Implementation of optimal settlement functions in real-time gross settlement systems
Peñaloza (J. of Math. Econ., 2009) modeled the functioning of real-time gross settlement (RTGS) systems as an in nite dimensional linear programming prob- lem and used duality theory to determine the shadow-prices of banks. Though he proved the existence of optimal settlement rules in RTGS systems without cen- tralized queueing facilities, he did not show how optimal settlements can be imple- mented. In this paper, we show that the optimal settlement rule can be implemented by an optimization routine involving reordering and spliting of payments. Such op- timization routine is a no-queueing analog of the rst-in- rst-out (FIFO) rule with reordering used in many RTGS systems with queueing.
|Date of creation:||Jan 2011|
|Date of revision:|
|Contact details of provider:|| Postal: Universidade de Brasília UnB - Campus Universitário Darcy Ribeiro Asa Norte CEP 70910-900, Brasília, Brasil|
Fax: (61) 340-2311
Web page: http://e-groups.unb.br/face/eco/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:brs:wpaper:353. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luciano Póvoa)
If references are entirely missing, you can add them using this form.