Architects of Electronic Trading: Technology Leaders Who Are Shaping Today's Financial Markets

CHAPTER 5

GPUs

Affordable Desktop Supercomputing

In this chapter, Gerald Hanweck Jr., PhD, provides his insights on how graphical processing units (GPUs) are helping firms gain a competitive advantage in terms of processing power. He is the founder of Hanweck Associates, a firm that harnesses GPU technology to provide high-performance, low-latency data and risk analytics to the financial markets.

GPUs are unmatched when applied to mathematical problems that involve massive amounts of parallel calculations such as Monte Carlo simulations. In an industry driven by speed, GPUs represent a tremendous jump in computing power. Nimble technologists, including those with an interest in gaming, have long been proponents of GPU technology. As a whole, the industry is starting to wake up to the potential afforded by GPUs. Somewhat surprisingly, one explanation for this shift in attitudes is not the fact that GPUs do a better job faster.

The industry has been less inclined to embrace GPU technology than one might assume. After all, dollar for dollar, they offer 10 times the processing power of traditional central processing unit (CPU) technology. The resistance can be tied to the technological challenges of porting large amounts of code into GPU languages such as CUDA, as well as behavioral factors such as entrenched IT bureaucracies.

In its early stages, the financial crisis acted as a brake on the adoption of new technology like GPUs. Now that the industry has weathered the worst of the ...