This is Argyn's blog. I comment on topics of my interests such as software, math, finance, and music. Also, I write about local events in Northern Virginia, USA and all things related to Kazakhstan

Thursday, July 10, 2008

Trading Desks Turn to Video Game Technology to Speed Analytics

As CUDA improved, Hanweck Associates' Hanweck says, he began developing options pricing, Monte Carlo simulation and other quantitative models. "And the speed improvements we were getting over a regular desktop were 50 to 100 times faster," he claims. "These were just ordinary video cards geared to gamers. But then [Nvidia] tacked on the CUDA language and they could perform all these calculations."

One more paper on similar topic "The High-Speed Arms Race on Wall Street Is Leading Firms to Tap High-Performance Computing" in Wall Street and Tech magazine:
As a result, the financial services industry is exploring new ways of obtaining more HPC cycles while keeping power demands in check, following the lead of HPC pioneers such as universities and the Department of Defense. Among this diverse wave of new HPC offerings are software that helps applications take advantage of parallel processors and graphics boards, PCI (peripheral component interface) cards and Cell processors that handle portions of HPC tasks. Also among the next generation of products is Microsoft's latest cluster server, which is designed to extend HPC to more applications and workers.

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