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DY: Fachverband Dynamik und Statistische Physik
DY 8: Focus Session: GPU Computing - Contributed Talks
DY 8.1: Vortrag
Montag, 14. März 2011, 15:00–15:15, GÖR 226
GPU-accelerated analysis of high frequency financial data — •Florian Dittrich1, Simon Weißeno1, Lucas Schabhüser1, and Tobias Preis2,3 — 1Spline Consulting e.V., Johannes Gutenberg University Mainz, Staudinger Weg 9, 55099 Mainz, Germany — 2Center for Polymer Studies, Department of Physics, 590 Commonwealth Avenue, Boston, MA 02215, USA — 3Artemis Capital Asset Management GmbH, Gartenstr. 14, 65558 Holzheim, Germany
We apply the concept of general-purpose computing on graphics processing units (GPGPU) to the analysis of time series. We use the recently introduced pattern formation conformity [T. Preis et al., New Journal of Physics 11 (2009) 093024], which quantifies pattern-based complex short-time correlations in a time series, for analyzing high-frequency financial data sets. In addition, we evaluate the predictive power for time series using such pattern-based correlations.