Ronald Heijmans

Short Bio

Ronald Heijmans works at the Data Science Hub of DNB. Before he has worded at the payment system and financial market infrastructure division. He obtained his PhD in economics from Groningen University in 2012. He has published widely on simulations, algorithmic development and machine learning application in the field of large value payment systems.

Education

2012 – PhD in Economics, Groningen University
2001 – MSc in Astrophysics, Leiden University

Research Interests

• Networks
• Neural nets
• Liquidity
• Operational risk in large value payment systems
• Big Data (TARGET2, LVTS)

Working papers

Benos, E. et al. (2021). Liquidity efficiency in large value payment systems, BIS Working paper.

Heijmans, R. and Wendt, F. (2020). Measuring the Impact of a Failing Participant in Payment
Systems, IMF Working Paper 20/81. Download

Heijmans, R. and Zhou, C. (2019). Outlier detection in financial market infrastructure risk indicators, DNB Working Paper 624. Download

Heijmans, R., Heuver, R. and Gorgi, Z. (2016). How to Monitor the Exit from the Eurosystem’s Unconventional Monetary Policy: Is EONIA Dead and Gone?, DNB Working Paper 504. Download

Refereed journals

Paulick, J., Berndsen, R., Diehl, M. and Heijmans, R. (2024). No more tears without tiers? The impact of indirect settlement on liquidity use in TARGET2, Empirica, forthcoming. Download

Bewaji, O., Hamid, S., Aerts, T. Byck, S., Heijmans R. and Van der Woerd, E. (2024). Are cryptocurrencies cryptic or a source of arbitrage? A genetic algorithm approach, Journal of Financial Market Infrastructures, 11 (1), pp 37-65. Download

Sabetti, L. and Heijmans, R. (2021). Shallow or deep? Training an autoencoder to detect anomalous flows in a retail payment system, Latin American Journal of Central Banking 2(2), 100031. Download

Byck, S. and Heijmans, R. (2020). How much liquidity would a liquidity saving mechanism save if a liquidity saving mechanism could save liquidity: A simulation approach for Canada’s LVTS, Journal of Financial Market Infrastructures 9(1), 1-28. Download

Arjani, N. and Heijmans, R. (2020). Is there anybody out there? Detecting operational outages from LVTS transaction data, Journal of Financial Market Infrastructures 8(4), 23-41. Download

Berndsen, R. and Heijmans, R. (2020). Near Real-Time Monitoring in Real-Time Gross Settlement Systems: A Traffic Light Approach, Journal of Risk 22(3), 39-64. Download

Timmermans, M., Heijmans, R. and Daniels, H. (2018). Cyclical patterns in risk indicators based on financial market infrastructure transaction data, Quantitative Finance and Economics 2(3), 615-636. Download

Alexandrova-Kabadjova, B., Benos, E., Braithwaite, J., Cruz-Lopez, J., Heijmans, R., Humphrey, D., Manning, M. and Rivadeneyra, F. (2018). FMIC 2 special issue introduction: a policy view on developments in the field of financial market infrastructures, Journal of Financial Market Infrastructures 6(2-3), 1-20. Download

Abbink, A., Bosman, R., Heijmans, R. and Van Winden, F. (2017). Disruptions in large value payment systems: An experimental approach, International Journal of Central Banking 13(4), 63-95. Download

Arciero, L., Heijmans, R., Heuver, R., Massarenti, M., Picillo, C. and Vacirca, F. (2016). How to measure the unsecured money market: The Eurosystem’s implementation and validation using TARGET2 data, International Journal of Central Banking 12(1), 247–80. Download

Van Ark, T. and R. Heijmans. (2016). Granularity, a blessing in disguise: transaction cycles within real-time gross settlement systems, Journal of Financial Market Infrastructures 5(2), 29–52. Download

Heijmans, R., Heuver, R. Van Lelyveld, I. and Levallois, C. (2016). Dynamic visualization of large financial networks, Journal of Network Theory in Finance 2(2), 57-79. Download

Heijmans, R. and Yun, S. (2016): Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis, Journal of Financial Market Infrastructures 4(1), 25–58. Download

Heemeijer, P. and Heijmans, R. (2015). Central bank intervention in large-value payment systems: an experimental approach, Journal of Financial Market Infrastructures 3(3), 17–49. Download

Heijmans, R. and Heuver, R. (2014). Is this bank ill? The diagnosis of doctor TARGET2, Journal of Financial Market Infrastructures 2(3), 3–36. Download

Pröpper, M., Van Lelyveld, I., and Heijmans, R. (2013). Network Dynamics of TOP Payments, Journal of Financial Market Infrastructures 1(3), 3–29. Download

Books and publications in books

Triepels R., Daniels H., Heijmans R. (2018). Detection and Explanation of Anomalous Payment Behavior in Real-Time Gross Settlement Systems. In: Hammoudi S., Śmiałek M., Camp O., Filipe J. (Eds), Enterprise Information Systems. ICEIS 2017. Lecture Notes in Business Information Processing, vol 321. Download

Alexandrova-Kabadjova, B., Garcia-Ochoa, L., Heijmans, R. and Serguieva, A. (2015). Intraday Liquidity Flows within the Financial Market Infrastructures in Mexico. In: Alexandrove-Kabadjova, B., Diehl, M., Heuver, R. and Martinez-Jaramillo, S. (Eds.), Analyzing the Economics of Financial Market Infrastructures, IGI Global, 191–207. Download

Heuver, R. and Heijmans, R. (2015). Using FMI Transaction Data in Simulations: Less Is More? In: Alexandrova-Kabadjova, B., M. Diehl, R. Heuver and Martinez-Jaramillo, S. (Eds.), Analyzing the Economics of Financial Market Infrastructures, IGI Global, 102–123.

Heijmans, R., Hernandez, L. and Heuver, R. (2015). Determinants of the rate of the Dutch unsecured overnight money market. In: Laine, T. (Ed.), Quantitative analysis of financial market infrastructures: further perspectives on financial stability, No. E50, Bank of Finland, 64–87. Download

Heijmans, R., Heuver, R. and Walraven, D. (2012). Monitoring the unsecured interbank money market using TARGET2 data. In: Hellqvist, M. and T. Laine (Eds.), Diagnostics for the financial markets: computational studies of payment system, Simulator Seminar Proceedings 2009-2011, No. E45, Bank of Finland, 135–168.

Heijmans, R., and Heuver, R. (2012). Preparing Simulations in Large Value Payment Systems using Historical Data. In: Alexandrove-Kabadjova, B., Martinez-Jaramillo, S., Garcia-Almanza, A. and Tsang, E. (Eds.), Simulation in Computational Finance and Economics: Tools and Emerging Applications, IGI Global, 46–68. Download

Heijmans, R. (2009). Simulation in the Dutch Interbank Payment System: A Sensitivity Analysis. In: Leinonen, H. (Ed.), Simulation analyses and stress testing of payment networks, Proceedings form the Bank of Finland Payment and Settlement System Seminars 2007-2008, No. E42, Bank of Finland, 123–144.

Latest update: March 2024