday Settlement," Discussion Papers 18-3, Bank of Canada.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      More about this item

      Keywords

      Financial Markets; Payment clearing and settlement systems;

      JEL classification:

      • C - Mathematical and Quantitative Methods
      • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
      • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
      • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

      NEP fields

      This paper has been announced in the following NEP Reports:

      Statistics

      Access and download statistics

      Corrections

      All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocawp:23-1. See general information about how to correct material in RePEc.

      If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

      If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

      For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bocgvca.html .

      Please note that corrections may take a couple of weeks to filter through the various RePEc services.

      IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.