An online-decision algorithm for the multi-period bank clearing problem

DOI10.3934/JIMO.2021091MaRDI QIDQ2086947zbMATH OpenOpenAlexFDO

Authors Zongwei Chen

Publication date 26 October 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2021091

zbMATH Keywords

bank clearing problemdecision support systemsfinancial managementinterbank payment systemslinear optimization

Mathematics Subject Classification ID

Linear programming (90C05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• An optimization algorithm for the clearing of interbank payments
• Payment instruments and collateral in the interbank payment system

Cited in

(2)

• An algorithm for corporate-account transactions through banks
• An optimization algorithm for the clearing of interbank payments

Describes a project that uses

Uses Software

• fast_mpc

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