Workshop on High Performance Computational Finance at SC08

Sunday, November 16th, 2008

Austin Convention Center, Austin, TX, USA

In conjunction with

We cordially invite you to submit a paper to the Workshop on High Performance Computational Finance at SC08.  The workshop will be held on the 16th of November, 2008 at the SC08 International Conference for High Performance Computing, Networking, Storage and Analysis, in Austin, Texas.

The purpose of this workshop is to bring together practitioners, researchers, vendors, and scholars from the complementary fields of computational finance and high performance computing, in order to promote an exchange of ideas, discuss future collaborations and develop new research directions. Financial companies are major consumers of high performance computing, used increasingly to analyze high volumes of financial data, automatically execute trades, and manage risk. As financial market data continues to grow in volume and complexity, and algorithmic trading becomes increasingly popular, there is increased demand for computational power. The goal is to process all the data while at the same time reducing the overall latency from trend development to execution. These challenges are exacerbated by a distinguishing characteristic of computational finance: response to market changes has to happen in real time and outperform the competition. We expect that this workshop will foster innovation in this important area.

We seek contributions with a systems-oriented view of the problem. In addition to submissions that cover aspects of theory and algorithms, we also encourage submissions that deal with more practical and infrastructure aspects. From that perspective, topics of interest to this workshop include, but are not restricted to:

  • Use of hardware accelerators (FPGA, Cell, GPUs) in computational finance
  • Financial applications of high performance computing: risk algorithms, algorithmic trading, arbitrage
  • High-bandwidth/low-latency streaming of market data
  • Cluster computing for computational finance
  • Financial data center engineering
  • System software infrastructure for computational finance
  • Computational algorithms for finance
  • Move from capacity to capability computing in financial applications

Submitted papers must be no more than 8 pages in length. Authors are encouraged to use IEEE two column format. Each submission will receive at least three reviews and authors of selected submissions will have 30 minutes to present their work at the workshop. Papers should be submitted in electronic form to

Important dates

  • Deadline for submissions: September 12, 2008
  • Author notification: September 19th, 2008
  • Final version due: October 3rd, 2008


Registration for the workshop is through SC08. SC08 this year will offer a workshop-only registration option at a greatly discounted rate. For more information please see the SC08 registration page.


David Daly, Maria Eleftheriou, Josť Moreira and Kyung Ryu

IBM Thomas J. Watson Research Center

Technical Program



8:30 AM - 10:00 AM

Keynote Addresses

David Cohen (Goldman Sachs)

Locality-based Computing

Scott Ross (UBS)

HPC Challenges in Financial Services

10:00 AM - 10:30 AM


10:30 AM - 12:00 PM

Papers I

David Daly, Kyung Ryu, Jose Moreira

Multi-variate finance kernels in the Blue Gene supercomputer

Ali Irturk, Bridget Benson, Nikolay Laptev, and Ryan Kastner

FPGA acceleration of mean variance framework for Optimal Asset Allocation

Naveen Singla, Michael Hall, Berkley Shands, And Roger D. Chamberlain

Financial Monte Carlo Simulation on Architecturally Diverse Systems

12:00 PM - 1:30 PM


1:30 PM - 3:00 PM

Invited Talks

Moiz Kohari (Novell, Inc )

Low latency requirements for Financial Services Industry

Mikhail Smelyanskiy (Intel Corporation)

Challenges of Mapping Financial Analytics to Many-core Architecture

Robert W. Wisniewski (IBM Research)

Leveraging Blue Gene for Commercial Applications

3:00 PM - 3:30 PM


3:30 PM - 5:00 PM

Papers II

Viet_Dung Doan, Abhijeet Gaikwad, Francoise Baude, and Mireille Bossy

"Gridifying" Classification--Monte Carlo algorithm for pricing High-Dimensional American Options

Gabor Dozsa, Maria Eleftheriou, Todd A. Inglett, Alan J. King, Thomas E. Musta, James Sexton, and Robert W. Wisniewski

Stream Processing Performance for Blue Gene/P Supercomputer

Hari Subramoni, Gregory Marsh, Sundeep Narravula, Ping Lai, and Dhabaleswar K. Panda

Design and Evaluation of Benchmarks for Financial Applications using Advanced Message Queuing Protocol (AMQP) over InfiniBand


Program Committee

Gianfranco Bilardi, University of Padova

David Cohen, Goldman Sachs

Erik Doeff, TD Securities

Moiz Kohari, Novell

Scott Ross, UBS

Srinidhi Varadarajan, Virginia Tech

Philip Yu, University of Illinois at Chicago