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DY: Fachverband Dynamik und Statistische Physik

DY 8: Focus Session: GPU Computing - Contributed Talks

DY 8.1: Talk

Monday, March 14, 2011, 15:00–15:15, GÖR 226

GPU-accelerated analysis of high frequency financial data — •Florian Dittrich¹, Simon Weißeno¹, Lucas Schabhüser¹, and Tobias Preis^2,3 — ¹Spline Consulting e.V., Johannes Gutenberg University Mainz, Staudinger Weg 9, 55099 Mainz, Germany — ²Center for Polymer Studies, Department of Physics, 590 Commonwealth Avenue, Boston, MA 02215, USA — ³Artemis Capital Asset Management GmbH, Gartenstr. 14, 65558 Holzheim, Germany

We apply the concept of general-purpose computing on graphics processing units (GPGPU) to the analysis of time series. We use the recently introduced pattern formation conformity [T. Preis et al., New Journal of Physics 11 (2009) 093024], which quantifies pattern-based complex short-time correlations in a time series, for analyzing high-frequency financial data sets. In addition, we evaluate the predictive power for time series using such pattern-based correlations.