Publications of the project

Financial market simulation on massively parallel computers
Keywords Researchers
Financial market simulation, massively parallel computers, parallel architecture, object-oriented.software Dr. Pierre KUONEN (project leader),
Dr. Frédéric GUIDEC, Alexandre DUPUIS, Mahmoud EL HUSSEINI
Project period Funding Agency
May 1997 - Janvier 1999 This project is financed by the CTI (project # 3510.1)
Description
LinkVest, a Swiss company located in the vicinity of Lausanne, has developed over the last years a sequential, financial market simulator called RiskPro. RiskPro was written in C++. It is a contract-based, global information and simulation platform for firmwide financial risk and profitability analysis, and for the management of financial institutions. Roughly speaking, this simulator aims at computing the so-called ‘risk’ of an institution (e.g. bank, insurance company) according to its contracts (e.g. share, bond).

In collaboration with LinkVest, the GRIP has to provide a parallel architecture for running the RiskPro simulator on massively parallel computers. The platoform currently targeted is PopC: a pile of PCs interconnected with a suitable network. PopC is installed in the LHPC at Lyon.

A parallel version of RiskPro has been written in C++. This version was tested on the PopC and on a cluster of Sun workstations and good speed up results was exhibited.

Publications
Dupuis A., EuroTops - RiskPro: Situation à la première mise en oeuvre parallèle, Technical report, February 1998.
Dupuis A., Euro-Tops-RiskPro: études et mesures de la version maître-esclave, Technical report, May 1998.