Low-power option Greeks: Efficiency-driven market risk analysis using FPGAs

Mark Klaisoongnoen*, Nick Brown, Oliver Thomson Brown

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Quantitative finance is the use of mathematical models to analyse financial markets and securities. Typically requiring significant amounts of computation, an important question is the role that novel architectures can play in accelerating these models. In this paper we explore the acceleration of the industry standard Securities Technology Analysis Center's (STAC) derivatives risk analysis benchmark STAC-A2™ by porting the Heston stochastic volatility model and Longstaff and Schwartz path reduction onto a Xilinx Alveo U280 FPGA with a focus on efficiency-driven computing. Describing in detail the steps undertaken to optimise the algorithm for the FPGA, we then leverage the flexibility provided by the reconfigurable architecture to explore choices around numerical precision and representation. Insights gained are then exploited in our final performance and energy measurements, where for the efficiency improvement metric we achieve between an 8 times and 185 times improvement on the FPGA compared to two 24-core Intel Xeon Platinum CPUs. The result of this work is not only a show-case for the market risk analysis workload on FPGAs, but furthermore a set of efficiency driven techniques and lessons learnt that can be applied to quantitative finance and computational workloads on reconfigurable architectures more generally.

Original languageEnglish
Title of host publicationHEART2022: International Symposium on Highly-Efficient Accelerators and Reconfigurable Technologies
Place of PublicationTsukuba, Japan
PublisherAssociation for Computing Machinery (ACM)
Pages95 - 101
Number of pages7
ISBN (Electronic)978-1-4503-9660-8
DOIs
Publication statusPublished - 9 Jun 2022
EventInternational Symposium on Highly-Efficient Accelerators and Reconfigurable Technologies - Tsukuba, Japan
Duration: 9 Jun 202210 Jun 2022
Conference number: 2022

Conference

ConferenceInternational Symposium on Highly-Efficient Accelerators and Reconfigurable Technologies
Abbreviated titleHEART
Country/TerritoryJapan
CityTsukuba
Period9/06/2210/06/22

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