The International Conference for High Performance Computing, Networking, Storage, and Analysis
The International Conference for High Performance Computing, Networking, Storage, and Analysis
Workshop: Eighth International Workshop on Heterogeneous High-Performance Reconfigurable Computing (H2RC 2022)
Authors: Mark Klaisoongnoen, Nick Brown, and Oliver Thomson Brown (Edinburgh Parallel Computing Centre (EPCC))
Abstract: While FPGAs have enjoyed success in accelerating high-frequency financial workloads for some time, their use for quantitative finance, which is the use of mathematical models to analyze financial markets and securities, has been far more limited to-date. In this presentation, we extend our previous work accelerating the industry standard Securities Technology Analysis Center's (STAC) derivatives risk analysis benchmark STAC-A2, by first porting this from the existing Xilinx implementation to an Intel Stratix-10 FPGA, exploring the challenges encountered when moving from one FPGA architecture to another and suitability of techniques. We then present a host-data-streaming approach that ultimately outperforms our previous version on a Xilinx Alveo U280 FPGA by up to 4.6 times and requiring 9 times less energy at the largest problem size, while outperforming the CPU and GPU versions by up to 8.2 and 5.2 times respectively.