| Autor: |
Humes Jr., Carlos, Lauretto, Marcelo S., Nakano, Fábio, Pereira, Carlos A. B., Rafare, Guilherme F.G., Stern, Julio Michael |
| Předmět: |
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| Zdroj: |
AIP Conference Proceedings; Oct2012, Vol. 1490 Issue 1, p179-188, 10p, 3 Charts |
| Abstrakt: |
Clearing algorithms are at the core of modern payment systems, facilitating the settling of multilateral credit messages with (near) minimum transfers of currency. Traditional clearing procedures use batch processing based on MILP - mixed-integer linear programming algorithms. The MILP approach demands intensive computational resources; moreover, it is also vulnerable to operational risks generated by possible defaults during the inter-batch period. This paper presents TORC3 - the Token-Ring Clearing Algorithm for Currency Circulation. In contrast to the MILP approach, TORC3 is a real time heuristic procedure, demanding modest computational resources, and able to completely shield the clearing operation against the participating agents' risk of default. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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