Improving the Efficiency of Payments Systems Using Quantum Computing
Friday February 3, 2023 • 2:00 PM
High-value payment systems (HVPS) are typically liquidity-intensive as the payment requests are indivisible and settled on a gross basis. Finding the right order in which payments should be processed to maximize the liquidity efficiency of these systems is an NP-hard combinatorial optimization problem, which quantum algorithms may be able to tackle at meaningful scales. We developed an algorithm and ran it on a hybrid quantum annealing solver to find an ordering of payments that reduced the amount of system liquidity necessary without substantially increasing payment delays. Despite the limitations in size and speed of today’s quantum computers, our algorithm provided quantifiable efficiency improvements when applied to the Canadian HVPS using a 30-day sample of transaction data. By reordering each batch of 70 payments as they entered the queue, we achieved an average of C$240 million in daily liquidity savings, with a settlement delay of approximately 90 seconds. For a few days in the sample, the liquidity savings exceeded C$1 billion. This algorithm could be incorporated as a centralized preprocessor into existing HVPS without entailing a fundamental change to their risk management models.
For more information, contact:
Chelsea Donahue, Rethinc. Labs Assistant Director
Chelsea_Donahue@kenan-flagler.unc.edu
Ajit Desai
Senior Data Scientist at the Bank of Canada
Ajit Desai is a senior data scientist at the Bank of Canada in the Banking and Payments research division. Dr. Desai received his Ph.D. from Carleton University in 2018 in Computational Science and Engineering. Dr. Desai’s work leverages cutting edge techniques such as artificial intelligence, machine learning and quantum computing to study payments data with the primary objective of making Canada’s digital payments infrastructure safe and efficient.
Danica Marsden
Principal Quantum Computing Scientist at the Bank of Canada
Dr. Marsden received her PhD in physics from the University of Pennsylvania in 2011, followed by a postdoctoral fellowship at Caltech. Dr. Marsden has a background in developing quantum computers, and now works to apply them where beneficial in economics and finance. She drafted the first quantum strategy for the Bank of Canada and advises on PQC solutions.