Publications of the project

Financial market simulation on massively parallel computers
Keywords Researchers
Financial market simulation, massively parallel computers, parallel architecture, 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)
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.

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.