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Re-Engineering J.P. Morgan

Why High-Performance Computing Can Be A Bear

Why High-Performance Computing Can Be A Bear

February 7, 2012
By Tom Steinert-Threlkeld

“We started our work with GPU’s and we were able to basically drop the cost of our main equity derivative trading system in half,’’ he said. And increase computational speed more than 30 percent.

FPGAs, in turn, helped J.P. Morgan to rework how it computes complex risk scenarios for exotic and hybrids books that spanned more than one asset class. FPGAs give the programmer the ability to change, then fine-tune the computer to fit the algorithm. When applied to hybrid credit derivatives models, this reduced the compute time for risk by a factor of more than 200 times and the end-to-end system time by a factor of more than 130 times. In the case of complex foreign exchange models the latest improvements are 260 times and 50 times, respectively. Such chips modify the style of the processor to meet the style of the code, Cherasia notes.

You start with one conceptual break. That leads to another that leads to exploration, some failures and some success.

But, in the end, “success breeds more success and leads you to the next thing,’’ he said. And makes not only for a “better operating environment,’’ but “continuing opportunities to set a business apart, by investing in technology.”                                      STM




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