NDLI: Acceleration of market value-at-risk estimation

Please wait, while we are loading the content...

Fast and parallel algorithms for pricing American options: keynote

Technology and the great mess of '08: keynote

Requirements for systemic risk management in the financial sector: invited talk

Distributed calculations on fixed-income securities: keynote

Acceleration of market value-at-risk estimation

GPU based sparse grid technique for solving multidimensional options pricing PDEs

Implementing a high-volume, low-latency market data processing system on commodity hardware using IBM middleware

Low cost high performance uncertainty quantification

Cost vs. performance of VaR on accelerator platforms

Acceleration of market value-at-risk estimation

Content Provider	ACM Digital Library
Author	Dixon, Matthew Chong, Jike Keutzer, Kurt
Abstract	The proliferation of algorithmic trading, derivative usage and highly leveraged hedge funds necessitates the acceleration of market Value-at-Risk (VaR) estimation to measure the severity of portfolios losses. This paper demonstrates how solely relying on advances in computer hardware to accelerate market VaR estimation overlooks significant opportunities for acceleration. We use a simulation based delta-gamma Value-at-Risk (VaR) estimate and compute the loss function using basic linear algebra subroutines (BLAS). Our NVIDIA GeForce GTX280 graphics processing unit (GPU) based baseline implementation is a straight-forward port from the CPU implementation and only had a 8.21x speed advantage over a quadcore Intel Core2 Q9300 central processing unit (CPU) based implementation. We demonstrate three approaches to gain additional speedup over the baseline GPU implemention. Firstly, we reformulate the loss function to reduce the amount of necessary computation and achieved a 60.3x speedup. Secondly, we selected functionally equivalent distribution conversion modules to give the best convergence rate - providing an additional 2x speedup. Thirdly, we merged data-parallel computational kernels to remove redundant load store operations leading to an additional 1.85x speedup. Overall, we have achieved a speedup of 148x against the baseline GPU implementation, reducing the time of a VaR estimation with a standard error of 0.1% from minutes to less than one second.
Starting Page	1
Ending Page	8
Page Count	8
File Format	PDF
ISBN	9781605587165
DOI	10.1145/1645413.1645418
Language	English
Publisher	Association for Computing Machinery (ACM)
Publisher Date	2009-11-15
Publisher Place	New York
Access Restriction	Subscribed
Content Type	Text
Resource Type	Article

Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302

See location in the Map
03222 282435
Mail: support@ndl.gov.in

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in