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Topological Analysis of Cash and Securities Transfers Networks in Transactions Settlement Process

Ekaterina Alekseeva, Sana Ghariani, Nicolas Wolters

Abstract



A transaction is an agreement between a buyer and a seller to exchange resources (cash, security). This paper presents a topological analysis of cash and securities transfers arisen in Target2Securities (T2S) platform during a night-time transactions settlement period. Mathematical Optimisation Module (MOM) is a component of T2S platform that calls multiple operations research algorithms to settle batches of transactions during several runs. Transactions are presented as two graphs, where cash balances and security positions are nodes and cash and securities transfers are arcs. The topological analysis of
these graphs consists in calculating, establishing correlations and interpreting of graph metrics. It gives a comprehension of MOM input data and allows detecting business days that could result in increased computational time for MOM algorithms. It enables forecasting MOM run time and adapting algorithms to changes in the input data topology.

Keywords


network analysis, topology, transactions settlement process, optimisation.

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