TY - GEN
T1 - Fast construction of nanosecond level snapshots of financial markets
AU - Gai, Jiading
AU - Choi, Dong Ju
AU - O'neal, David
AU - Ye, Mao
AU - Sinkovits, Robert S.
PY - 2013
Y1 - 2013
N2 - 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 125x and the new capabilities that can be enabled using a combination of fast algorithms and XSEDE resources.
AB - 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 125x and the new capabilities that can be enabled using a combination of fast algorithms and XSEDE resources.
KW - High-frequency trading
KW - Performance optimization
UR - http://www.scopus.com/inward/record.url?scp=84882326046&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84882326046&partnerID=8YFLogxK
U2 - 10.1145/2484762.2484825
DO - 10.1145/2484762.2484825
M3 - Conference contribution
AN - SCOPUS:84882326046
SN - 9781450321709
T3 - ACM International Conference Proceeding Series
BT - Proceedings of the XSEDE 2013 Conference
T2 - Conference on Extreme Science and Engineering Discovery Environment, XSEDE 2013
Y2 - 22 July 2013 through 25 July 2013
ER -