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GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi - February 25-27th, London, UK - Further Information

MoneyScience's Blog: Financial Technology

Mark Joshi drops first release of Kooderive, an open source library for pricing derivatives using GPUs

September 17, 2013 Comments (0)

Mark Joshi writes:

I have done the first release for Kooderive.Kooderive is reaching usable form. It's an open source library for pricing derivatives using GPUs.I've put up a tentative 0.1 release.It requires CUDA 5.5 , BOOST.There's quite a bit in there but the flagship example is pricing a 40 rate cancellable swap with 320K first and second pass paths using multiple regression in a couple of seconds.kooderive.sourceforge.net

Video - Trading’s evolving next generation? Control systems, feedback loops, adaptive knowledge capture

December 7, 2012 Comments (0)

Via the Finteligent Trading Technology Community comes this interesting presentation by Ken Yeadon which was given at November's Future City event in London.
FUTURE CITY : Trading’s evolving next generation?- control systems, feedback loops, adaptive knowledge capture from Chief Nation on Vimeo.

 
About Ken Yeadon
Ken Yeadon, Chairman Thematic Group, ex HSBC, early inevstor in Currenex and now active in new trading related ventures. Ken has possibly unrivaled experience across the...

Video - Ciamac Moallemi: High-Frequency Trading and Market Microstructure

November 28, 2012 Comments (0)

Via Sal Arnuk from Themis Trading coming this interesting presentation on HFT.

Ciamac Moallemi is the Barbara and Meyer Feldberg Associate Professor of Business in the Decision, Risk, & Operations Division of the Graduate School of Business at Columbia University.
His research focusses on the optimal control of large-scale stochastic systems, with an emphasis on applications in financial engineering.

The Execution Game
Trading at Light Speed...

FIA European Principal Traders Association Market Integrity Framework: Best Practices to Preserve Market Integrity

July 27, 2012 Comments (0)

As part of ongoing efforts to safeguard market integrity, FIA European Principal Traders Association today published a set of best practices to help principal trading firms prevent market manipulation and reduce risks.
“Technological progress has transformed the trading landscape in recent years. These changes have brought substantial efficiencies and other benefits to the market, but they have also introduced new sources of risks to the markets," FIA EPTA chairman Remco Lenterman said....

HFT Review Special Section: FPGA & Hardware Accelerated Trading

June 26, 2012 Comments (0)

This brand new section of the HFT Review website is intended to become a central point for information, commentary and discussion around FPGAs and the use of Hardware Acceleration in Trading.

Although FPGA (Field Programmable Gate Array) technology has been around since the mid-1980s, it is only within the last two to three years that it has been adopted to any real extent in the financial markets.
Originally developed for the defence and telecoms industries, FPGAs are basically a type...