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Abstract / Description of output
Whilst Field-Programmable Gate Arrays (FPGAs) have been popular in accelerating high-frequency financial workload for many years, their application in quantitative finance, the utilisation of mathematical models to analyse financial markets and securities, is less mature. Nevertheless, recent work has demonstrated the benefits that FPGAs can deliver to quantitative workloads, and in this paper, we study whether the Versal ACAP and its AI Engines (AIEs) can also deliver improved performance. We focus specifically on the industry standard Strategic Technology Analysis Center's (STAC) derivatives risk analysis benchmark STAC-A2. Porting a purely FPGA-based accelerator STAC-A2 inspired market risk (SIMR) benchmark to the Versal ACAP device by combining Programmable Logic (PL) and AIEs, we explore the development approach and techniques, before comparing performance across PL and AIEs. Ultimately, we found that our AIE approach is slower than a highly optimised existing PL-only version due to limits on both the AIE and PL that we explore and describe.
Original language | English |
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Title of host publication | Proceedings of the 32nd ACM/SIGDA International Symposium on Field-Programmable Gate Arrays |
Publisher | Association for Computing Machinery |
Pages | 176–182 |
DOIs | |
Publication status | Published - 15 Mar 2024 |
Event | The 32nd ACM/SIGDA International Symposium on Field-Programmable Gate Arrays - Monterey, United States Duration: 3 Mar 2024 → 5 Mar 2024 https://www.isfpga.org/program/ |
Conference
Conference | The 32nd ACM/SIGDA International Symposium on Field-Programmable Gate Arrays |
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Abbreviated title | ISFPGA |
Country/Territory | United States |
City | Monterey |
Period | 3/03/24 → 5/03/24 |
Internet address |
Keywords / Materials (for Non-textual outputs)
- ai engines
- cgras
- fpgas
- option price discovery
- reconfigurable architectures
- simr
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Dive into the research topics of 'Evaluating Versal AI Engines for option price discovery in market risk analysis'. Together they form a unique fingerprint.Projects
- 1 Finished
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ExCALIBUR HES Exploring Coarse Grained Reconfigurable Architectures (CGRAs)
1/09/22 → 31/05/23
Project: Research