Reconfigurable acceleration of fitness evaluation in trading strategies

Abstract

Over the past years, examining financial markets has become a crucial part of both the trading and regulatory processes. Recently, genetic programs have been used to identify patterns in financial markets which may lead to more advanced trading strategies. We investigate the use of Field Programmable Gate Arrays to accelerate the evaluation of the fitness function which is an important kernel in genetic programming. Our pipelined design makes use of the massive amounts of parallelism available on chip to evaluate the fitness of multiple genetic programs simultaneously. An evaluation of our designs on both synthetic and historical market data shows that our implementation evaluates fitness function up to 21.56 times faster than a multi-threaded C++11 implementation running on two six-core Intel Xeon E5-2640 processors using OpenMP.