Performance assessment of real-time estimation of continuous-time stochastic volatility of financial data on GPUs.
Daniel KrulewichJunqi YinBrent H. BundickYong ZengPublished in: XSEDE (2015)
Keyphrases
- financial data
- real time
- stock market
- stock trading
- stock price
- financial crisis
- stock market data
- financial time series
- bankruptcy prediction
- stock exchange
- markov processes
- graphics hardware
- portfolio management
- optimal control
- short term
- stochastic processes
- optimal control problems
- general purpose
- gpu implementation
- credit risk
- graphics processing units
- historical data
- financial information
- credit card
- markov chain
- financial statements