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Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets
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Preis, Tobias, Virnau, Peter, Paul, Wolfgang and Schneider, Johannes J. (2009) Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets. New Journal of Physics, Vol.11 (No.9). Article no. 093024. doi:10.1088/1367-2630/11/9/093024 ISSN 1367-2630.
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Official URL: http://dx.doi.org/10.1088/1367-2630/11/9/093024
Abstract
The compute unified device architecture is an almost conventional programming approach for managing computations on a graphics processing unit (GPU) as a data-parallel computing device. With a maximum number of 240 cores in combination with a high memory bandwidth, a recent GPU offers resources for computational physics. We apply this technology to methods of fluctuation analysis, which includes determination of the scaling behavior of a stochastic process and the equilibrium autocorrelation function. Additionally, the recently introduced pattern formation conformity (Preis T et al 2008 Europhys. Lett. 82 68005), which quantifies pattern-based complex short-time correlations of a time series, is calculated on a GPU and analyzed in detail. Results are obtained up to 84 times faster than on a current central processing unit core. When we apply this method to high-frequency time series of the German BUND future, we find significant pattern-based correlations on short time scales. Furthermore, an anti-persistent behavior can be found on short time scales. Additionally, we compare the recent GPU generation, which provides a theoretical peak performance of up to roughly 1012 floating point operations per second with the previous one.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School > Behavioural Science Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | New Journal of Physics | ||||
Publisher: | IOP Publishing | ||||
ISSN: | 1367-2630 | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.11 | ||||
Number: | No.9 | ||||
Page Range: | Article no. 093024 | ||||
DOI: | 10.1088/1367-2630/11/9/093024 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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