SEPT: a hybrid intelligent support system for the bank treasury dealing room

The treasurers of Italian commercial banks manage liquidity mainly by short-term interbank operations in lira. After the introduction of a telematic domestic money market, such operations cannot be planned effectively without computer support. The planning of liquidity flows and the exploitation of arbitrage opportunities cannot be done by sheer calculations since future trends can be predicted only by wide knowledge and experience. On the other hand, the discovery of good but counter-intuitive solutions requires mathematical techniques rather than heuristic search. The authors have therefore developed a hybrid system, SEPT, which combines expert system rules and mathematical optimization. SEPT has been installed in several banks; some improvements and extensions are under consideration