WHPCF 2015 - Eighth Workshop on High Performance Computational Finance

WHPCF 2015: Eighth Workshop on High Performance Computational Finance
http://ewh.ieee.org/conf/whpcf/
Friday, November 20th, 2015
Austin Convention Center
Austin, TX
Held in conjunction with "SC15"
Important Dates
Submission deadline: August 21st, 11:59 EST
Author notification: September 18th
Final version due: October 2nd
Call For Papers
The purpose of this workshop is to bring together practitioners, researchers, vendors, and scholars from the complementary fields of computational finance and high performance computing, in order to promote an exchange of ideas, discuss future collaborations and develop new research directions. Financial companies increasingly rely on high performance computers to analyze high volumes of financial data, automatically execute trades, and manage risk.
As financial market data continues to grow in volume and complexity, computational capabilities of emerging hardware also increases. Extracting high performance from emerging architectures requires a combination of domain knowledge and specialized technical skills. The workshop will explore how researchers, scholars, vendors and practitioners are collaborating to address high performance computing research challenges.
We seek submissions that cover various aspects of computational finance. In addition to submissions that deal with performance and programmability challenges, theoretical analysis, algorithms, and practical experience in computational finance, we also particularly encourage submissions that demonstrate or result from the collaboration between financial practitioners, and scholars, researchers, or vendors.
For 2015, we are particularly interested in submissions addressing the following emerging topics in high performance computational finance:
? Use of accelerator platforms for stream processing of tick-by-tick order book data
? Fast algorithms for algorithmic trading and high frequency risk management
? Scalable in-memory data processing platforms for large-scale financial computations
? Software infrastructure for high performance and high productivity
? Use of parallel design patterns for more efficient mapping of applications to the parallel hardware
Additional topics of interest to this workshop include, but are not restricted to:
? Financial libraries and run-times
? Use of hardware accelerators (FPGA, Cell, GPUs) in computational finance
? Use of heterogeneous hardware in computational finance
? Financial applications of high performance computing: risk algorithms, derivative pricing, algorithmic trading, arbitrage
? High-bandwidth/low-latency streaming of market data
? Cluster computing for computational finance
? Financial data center engineering
? Computational algorithms for finance
? Move from capacity to capability computing in financial applications
Author Instructions
Submitted papers must be no more than 8 pages in length. The camera ready version of accepted papers must be in
ACM Proceedings format (latex users should select Option 2) .
Each submission will receive at least three reviews from the technical program committee and authors of selected submissions will have 30 minutes to present their work at the workshop.
Papers should be submitted in electronic form to jmoreira-AT-us.ibm.com.
Program Committee
Michael Aichinger, UnRisk
Claudio Albanese, Global Valuation
Patrick Angeles, Cloudera
John Ashley, NVIDIA Corporation
Neil Bartlett, IBM Canada
David Cohen, IBM
Michael Creel, Universitat Autònoma de Barcelona
Dirk Eddelbuettel, Ketchum Trading
Mike Giles, University of Oxford
Hicham Lahlou, Xcelerit
Peter Lankford, STAC Research
Pat Miller, Independent Consultant
Brian Peterson, DV Trading
Andrew Rau-Chaplin, Dalhousie University
Jason Sewall, Intel Corporation
Steering Committee
Matthew Dixon, University of San Francisco
Jose Moreira, IBM Thomas J. Watson Research Center
Mohammad Zubair, Old Dominion University
José E. Moreira
Research Staff Member
Future POWER Systems Concept Team
IBM Thomas J. Watson Research Center
Yorktown Heights NY 10598-0218
phone: 1-914-945-1709, fax: 1-914-945-4425
e-mail: jmoreira-AT-us.ibm.com
URL: http://www.research.ibm.com/people/m/moreira