第八届高性能计算金融研讨会论文集

D. Daly, M. Eleftheriou, J. Moreira, K. D. Ryu
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引用次数: 3

摘要

计算金融是一个重要的多学科交叉研究领域。随着数据量和模型的复杂性以惊人的速度增长,传统的方法已经不够用了。金融公司越来越依赖高性能计算机来分析大量的金融数据、自动执行交易和管理风险。随着金融市场数据的数量和复杂性不断增长,算法交易越来越流行,对计算能力的需求也越来越大。这正在改变金融市场的运作方式,并提供潜在的重大创新。然而,该领域仍处于起步阶段。直到最近几年,我们才开始看到在高性能计算金融领域的相关研究和研讨会数量的增长。当我们在2008年组织第一次高性能计算金融研讨会时,我们设想将来自计算金融和高性能计算互补领域的从业者、研究人员、供应商和学者聚集在一起。我们的目标是促进思想和研究的交流,讨论未来的研究合作和发展新的研究方向。第一届研讨会的成功促使我们组织第二届研讨会。世界经济最近发生的事件表明,非常需要更好的模型和工具来进行风险分析和风险管理。因此,我们选择风险管理作为2009年研讨会的重点领域。我们安排了一个多样化的计划,包括三个主题演讲,一个邀请演讲和五个从提交的论文中选出的演讲。我们的演讲者来自金融行业、计算机供应商和学术界。主题范围从风险价值管理到市场数据处理框架,再到新计算机体系结构的开发。我们相信,这次研讨会将有助于促进高性能计算金融领域的研究。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Proceedings of the 8th Workshop on High Performance Computational Finance
Computational finance is an important multi-disciplinary research field. The traditional approaches are falling short, as the volume of data and complexity of the models increase at an astonishing rate. Financial companies increasingly rely on high performance computers to analyze high volumes of financial data, automatically execute trades, and manage risk. As financial market data continues to grow in volume and complexity, and algorithmic trading becomes increasingly popular, there is increased demand for computational power. This is transforming the way that financial markets do business and it offers potential major innovations. Yet, the field is still in its infancy. Only in recent years have we started to see growth in relevant research and in the number of workshops in the area of high performance computational finance. When we organized the First Workshop on High Performance Computational Finance in 2008, we had envisioned bringing together practitioners, researchers, vendors, and scholars from the complementary fields of computational finance and high performance computing. Our goal was to promote an exchange of ideas and research, discuss future research collaborations and develop new research directions. The success of that first workshop motivated us to organize this second edition. Recent events in the world economy have demonstrated a great need for better models and tools to perform risk analysis and risk management. Therefore, we selected risk management as a focus area for the 2009 workshop. We have assembled a diverse program, consisting of three keynotes, one invited talk and five presentations selected from the set of submitted papers. Our speakers come from the financial industry, from computer vendors and from academia. Topics range from management of value at risk to frameworks for market data processing to exploitation of new computer architectures. We are confident that this workshop will help stimulate the research in the area of high performance computational finance.
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