Fast construction of nanosecond level snapshots of financial markets

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

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 125x and the new capabilities that can be enabled using a combination of fast algorithms and XSEDE resources.

Original languageEnglish (US)
Title of host publicationProceedings of the XSEDE 2013 Conference
Subtitle of host publicationGateway to Discovery
DOIs
StatePublished - 2013
EventConference on Extreme Science and Engineering Discovery Environment, XSEDE 2013 - San Diego, CA, United States
Duration: Jul 22 2013Jul 25 2013

Publication series

NameACM International Conference Proceeding Series

Other

OtherConference on Extreme Science and Engineering Discovery Environment, XSEDE 2013
CountryUnited States
CitySan Diego, CA
Period7/22/137/25/13

Keywords

  • High-frequency trading
  • Performance optimization

ASJC Scopus subject areas

  • Software
  • Human-Computer Interaction
  • Computer Vision and Pattern Recognition
  • Computer Networks and Communications

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