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WHPCF '15: Proceedings of the 8th Workshop on High Performance Computational Finance
ACM2015 Proceeding
Publisher:
  • Association for Computing Machinery
  • New York
  • NY
  • United States
Conference:
SC15: The International Conference for High Performance Computing, Networking, Storage and Analysis Austin Texas 15 November 2015
ISBN:
978-1-4503-4015-1
Published:
15 November 2015
Sponsors:
SIGHPC, SIGARCH, IEEE-CS\DATC
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Abstract

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research-article
STAC-A2™ benchmark on POWER8
Article No.: 1, Pages 1–8https://doi.org/10.1145/2830556.2830557

The STAC-A2™ benchmark is an emerging standard designed to evaluate the speed, scalability and quality of computational platforms for performing financial risk analytics in the capital markets industry. The problem posed by the benchmark is the ...

research-article
Parallelism-centric optimization and performance study of a finance aggregation engine on modern NUMA systems
Article No.: 2, Pages 1–7https://doi.org/10.1145/2830556.2830558

Mark-to-future aggregation is a key component of counterparty credit risk analysis in the IBM Algorithmics software. Its computation exhibits complex memory access and control flow patterns, and is hard to accelerate. The prior effort to improve ...

research-article
Optimization strategies for portable code for Monte Carlo-based value-at-risk systems
Article No.: 3, Pages 1–8https://doi.org/10.1145/2830556.2830559

Value-at-risk (VaR) computations are one important basic element of risk analysis and management applications. On the one hand, risk management systems need to be flexible and maintainable, but on the other hand they require a very high computational ...

research-article
Potential future exposure, modelling and accelerating on GPU and FPGA
Article No.: 4, Pages 1–8https://doi.org/10.1145/2830556.2830560

Counterparty Credit Risk is of top concern among financial institutions, as the over-the-counter derivative market has been growing rapidly for the last two decades. Potential Future Exposure (PFE) provides assessment of the safety of a bank's asset ...

research-article
Fulfilling solvency II regulations using high performance computing
Article No.: 5, Pages 1–7https://doi.org/10.1145/2830556.2830561

Throughout Europe, Solvency II Regulations are changing the way in which companies involved in the provision of financial services must assess their solvency. Historically, solvency has been assessed using a single 'best estimate' set of assumptions. ...

research-article
Implementing deep neural networks for financial market prediction on the Intel Xeon Phi
Article No.: 6, Pages 1–6https://doi.org/10.1145/2830556.2830562

Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et al., 2012) ...

research-article
Solving the optimal trading trajectory problem using a quantum annealer
Article No.: 7, Pages 1–7https://doi.org/10.1145/2830556.2830563

We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding schemes, and present numerical examples that show high success rates. The ...

research-article
Open Access
GPU option pricing
Article No.: 8, Pages 1–6https://doi.org/10.1145/2830556.2830564

In this paper, we explore the possible approaches to harness extra computing power from commodity hardware to speedup pricing calculation of individual options. Specifically, we leverage two parallel computing platforms: Open Computing Language (OpenCL) ...

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Acceptance Rates

WHPCF '15 Paper Acceptance Rate 8 of 10 submissions, 80%;
Overall Acceptance Rate 8 of 10 submissions, 80%
YearSubmittedAcceptedRate
WHPCF '1510880%
Overall10880%