03/05/2011: GPU-computing in econophysics and statistical physics

GPU-computing in econophysics and statistical physics

  May 3, 2011, 13:00 -14:00, CAB H52, ETH Zurich

Dr. rer. nat. Tobias Preis

Chair of Sociology, in particular of Modeling and Simulation, ETH Zurich
A recent trend in computer science and related fields is general purpose computing on graphics processing units (GPUs), which can yield impressive performance. With multiple cores connected by high memory bandwidth, today’s GPUs offer resources for non-graphics parallel processing. This talk provides a brief introduction into the field of GPU computing. In particular computationally expensive analyses employed in financial market context are coded on a graphics card architecture which leads to a significant reduction of computing time [1,2]. In order to demonstrate the wide range of possible applications, a standard model in statistical physics – the Ising model – is ported to a graphics card architecture as well, resulting in large speedup values [3].

[1] Tobias Preis, GPU-computing in econophysics and statistical physics, European Physical Journal Special Topics 194, 87-119 (2011)
[2] Tobias Preis, Peter Virnau, Wolfgang Paul, and Johannes J. Schneider, Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets, New Journal of Physics 11, 093024 (2009)
[3] Benjamin Block, Peter Virnau, and Tobias Preis, Multi-GPU accelerated multi-spin Monte Carlo simulations of the 2D Ising model, Computer Physics Communications 181, 1549-1556 (2010)