DocumentCode
3515840
Title
Parallel computing in a quantitative trading firm
Author
Nguyen, Tuan
Author_Institution
Arbitragis Trading, France
fYear
2010
fDate
June 28 2010-July 2 2010
Firstpage
376
Lastpage
376
Abstract
Quantitative trading requires a lot of computing power in order to analyze derivatives prices and financial microstructure. We will describe different ways to use parallel computing that are used within a proprietary trading firm. We will discuss in-house tools that we developed in order to quickly transcribe mathematical concepts into working parallel implementation to develop trading strategies.
Keywords
Educational institutions; Finance; Graphics processing unit; Mathematics; Microstructure; Parallel processing; Cuda; Derivatives trading firm; GPU; parallel computing;
fLanguage
English
Publisher
ieee
Conference_Titel
High Performance Computing and Simulation (HPCS), 2010 International Conference on
Conference_Location
Caen, France
Print_ISBN
978-1-4244-6827-0
Type
conf
DOI
10.1109/HPCS.2010.5547106
Filename
5547106
Link To Document