Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/241230 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Bank of Canada Staff Working Paper No. 2021-7
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
This paper uses reinforcement learning (RL) to approximate the policy rules of banks participating in a high-value payments system. The objective of the agents is to learn a policy function for the choice of amount of liquidity provided to the system at the beginning of the day. Individual choices have complex strategic effects precluding a closed form solution of the optimal policy, except in simple cases. We show that in a simplified two-agent setting, agents using reinforcement learning do learn the optimal policy that minimizes the cost of processing their individual payments. We also show that in more complex settings, both agents learn to reduce their liquidity costs. Our results show the applicability of RL to estimate best-response functions in real-world strategic games.
Schlagwörter: 
Payment clearing and settlement systems
Digital currencies and fintech
Financialsystem regulation and policies
Financial institutions
JEL: 
A12
C7
D83
E42
E58
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