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A GPGPU standard June 18, 2008

Posted by James Webster in : tech , add a comment

According to AppleInsider the OpenCL technology announced as part of the WWDC Snow Leopard preview may be adopted as a standard:

Apple has signed on to an industry-wide alliance that will see many companies, including some of the Mac maker’s processor and video card suppliers, work together to develop an open format for accelerating specialized computing.

This is hopefully good news for anyone keen on making an investment in technology such as NVidia’s Tesla. Intel, NVidia, AMD and other have signed up to the newly formed Compute Working Group. At the moment these GPGPU’s all have to be programmed in different languages (generally based on C). Within investment banking, the availability of a standard language for targeting any GPGPU platform will make it much more attractive for quants to write their analytics to run on such a device. To paraphrase a former colleague: ‘Why mess around with a grid when you have a supercomputer sitting on your desk?’.

Hopefully someone will devise a way to have F# code run on such devices as well.

Banking on BarCamp June 13, 2008

Posted by James Webster in : finance , add a comment

Back in 2006 I attended the inaugural BarCamp Sydney. It was a great day and they have recently host their 3rd event. BarCampBank is a spin-off of the popular ‘un-conference’ series aiming to ‘foster innovations and the creation of new business models in the world of banking and finance’. The first such event is being organized for London this coming 5th of July (via O’Reilly Radar). Should be worth checking out, I’ll definitely aim to be there.

A fishy derivative contract

Posted by James Webster in : finance , add a comment

Prior to starting my new job (structured commodity derivatives IT), I was working with a team building a risk platform for an exotic equity derivatives desk. One of the most common OTC contracts the front-office would sell is known as an asian basket. Asian means that the strike price is not set at a predetermined absolute level (as is the case with American or European option styles) but rather taken as the average price of the underlying asset over a stated period of time before the option’s expiry. A basket option is a derivative contract that covers multiple underlying assets.

Now that I am in commodities I have been researching the field to understand it better. A broader range of commodities are traded on exchanges than I realized; in addition to the currently topical oil contracts traded on the NYMEX & ICE exchanges (and others), the agricultural contracts of the Chicago Board of Trade, and the base and precious metals contracts traded on many other global exchanges, there are exchanges in the Far East listing futures contracts over cocoons and raw silk.

Fish Pool is a recently established Norwegian exchange which provides a marketplace for trading forward contracts on fresh salmon. If they add contracts for other fish (tuna perhaps?) I wonder if a canny investment bank or hedge fund will come along and start offering the market ‘Asian seafood basket’ options :-)

Well… I thought it was amusing.

Continuing the recent market data theme… it appears the NYSE has decided to follow the path set by BATS and NASDAQ; NYSE to sell market data to Internet sites:

The New York Stock Exchange (Nyse) is gearing up to launch a low-cost real-time market data service for delivery over personal finance Web sites.

It would be great to see some cheap, public APIs from BATS, NASDAQ or NYSE to enable the construction of a simple Silverlight ticker with the new duplex service capabilities of Beta 2.