Fast construction of nanosecond level snapshots of financial markets

Jiading Gai, Dong Ju Choi, David O'Neal, Mao Ye, Robert S. Sinkovits

Research output: Contribution to journalArticlepeer-review

Abstract

The goal of this project is to rapidly construct an order-by-order level snapshot of financial markets with nanosecond resolution time stamps. We are particularly interested in understanding the impact of high-frequency traders on the security, stability, and fairness of these markets. In this paper, we describe our computational approach, the optimizations that were applied to improve the performance of the software by a factor of more than 125×, and the new capabilities that can be enabled using a combination of fast algorithms and XSEDE resources.

Original languageEnglish (US)
Pages (from-to)2149-2156
Number of pages8
JournalConcurrency Computation
Volume26
Issue number13
DOIs
StatePublished - Sep 10 2014

Keywords

  • high-frequency trading
  • performance optimization

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Software
  • Computer Science Applications
  • Computer Networks and Communications
  • Computational Theory and Mathematics

Fingerprint

Dive into the research topics of 'Fast construction of nanosecond level snapshots of financial markets'. Together they form a unique fingerprint.

Cite this