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  • https://doi.org/10.1109/sc.companion.2012.139Copy DOI Icon

Analysis and Optimization of Financial Analytics Benchmark on Modern Multi- and Many-core IA-Based Architectures

  • Nov 1, 2012
  • Mikhail Smelyanskiy +12 more
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Abstract

In the past 20 years, computerization has driven explosive growth in the volume of financial markets and in the variety of traded financial instruments. Increasingly sophisticated mathematical and statistical methods and rapidly expanding computational power to drive them have given rise to the field of computational finance. The wide applicability of these models, their computational intensity, and their real-time constraints require high-throughput parallel architectures. In this work, we have assembled a financial analytics workload for derivative pricing, an important area of computational finance. We characterize and compare our workload's performance on two modern, parallel architectures: the Intel <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">®</sup> Xeon Phi <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">TM</sup> 1 Processor 2680, and the recently announced Intel <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">®</sup> Xeon PhiTM 1 `Knights Corner' coprocessor. In addition to analysis of the peak performance of the workloads on each architecture, we also quantify the impact of several levels of compiler and algorithmic optimization. Overall, we find that large caches on both architectures, out-of-order cores on Intel <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">®</sup> Xeon Phi <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">TM</sup> 1, and large compute and memory bandwidth on Intel <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">®</sup> Xeon PhiTM deliver high level of performance on financial analytics.

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