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I thought HFT was moving toward FPGA? Does anyone know where/how GPU-HPC is used?

• shogunmike 12y ago
  You're right. High-frequency trading is already using FPGA and ASICs. GPU-HPC is still used heavily (within finance) for derivatives pricing techniques, via Monte Carlo and Finite Difference methods.
• m_mueller 12y ago
  First of all, HFT is by far not the only place for HPC. GPU/Intel MIC HPC usage is still growing in scientific computing. Then, when we look at the financial world, there's still lots of interest in GPGPU, but rather on the more heavy weight analysis side. Not everything needs to be done in single digit milliseconds, there's decisions that can still be done in mere seconds where you'd rather have a more general purpose capable approach that's relatively easy to program - which is where GPUs come in, since their programmability becomes increasingly easy. I know the company that released the first full blown F# port of CUDA, mainly for the financial sector: https://quantalea.net/ https://quantalea.net/. They can even integrate that stuff with Excel so the bankers can have tons of calculations in their spreadsheets and still have the graphs update in realtime when they use their pretty sliders ;-).