Fast computation of stock market indices using GPUs

Abstract

The stock market index is a valuable financial tool to measure the state of a segment of the stock market. With high input data rates, real-time index computation is a challenging task. It cannot be done in real-time with today's reasonably high-end computers with many CPU cores. Doing so with CPU-based systems will require server farms with lots of computing power and therefore costly. Thus currently this index value is computed periodically (non-real-time). In this paper we describe our attempt in fast index computation using Graphics Processing Units (GPUs), which usually have several hundreds of processing cores and are much less expensive than CPU-based solutions. The computation itself is data parallel and therefore suitable for GPU processing. Preliminary results indicate our approach is promising as we can compute much faster using GPUs than using multi-core CPUs.