EconPapers    
Economics at your fingertips  
 

Implementation of optimal settlement functions in real-time gross settlement systems

Rodrigo Andrés Peñaloza ()

No 353, Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia from Departamento de Economia da Universidade de Brasilia

Abstract: 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: 2011-01
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://vsites.unb.br/face/eco/textos/didaticos/WP%20353.pdf First version, 2011 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to vsites.unb.br:80

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:brs:wpaper:353

Access Statistics for this paper

More papers in Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia from Departamento de Economia da Universidade de Brasilia Universidade de Brasília UnB - Campus Universitário Darcy Ribeiro Asa Norte CEP 70910-900, Brasília, Brasil. Contact information at EDIRC.
Series data maintained by Luciano Póvoa ().

 
Page updated 2017-09-16
Handle: RePEc:brs:wpaper:353