Generalized Minimum Cost Flow and Arbitrage in Bitcoin Debit and Custodian Networks

This project was focused on designing a tool for optimizing complex transactions in a traditional bank accounts, Bitcoin wallet accounts and Bitcoin exchanges. The challenges include transference fees eroding the amounts transferred, Bitcoin volatility and arbitrage. The tool should support hundreds...

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Detalles Bibliográficos
Autor principal: Orlicki, José I.
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2018
Materias:
Ciencias Informáticas
fi nancial networks
optimization
Bitcoin
minimum cost circulation
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/71888
http://47jaiio.sadio.org.ar/sites/default/files/SIIIO-06.pdf
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-71888
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Informáticas
fi nancial networks
optimization
Bitcoin
minimum cost circulation
spellingShingle Ciencias Informáticas
fi nancial networks
optimization
Bitcoin
minimum cost circulation
Orlicki, José I.
Generalized Minimum Cost Flow and Arbitrage in Bitcoin Debit and Custodian Networks
topic_facet Ciencias Informáticas
fi nancial networks
optimization
Bitcoin
minimum cost circulation
description This project was focused on designing a tool for optimizing complex transactions in a traditional bank accounts, Bitcoin wallet accounts and Bitcoin exchanges. The challenges include transference fees eroding the amounts transferred, Bitcoin volatility and arbitrage. The tool should support hundreds of accounts with each account identifi ed by a bank or exchange, and a currency. The basic user-case, we call it Debit Scenario, appears when an account consumes it capital and has very little funding (sink or demand account), then the user set a minimum funding for the account, and we need to balance all the accounts of the network, using many currency circulations though many paths to satisfy the specifi ed funding limits. Another user case, we called it Custodian Scenario, is when certain accounts (i.e. supply or non-custodians) has upper limit on the amount of capital so we need to distribute the excess value in other accounts (i.e. demand or custodians) of the network. The problem was modelled as a multi-commodity min-cost max- flow problem with specifi c constraints including arbitrage information, and solved with linear programming. Simple and complex numerical scenarios are presented too.
format Objeto de conferencia
Objeto de conferencia
author Orlicki, José I.
author_facet Orlicki, José I.
author_sort Orlicki, José I.
title Generalized Minimum Cost Flow and Arbitrage in Bitcoin Debit and Custodian Networks
title_short Generalized Minimum Cost Flow and Arbitrage in Bitcoin Debit and Custodian Networks
title_full Generalized Minimum Cost Flow and Arbitrage in Bitcoin Debit and Custodian Networks
title_fullStr Generalized Minimum Cost Flow and Arbitrage in Bitcoin Debit and Custodian Networks
title_full_unstemmed Generalized Minimum Cost Flow and Arbitrage in Bitcoin Debit and Custodian Networks
title_sort generalized minimum cost flow and arbitrage in bitcoin debit and custodian networks
publishDate 2018
url http://sedici.unlp.edu.ar/handle/10915/71888
http://47jaiio.sadio.org.ar/sites/default/files/SIIIO-06.pdf
work_keys_str_mv AT orlickijosei generalizedminimumcostflowandarbitrageinbitcoindebitandcustodiannetworks
bdutipo_str Repositorios
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