

Wall Street Accelerates Options Analysis With GPU - signa11
http://www.wallstreetandtech.com/printableArticle.jhtml;jsessionid=M1RAQ4MDR0UI2QSNDLPSKH0CJUNN2JVN?articleID=215801950

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vizard
You will note it includes no standard benchmarks and only includes a vague
hand-waving claim saying that its orders of magnitude faster. No real world
numbers are quoted. Nothing is said about how good the CPU implementation was
and so on.

After working in GPGPU for a while, I have become really wary of vendor
claims. Vendors do all sort of tricks to make their claims look good :
comparing against single core non-optimized CPU code, comparing different
algorithms on GPU and CPU, not reporting the time required to transfer data
between CPU and GPU, comparing only 32-bit float performance when 64-bit
floats should be used and so forth.

Of course, GPUs are certainly very good for some types of problems. But they
are not magical solutions and are not suitable for most problems.

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dkasper
I found this blog post pretty insightful on this topic:
[http://mainroach.blogspot.com/2007/11/gpgpu-vs-multi-core-
cp...](http://mainroach.blogspot.com/2007/11/gpgpu-vs-multi-core-cpu.html)

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lutorm
I don't understand how he can say that a CPU is as efficient as a GPU at
floating-point operations. Yeah, maybe on a per-core basis, but you are
comparing (like) 8 cores to (like) 240.

The basic difference is that the silicon used for hiding memory latency
(cache) in a CPU is used for more raw computational power and memory bandwidth
in a GPU. So if the data are structured so they fit into the data-parallel
paradigm, the GPU will kill a normal CPU. Not because of some magic, but
because they were designed to do that.

You wouldn't try to run an operating system on a GPU, or a web browser, or
whatever. But to say that a GPU only can handle rasterization is to vastly
understate the realm of applicability. There are plenty of fp-intensive, data-
parallel tasks that fit very well into a GPU paradigm. A lot of scientific
calculations, for example.

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wmorein
It really feels like some sort of joke talking about how much faster they
could go bankrupt would be appropriate here.

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Rod
The banks went down because of structured products, not exchange-traded
options. Not all derivatives are created equal.

~~~
lutorm
This time. I seem to think those black-scholes models, or whatever they are
called, have been blamed for other "incidents" (ref Taleb and the Black Swan
here).

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Rod
Yup. The LTCM meltdown in 1998 was caused by options, if I remember right.
Back then the Wall Street banks bailed out LTCM to avoid a global crisis of
nightmare proportions.

~~~
ConradHex
And lots of lessons were learned, and taken to heart? (cough)

