Workshop on High Performance Computational Finance at SC09

http://research.ihost.com/whpcf

Sunday, November 15th, 2009

Oregon Convention Center, Portland, OR, USA

In conjunction with

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 increasingly rely on high performance computers 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. Recent events in the world economy have demonstrated a great need for better models and tools to perform risk analysis and risk management. Therefore, we are selecting risk management as a focus area for the 2009 workshop.

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:

  • Modeling and tools for risk analysis and risk management
  • 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
  • System architectures for computational finance

Submitted papers must be no more than 8 pages in length. Authors are encouraged to use ACM 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 dmdaly@us.ibm.com.

Important dates

  • Extended deadline for submissions: September 4th, 2009
  • Author notification: October 2nd, 2009
  • Final version due: October 16th, 2009

Organizers

David Daly, Maria Eleftheriou, Jose Moreira and Kyung Ryu

IBM Thomas J. Watson Research Center

Technical Program

Time

Session

9:00 - 10:00

Introduction and Keynote 1

Jorge Nocedal (Northwestern University)

KEYNOTE 1: Fast and Parallel Algorithms for Pricing American Options

10:00 - 10:30

Break

10:30 - 12:00

Invited Talks

David Leinweber (UC Berkeley)

KEYNOTE 2: Tech and the Wreck: 2008

Alan King (IBM)

INVITED: Requirements for Systemic Risk Management in the
Financial Sector

12:00 - 1:30

Lunch

1:30 - 3:00

Keynote 2 + Papers 1

Timothy J. Williams (Argonne National Laboratory)

KEYNOTE 3: Distributed Calculations on Fixed-Income Securities

Matthew Dixon, Jike Chong, and Kurt Keutzer

Acceleration of Market Value-at-Risk Estimation

3:00 - 3:30

Break

3:30 - 5:30

Papers 2

Abhijeet Gaikwad and Ioane Muni Toke

GPU based sparse grid combination technique for pricing multidimensional options

Xiaolan J. Zhang, Henrique Andrade, Buğra Gedik, Richard King, John Morar, Senthil Nathan, Yoonho Park, Raju Pavuluri, Edward Pring, Randall Schnier, Philippe Selo, Michael Spicer, and Chitra Venkatramani

Implementing a High-Volume, Low-Latency Market Data Processing System on Commodity Hardware using IBM Middleware

C. Bekas, A. Curioni, and I. Fedulova

Low Cost High Performance Uncertainty Quantification

Mukul Majmudar, Ciprian Docan, Manish Parashar, and Christopher Marty

Cost vs. Performance of VaR on Accelerator Platforms

 

Program Committee

  • Gianfranco Bilardi, University of Padova
  • David Cohen, EMC
  • Gregg Cooke, UBS
  • Erik Doeff, TD Securities
  • Moiz Kohari, Novell
  • Scott Ross, UBS
  • Mikhail Smelyanskiy, Intel
  • Reha H. Tutuncu, Goldman Sachs
  • Srinidhi Varadarajan, Virginia Tech
  • Philip Yu, University of Illinois at Chicago

Past Workshops