Lecture

Intraday Data Analysis

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In course

FIN-525: Financial big data

The course introduces modern methods to acquire, clean, and analyze large quantities of financial data efficiently. The second part expands on how to apply these techniques and robust statistics to financial analysis, in particular to intraday data and inv ...

Description

This lecture focuses on analyzing intraday data, covering topics such as trade files, systematic studies, breakpoints in script languages, debugging techniques, and better programming practices. It also delves into multicore computing in Python, GPU programming, correlation computation with GPUs, and the use of libraries like Thrust and Numba for faster computations.

Instructor

Damien Challet

Teaching & PhD Courses Financial big data FIN-525 The course introduces modern methods to acquire, clean, and analyze large quantities of financial data efficiently. The second part expands on how to apply these techniques and robust statistics to financial analysis, in particular to intraday data and investment strategies.

Official source

Related concepts (31)

General-purpose computing on graphics processing units

General-purpose computing on graphics processing units (GPGPU, or less often GPGP) is the use of a graphics processing unit (GPU), which typically handles computation only for computer graphics, to perform computation in applications traditionally handled by the central processing unit (CPU). The use of multiple video cards in one computer, or large numbers of graphics chips, further parallelizes the already parallel nature of graphics processing.

Python (programming language)

Python is a high-level, general-purpose programming language. Its design philosophy emphasizes code readability with the use of significant indentation. Python is dynamically typed and garbage-collected. It supports multiple programming paradigms, including structured (particularly procedural), object-oriented and functional programming. It is often described as a "batteries included" language due to its comprehensive standard library.

Manycore processor

Manycore processors are special kinds of multi-core processors designed for a high degree of parallel processing, containing numerous simpler, independent processor cores (from a few tens of cores to thousands or more). Manycore processors are used extensively in embedded computers and high-performance computing. Manycore processors are distinct from multi-core processors in being optimized from the outset for a higher degree of explicit parallelism, and for higher throughput (or lower power consumption) at the expense of latency and lower single-thread performance.

Larrabee (microarchitecture)

Larrabee is the codename for a cancelled GPGPU chip that Intel was developing separately from its current line of integrated graphics accelerators. It is named after either Mount Larrabee or Larrabee State Park in Whatcom County, Washington, near the town of Bellingham. The chip was to be released in 2010 as the core of a consumer 3D graphics card, but these plans were cancelled due to delays and disappointing early performance figures.

Hopper (microarchitecture)

Hopper is a graphics processing unit (GPU) microarchitecture developed by Nvidia. It is designed for datacenters and is parallel to Ada Lovelace. Named for computer scientist and United States Navy rear admiral Grace Hopper, the Hopper architecture was leaked in November 2019 and officially revealed in March 2022. It improves upon its predecessors, the Turing and Ampere microarchitectures, featuring a new streaming multiprocessor and a faster memory subsystem. The Nvidia Hopper H100 GPU is implemented using the TSMC 4N process with 80 billion transistors.

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