GPU Computing with Jacket in Automated Trader

John Benchmarks, Case Studies, Jacket Leave a Comment

The Q1 2012 issue of Automated Trader contains an excellent "Mashup!" piece reviewing software for algorithmic trading.  The article provides a wonderful glimpse into the 1-2 month adventure of Andy Webb, Automated Trader's Founder, and Wrecking Crew building a fast trading platform from several technologies.  We heartily recommend that those of you in financial computing go subscribe to get the full story and access to ongoing developments from these Automated Trader thought leaders! The full trading platform they built was quite extensive.  The part that caught our eye was the core computational component of the pipeline.  That component involved permuting 1,000 potential pairs with cointegration tests for 350 time windows on each potential pair. The single core MATLAB® version took 70 minutes ...