Tag Archives: World’s Fastest

Meet world’s fastest database with CPP for trading

Meet world’s fastest database with CPP for trading

This is exciting, this is what we merged:

1. World’s fastest database called Redis NOSQL

http://openpowerfoundation.org/wp-content/uploads/2014/03/05_ISV_The-World%E2%80%99s-Most-Powerful-Server-and-the-World%E2%80%99s-Fastest-Database_Leads-Jeff_Redis-Labs-IBM.pdf

 

2. Matlab Simulink auto code generated to C++ from visual model

 

3. All done in Linux  with world’s fastest programming language for high speed trading: C++

Woot woot…this is a big deal as we got it all under one roof as demoed in this video!

NOTE: This has to remain in Linux since Redis has unreliable support for Windows versions. It is also note updated for Windows versions as well as described in the video

Get the sample source code which is for Quant Elite members 

Join my FREE newsletter to learn more about implementing Redis into your algo trading

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Xcelerit Runs the World’s Fastest Monte-Carlo Option Pricing Computation

Xcelerit Runs the World’s Fastest Monte-Carlo Option Pricing Computation
Xcelerit software demonstrated a record speed in a Monte-Carlo simulation on a 1U server for European-style options using the industry’s fundamental pricing model, known as the Black-Scholes model.
hpcwire.com
Xcelerit announced the world’s fastest execution of a Monte-Carlo option pricing algorithm (Black-Scholes model) on a single unit rack-mounted system.

1st of all I don’t know that there is some industrial standard for option pricing benchmark(s).
Moreover, I didn’t find any comparison w/other GPU-based option pricing calculations.

And AFAIK, Monte Carlo simulation is quite different model than Black-Scholes. Last is based on partial differential equations which have simple analytical solving.

BTW, how actual are calculations for millions of option pricing – i.e. it’s interesting only for trading using software robots or for “human trading” also ?

euler-maruyama discretization or other discretization with faster convergence (like runge-kutta or modified duffy)? and SDE only geometrical brownian motion or generalized SDE in multi-dimensional space? 😀
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The Black-scholes pricing model can be solved either with a partial differential equation or with a Monte Carlo simulation, which turn to be more efficient when the number of underlying is high.

Also Monte Carlo is an excellent example of simulation with high parallelization ratio because there’s no communication between the different instances. The only drawbacks (i not sure here 😀 ) are the number of repetitions which is directly related to the precision of the final result and the generation of random numbers.sorry, all stochastic models can be solved with that tools, not only bs! and all can be parallelized fine

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!