High Performance Computing in Finance (not GPUs)

[Barny]

I'm doing a PhD in highly parallel computing (as in - world's largest supercomputers) and I was wondering if anyone knows of any applications of HPC in finance?

I'm talking the FOTRAN/MPI/OpenMP kind with 100,000+ processors rather than the CUDA stuff.

 

[Andy Nguyen]

I would not be surprised if nobody knows or if it exists at all. Supercomputers are still a domain of govt/university research. Computing power is getting cheaper so hopefully when you are done with your PhD, they are more accessible and hence more employment opportunities for you

 

[Barny]

Sounds promising, though I'm not holding my breath. Apparently cloud-like supercomputing services are in the ascendancy too, so that could be another avenue.

 

[Andy Nguyen]

I had access to my university's cluster server that run MPI back in the early 2000's during my PhD year. I would schedule a few computational intensive tasks (number crunching) and check back a day or two later to find out the jobs were cancelled by some professors in the Chemistry dept who wanted to run their molecular simulation.
Now, I can rent several times that much power from Amazon cloud by the hours. Maybe for tasks that can be run overnight like portfolio optimization, reporting of million positions, supercomputer may be a good choice. For real-time task like pricing, GPU is much more practical.
If you find out more uses, let me know.

 

[Barny]

How much does the amazon computing cost,out of interest? I've heard that people are now building GPU supercomputers at a fraction of the cost of the usual CPU ones so maybe that's also a potential avenue for exploration.

 

[alain]

How much does the amazon computing cost,out of interest? I've heard that people are now building GPU supercomputers at a fraction of the cost of the usual CPU ones so maybe that's also a potential avenue for exploration.

It depends. The regular Amazon processing unit is not really powerful but it is really cheap. They have a version geared towards HPC that is more expensive but I haven't tried it. Here are the prices:

http://aws.amazon.com/ec2/#pricing

I have never tried any of these options in a real production environment either.

 

[Yike Lu]

http://aws.amazon.com/ec2/pricing/

I'm not sure how useful a PhD would be for finance, but knowing how to use multi-threading and being able to use/construct highly parallel software architectures is certainly helpful.

As far as GPUs, you just have to understand what they are good at... e.g. simple independent computations done over a large number of points. A prime candidate for this would be Monte Carlo.

 

[Andy Nguyen]

This paper may be of interest to the OP
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1899492

 

[nociton]

Andy was right in stating that most people aren't familiar with HPC, and it is indeed dominated by gov/university research. That being said there are people out there applying computational finance to these machines. I attended the Supercomputing Conference in New Orleans this year and sat in on the Computational Finance workshop which is going on its fourth year. I could try to find some email contacts I may still have from people I met there.

I did a small undergrad research project this past year in HPC in regards to finance. I found something I was interested in, the Longstaff-Schwartz MC method, and applied it to our schools cluster. I had the code in matlab, then I ported the matrix creation portion of it into C and ran that on the cluster. Granted I did not perform any groundbreaking, PHD level research, but it was a great way to show interest in comp. finance. My point being spend some time searching the web for some HPC related finance work...there is some out there. Find something interesting and apply it using MPI/OPENMP depending on your machine. Also if you would like the contacts just let me know. I believe I still have email addresses of a couple of the workshop directors.

 

[Andy Nguyen]

I'm doing a PhD in highly parallel computing (as in - world's largest supercomputers) and I was wondering if anyone knows of any applications of HPC in finance?

I'm talking the FOTRAN/MPI/OpenMP kind with 100,000+ processors rather than the CUDA stuff.

You may find this article interesting read
http://www.hpcwire.com/hpcwire/2012-01-03/wanted:_supercomputer_programmers.html

 

[Barny]

Thanks Andy, very nice. My work mainly involves in MPI so it's good to see there's some demand for those skills, unfortunately none in the UK it seems.