Decentralized payment clearing using blockchain and optimal bidding

【Author】 Amini, Hamed; Bichuch, Maxim; Feinstein, Zachary

【Source】EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

【影响因子】6.363

【Abstract】In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a network of obligations through blockchain. In particular, we investigate default contagion in a network of smart contracts cleared through blockchain. In so doing, we provide an algorithm which constructs the blockchain so as to guar-antee the payments can be verified and the miners earn a fee. We, additionally, consider the special case in which the blocks have unbounded capacity to provide a simple equilibrium clearing condition for the terminal net worths; existence and uniqueness are proven for this system. Finally, we consider the opti-mal bidding strategies for each firm in the network so that all firms are utility maximizers with respect to their terminal wealths. We show that a pure strategy Nash equilibrium need not exist, and then look for mixed Nash equilibrium bidding strategies. The implications of these strategies, and more broadly blockchain, on systemic risk are considered.(c) 2022 Elsevier B.V. All rights reserved.

【Keywords】Finance; Blockchain; Decentralized finance; Decentralized clearing; Systemic risk

【发表时间】2023 16-Aug

【收录时间】2023-05-09

【文献类型】理论模型

【主题类别】

区块链应用-实体经济-支付领域