LEVERAGING AND ACCESSING THE POWER OF GRAPHICS PROCESSING UNITS (GPUs)
Graphics processing units were developed to accelerate graphics and have also served as the processing units in gaming cards. GPU’s cannot perform all of the functions of a CPU, however, GPU’s are hyper-efficient at performing mathematical computations. GPUs can perform hundreds of thousands (and potentially trillions) of mathematical operations in parallel on hundreds (or thousands) of cores with speed that a quad-code or 8-core CPUs simply can’t achieve. The net result of such high degree of parallelization is that complex analytics can now be rendered at a fraction of the time it takes on CPU’s and at a much lower cost than it takes to acquire and maintain blade farms.
53 SECOND VIDEO OVERVIEW
EASY TO USE
One of the challenges of leveraging GPUs is the need to learn specialized languages and perform parallel programming. We have eliminated these issues by porting over 500 models that run inside GPUs and we’ve made these models accessible via .NET or .DLL invocation or by using R. Now, any programmer using JAVA , Excel, C/C++, .NET or any other language can now easily access the power of GPUs. For example, a JAVA programmer can call our models and leverage GPUs to calculate the implied volatility for all options traded in the US on a given day (as reported by OPRA – 500K to 1 million trades) in less than 1 second. There are similar applications for Internet marketing, pharmaceutical, oil and gas, insurance and other industries.
APPLICATIONS IN FINANCIAL SERVICES
- Pricing of Equity, Interest Rate and FX Options using Black Scholes, Binomial Trees
- Risk Management – VaR, Intra-day Risk, Stress Testing of Portfolios, Scenario Analysis, Counterparty Credit Risk Analysis, Stress Testing of Loan and Loan Equivalent Portfolios
- Fixed Income Analytics
- Momentum Trading and Time Series Analysis
- Ultra-low latency analysis of market data
- Hedge Fund Managment
INTRA-DAY RISK MANAGEMENT
Given the need to calculate value at risk for trading portfolios at increasing frequency, a new class of solutions is required that leverages the power GPUs. In this white paper we illustrate how you can manage intra-day risk for tradition portfolios and perform scenario analysis for 1 billion paths in milliseconds. We believe the problem of intra-day risk management can be solved effectively using GPU-based solutions at a fraction of the cost of traditional CPU-based blade solutions.
APPLICATIONS IN HEALTHCARE
- Predictive Modeling: Relationship between outcomes and genetic markers and demographics, Survival Modeling
- Monte Carlo Simulations: Gibbs Sampling (MCMC analysis) of Clinical Trials, Design for Molecular Docking
- Gene Sequencing: Parallelized Basic Local Alignment Search Tool (BLAST)
Paradigm of High-
TANAY™ Zx SERIES – WORLD’S FIRST ANALYTIC LIBRARY FOR GPUs
The Tanay™ Zx Series consist of a software only solution as well as an analytic appliance pre-loaded with a Mathematical, Statistical, and Financial library of roughly 500+ algorithms.
The software only solution is available to be installed into your existing environment or on platforms approved by your organization. The intallation takes less than an hour.
Our appliance is a high-performance computer that contains one or more GPU cards, giving it the speed and processing capabilities of datacenter class servers and blade farms. The appliance has been built by Fuzzy Logix in order to serve a wider range of users in need of ultra-low latency processing and high levels of parallelized computing. The applicance can be either rack mounted or built in a traditional computer server case.
With GPU cards having 500 to 3,000 cores that can each run 1024 simultaneous calculations it’s easy to see that with just a few small cards, you can have the power of a gigantic computing grid at your fingertips at a fraction of the cost and space normally associated with this type of power.
Please contact us for a demonstration of this ground-breaking technology.
TANAY Rx – THE PERFECT PRESCRIPTION FOR HIGH SCALABILTY AND PERFORMANCE
R is one of the most widely used languages for statistical modeling. While R is easy to learn, performance can be constrained due to lack of parallelism and memory limitations. Fuzzy Logix’s Tanay Zx is the highest performing and most complete library of GPU-based analytics available. The Tanay Rx library combines the ease of use of R with the performance of the Tanay Zx library. Tanay Rx is just prescription for curing performance and scalability issues with R.
EXAMPLE OF RUNNING GPU ANALYTICS FROM R
Simulate 100 Million random numbers from a normal distribution
#FL-CUDA R function – SimValArr1<-FLNorm(n=100000000,mean=0,sd=1);
#Original R function – SimValArr2<-rnorm(n=100000000,mean=0,sd=1);
|Matrix Operations Covariance & Correlation|
Matrix Transformation Methods
Matrix Decomposition Methods
Data Mining Techniques
Mixed Model and Generalized Linear Model (GLM)
| Linear Regression |
Logistic Regression & Probit Model
|Financial Analytics Equity Derivatives |
Time Series Analysis Autoregressive Moving Average
Other Time Series Analysis
| Interest Rate Models |
Valuation of Fixed Income Securities (Cash flow estimation, Rate determination, Zero-Coupon Bond)