GPUs Finding A New Role on Wall Street

By Michael Feldman

September 22, 2008

Despite the carnage from this year’s financial crisis, the arms race in algorithmic trading is likely to continue. Behind that competition are a variety of high performance computing technologies, such as commodity clusters, FPGA accelerators and Blue Gene supercomputers. One of the new kids on Wall Street is GPU computing, a technology that is making inroads across nearly every type of HPC application. The vector processing capabilites of GPUs makes them especially well-suited to financial analytics.

A quantitative finance company that has jumped into GPU computing with both feet is Hanweck Associates LLC. The company works with institutions like brokerage firms, investment banks, and hedge funds to help them accelerate thier market data applications. Hanweck’s claim to fame is their early adoption of NVIDIA’s CUDA programming language and Tesla GPU computing platform for options analytics. The NVIDIA technology is the basis for Hanweck’s Volera product line, a financial analytics engine that is used for trading and risk management. The engine is the foundation for the company’s flagship products VoleraFeed and VoleraRisk.

Hanweck has a small team of in-house programmers that develops the software, with backgrounds ranging from the trading desk to academia. When the company started out, it was basically a quant consultancy, doing quantitative financial modeling for institutions that needed to develop debt equity valuation, market impact modeling and algorithmic trading. As they developed GPU expertise, they found a largely untapped niche for GPU middleware in financial analytics workloads.

The company has also expanded into a technology consultancy role, especially with regards to NVIDIA’s GPU computing platform. Gerald (Jerry) Hanweck, the company’s founder and principal partner, says his company has been involved in proof-of-concept project with some of the larger Wall Street firms. For example, they have a project underway to develop a mortgage analytics application for acquiring subprime mortgages. Part of the project will involve building the mortgage models around the GPU. Hanweck says they expect to realize a 100x speedup using GPUs compared to traditional CPUs. According to him, this type of experimentation is commonplace in Wall Street. He believes that most major financial institutions are exploring GPU computing at some level and many, if not all, have pilot projects in place.

While GPU performance is strongest in the single precision (32-bit) floating point, this turns out to be a good fit for financial analytics. Even though the second generation GPU computing devices will have double precision (64-bit) capability, single precision will continue to be much faster for the foreseeable future. Fortunately, you don’t need double precision for most types of numerical analysis, Hanweck explains. When 64-bit floating point became the default on CPUs, most developers just went along for the ride. “I think a lot of people got lazy over the years and took double precision for granted,” he says.

Hanweck saw the potential of the GPU acceleration in financial analytics early on, and started developing with an early version of CUDA back in February 2007. In addition to the NVIDIA technology, he also looked at FPGAs, the Cell processor and ATI’s (AMD’s) GPUs. The company even dabbled with PeakStream’s development platform (before Google bought them). According the Hanweck, nothing was as straightforward nor as well developed as NVIDIA’s CUDA-Tesla technology. And with the increasing volumes of data flowing through the financial markets and the pressure to execute trades first, Hanweck saw conventional CPU-based platforms falling behind the performance curve. “For the end user, speed is king right now,” he says.

One area where you see the data volumes overwhelming Moore’s Law CPU economics is market messaging. In the U.S. alone, there are currently about 300,000 options that trade over 3,500 stocks and indices. All the pricing data is fed into a service called OPRA — for Options Price Reporting Authority — and that data volume is taking off. “This year they expect to hit 1,000,000 messages per second,” says Hanweck. “My guess is they’ve already exceeded that.”

Hanweck remembers his stint at JPMorgan, when he was the firm’s chief equity derivatives strategist. He says in 2003 they only needed a relatively large system with conventional servers to do these options calculations. But more recently, investment banks have built much larger computing clusters or grids with many more racks of servers costing millions of dollars — and millions of dollars per year to run them. Hanweck says they can compress a system like that down to about 10U worth of rack space using NVIDIA Tesla-equipped servers.

At the datacenter of Hanweck partner ACTIV Financial Systems Inc., a couple of conventional servers are used to subscribe and publish the market data, while three NVIDIA Tesla S870-equipped servers are employed to process it. The S870 hold four 8-series GPUs, each capable of around 500 single precision gigaflops. With Hanweck’s VoleraFeed, a GPU-accelerated application that runs on top of a market feed appliance (like ACTIV’s), anytime a stock price changes, all of the options’ risks can be recomputed in under 10 milliseconds.

And that’s with the first generation GPU computing technology. When they upgrade to NVIDIA’s S1070 Tesla boards, they think they can cut that to less than 5 milliseconds. In fact, Hanweck says they’ve already tested an early version of the new device, which NVIDIA has assured them is slower than the production version. “Basically, we can cut our compute time in half just by upgrading our hardware,” says Hanweck. “It’s a lot easier to do that than to be a clever programmer.”

That statement harkens back to the 20th century experience of CPU-based computing, when applications automatically got a performance boost every time the chip vendors bumped up the processor clock speeds. With clock speeds more or less stagnant now and the promise of multicore CPU scalability still a pipe dream, the data parallelism offered by GPUs is one way at least some applications can jump back on the performance curve. The way Hanweck sees it, “from a technology standpoint, GPUs are going to change the way the world works.”

Subscribe to HPCwire's Weekly Update!

Be the most informed person in the room! Stay ahead of the tech trends with industy updates delivered to you every week!

IBM Unveils Latest Achievements in AI Hardware

December 13, 2019

“The increased capabilities of contemporary AI models provide unprecedented recognition accuracy, but often at the expense of larger computational and energetic effort,” IBM Research wrote in a blog post. “Therefor Read more…

By Oliver Peckham

Focused on ‘Silicon TAM,’ Intel Puts Gary Patton, Former GlobalFoundries CTO, in Charge of Design Enablement

December 12, 2019

Change within Intel’s upper management – and to its company mission – has continued as a published report has disclosed that chip technology heavyweight Gary Patton, GlobalFoundries’ CTO and R&D SVP as well a Read more…

By Doug Black

Quantum Bits: Rigetti Debuts New Gates, D-Wave Cuts NEC Deal, AWS Jumps into the Quantum Pool

December 12, 2019

There’s been flurry of significant news in the quantum computing world. Yesterday, Rigetti introduced a new family of gates that reduces circuit depth required on some problems and D-Wave struck a deal with NEC to coll Read more…

By John Russell

How Formula 1 Used Cloud HPC to Build the Next Generation of Racing

December 12, 2019

Formula 1, Rob Smedley explained, is maybe the biggest racing spectacle in the world, with five hundred million fans tuning in for every race. Smedley, a chief engineer with Formula 1’s performance engineering and anal Read more…

By Oliver Peckham

RPI Powers Up ‘AiMOS’ AI Supercomputer

December 11, 2019

Designed to push the frontiers of computing chip and systems performance optimized for AI workloads, an 8 petaflops (Linpack) IBM Power9-based supercomputer has been unveiled in upstate New York that will be used by IBM Read more…

By Doug Black

AWS Solution Channel

Making High Performance Computing Affordable and Accessible for Small and Medium Businesses with HPC on AWS

High performance computing (HPC) brings a powerful set of tools to a broad range of industries, helping to drive innovation and boost revenue in finance, genomics, oil and gas extraction, and other fields. Read more…

IBM Accelerated Insights

GPU Scheduling and Resource Accounting: The Key to an Efficient AI Data Center

[Connect with LSF users and learn new skills in the IBM Spectrum LSF User Community!]

GPUs are the new CPUs

GPUs have become a staple technology in modern HPC and AI data centers. Read more…

At SC19: Developing a Digital Twin

December 11, 2019

In the not too distant future, we can expect to see our skies filled with unmanned aerial vehicles (UAVs) delivering packages, maybe even people, from location to location. In such a world, there will also be a digital twin for each UAV in the fleet: a virtual model that will follow the UAV through its existence, evolving with time. Read more…

By Aaron Dubrow

Focused on ‘Silicon TAM,’ Intel Puts Gary Patton, Former GlobalFoundries CTO, in Charge of Design Enablement

December 12, 2019

Change within Intel’s upper management – and to its company mission – has continued as a published report has disclosed that chip technology heavyweight G Read more…

By Doug Black

Quantum Bits: Rigetti Debuts New Gates, D-Wave Cuts NEC Deal, AWS Jumps into the Quantum Pool

December 12, 2019

There’s been flurry of significant news in the quantum computing world. Yesterday, Rigetti introduced a new family of gates that reduces circuit depth require Read more…

By John Russell

RPI Powers Up ‘AiMOS’ AI Supercomputer

December 11, 2019

Designed to push the frontiers of computing chip and systems performance optimized for AI workloads, an 8 petaflops (Linpack) IBM Power9-based supercomputer has Read more…

By Doug Black

At SC19: Developing a Digital Twin

December 11, 2019

In the not too distant future, we can expect to see our skies filled with unmanned aerial vehicles (UAVs) delivering packages, maybe even people, from location to location. In such a world, there will also be a digital twin for each UAV in the fleet: a virtual model that will follow the UAV through its existence, evolving with time. Read more…

By Aaron Dubrow

Intel’s Jim Clarke on its New Cryo-controller and why Intel isn’t Late to the Quantum Party

December 9, 2019

Intel today introduced the ‘first-of-its-kind’ cryo-controller chip for quantum computing and previewed a cryo-prober tool for characterizing quantum proces Read more…

By John Russell

On the Spack Track @SC19

December 5, 2019

At the annual supercomputing conference, SC19 in Denver, Colorado, there were Spack events each day of the conference. As a reflection of its grassroots heritage, nine sessions were planned by more than a dozen thought leaders from seven organizations, including three U.S. national Department of Energy (DOE) laboratories and Sylabs... Read more…

By Elizabeth Leake

Intel’s New Hyderabad Design Center Targets Exascale Era Technologies

December 3, 2019

Intel's Raja Koduri was in India this week to help launch a new 300,000 square foot design and engineering center in Hyderabad, which will focus on advanced com Read more…

By Tiffany Trader

AWS Debuts 7nm 2nd-Gen Graviton Arm Processor

December 3, 2019

The “x86 Big Bang,” in which market dominance of the venerable Intel CPU has exploded into fragments of processor options suited to varying workloads, has n Read more…

By Doug Black

Using AI to Solve One of the Most Prevailing Problems in CFD

October 17, 2019

How can artificial intelligence (AI) and high-performance computing (HPC) solve mesh generation, one of the most commonly referenced problems in computational engineering? A new study has set out to answer this question and create an industry-first AI-mesh application... Read more…

By James Sharpe

D-Wave’s Path to 5000 Qubits; Google’s Quantum Supremacy Claim

September 24, 2019

On the heels of IBM’s quantum news last week come two more quantum items. D-Wave Systems today announced the name of its forthcoming 5000-qubit system, Advantage (yes the name choice isn’t serendipity), at its user conference being held this week in Newport, RI. Read more…

By John Russell

DARPA Looks to Propel Parallelism

September 4, 2019

As Moore’s law runs out of steam, new programming approaches are being pursued with the goal of greater hardware performance with less coding. The Defense Advanced Projects Research Agency is launching a new programming effort aimed at leveraging the benefits of massive distributed parallelism with less sweat. Read more…

By George Leopold

Ayar Labs to Demo Photonics Chiplet in FPGA Package at Hot Chips

August 19, 2019

Silicon startup Ayar Labs continues to gain momentum with its DARPA-backed optical chiplet technology that puts advanced electronics and optics on the same chip Read more…

By Tiffany Trader

SC19: IBM Changes Its HPC-AI Game Plan

November 25, 2019

It’s probably fair to say IBM is known for big bets. Summit supercomputer – a big win. Red Hat acquisition – looking like a big win. OpenPOWER and Power processors – jury’s out? At SC19, long-time IBMer Dave Turek sketched out a different kind of bet for Big Blue – a small ball strategy, if you’ll forgive the baseball analogy... Read more…

By John Russell

Cray, Fujitsu Both Bringing Fujitsu A64FX-based Supercomputers to Market in 2020

November 12, 2019

The number of top-tier HPC systems makers has shrunk due to a steady march of M&A activity, but there is increased diversity and choice of processing compon Read more…

By Tiffany Trader

Crystal Ball Gazing: IBM’s Vision for the Future of Computing

October 14, 2019

Dario Gil, IBM’s relatively new director of research, painted a intriguing portrait of the future of computing along with a rough idea of how IBM thinks we’ Read more…

By John Russell

Kubernetes, Containers and HPC

September 19, 2019

Software containers and Kubernetes are important tools for building, deploying, running and managing modern enterprise applications at scale and delivering enterprise software faster and more reliably to the end user — while using resources more efficiently and reducing costs. Read more…

By Daniel Gruber, Burak Yenier and Wolfgang Gentzsch, UberCloud

Leading Solution Providers

SC 2019 Virtual Booth Video Tour

AMD
AMD
CEJN
CJEN
DDN
DDN
MELLANOX
MELLANOX
ONE STOP SYSTEMS
ONE STOP SYSTEMS
PANASAS
PANASAS
SIX NINES IT
SIX NINES IT
VERNE GLOBAL
VERNE GLOBAL
WEKAIO
WEKAIO

Intel Debuts New GPU – Ponte Vecchio – and Outlines Aspirations for oneAPI

November 17, 2019

Intel today revealed a few more details about its forthcoming Xe line of GPUs – the top SKU is named Ponte Vecchio and will be used in Aurora, the first plann Read more…

By John Russell

Dell Ramps Up HPC Testing of AMD Rome Processors

October 21, 2019

Dell Technologies is wading deeper into the AMD-based systems market with a growing evaluation program for the latest Epyc (Rome) microprocessors from AMD. In a Read more…

By John Russell

SC19: Welcome to Denver

November 17, 2019

A significant swath of the HPC community has come to Denver for SC19, which began today (Sunday) with a rich technical program. As is customary, the ribbon cutt Read more…

By Tiffany Trader

When Dense Matrix Representations Beat Sparse

September 9, 2019

In our world filled with unintended consequences, it turns out that saving memory space to help deal with GPU limitations, knowing it introduces performance pen Read more…

By James Reinders

Cerebras to Supply DOE with Wafer-Scale AI Supercomputing Technology

September 17, 2019

Cerebras Systems, which debuted its wafer-scale AI silicon at Hot Chips last month, has entered into a multi-year partnership with Argonne National Laboratory and Lawrence Livermore National Laboratory as part of a larger collaboration with the U.S. Department of Energy... Read more…

By Tiffany Trader

With the Help of HPC, Astronomers Prepare to Deflect a Real Asteroid

September 26, 2019

For years, NASA has been running simulations of asteroid impacts to understand the risks (and likelihoods) of asteroids colliding with Earth. Now, NASA and the European Space Agency (ESA) are preparing for the next, crucial step in planetary defense against asteroid impacts: physically deflecting a real asteroid. Read more…

By Oliver Peckham

Jensen Huang’s SC19 – Fast Cars, a Strong Arm, and Aiming for the Cloud(s)

November 20, 2019

We’ve come to expect Nvidia CEO Jensen Huang’s annual SC keynote to contain stunning graphics and lively bravado (with plenty of examples) in support of GPU Read more…

By John Russell

IBM Opens Quantum Computing Center; Announces 53-Qubit Machine

September 19, 2019

Gauging progress in quantum computing is a tricky thing. IBM yesterday announced the opening of the IBM Quantum Computing Center in New York, with five 20-qubit Read more…

By John Russell

  • arrow
  • Click Here for More Headlines
  • arrow
Do NOT follow this link or you will be banned from the site!
Share This