Finance and Insurance High-Performance Computing Laboratory

HEC Montréal, Montréal, Québec
What the facility does

Ultra-high-performance infrastructure required for rapid computations with large databases

Area(s) of Expertise

Among other initiatives, CFI funding has enabled the acquisition of a new high-frequency database from the Frankfurt Stock Exchange, used to analyse intraday financial market transactions. A new software (Xetra Parser) has been developed to process this huge database. A new database from the New York Stock Exchange was also purchased.

The project was motivated by stock market liquidity and information problems experienced since the recent financial crisis. Utilization of this type of data is highly complex, as the data cover all transactions performed on an ongoing basis. The format and size of the sample obtained from the Xetra platform (Frankfurt)  meant that use of the data in their initial form was impossible.

The new software (Xetra Parser) is the main component of a process that begins with the conversion of the binary files supplied by Xetra into text files. The 2017 funding will allow the analysis of arbitrage between Canadian, American and European exchanges in an environment of very high frequency transactions (nano seconds).

Research Services

Computer servers, financial and insurance databases, developed software such as Xetra Parser

Sectors of Application
  • Financial services and insurance

Name of specialized lab

Name of equipment

Description of function

High-performance computing laboratory

(Site 1)

Software:

  • SAS
  • MatLab licence

 

 

Hardware:

  • 36-port, 40-G InfiniBand network
  • Sun Fire X4170 [16] and support
  • X4275x64 server [1] and support
  • 2.80-GHz Intel i7-860 workstation PCs [12]
  • APC Basic Rack PDU [2]
  • 6 precision 5820 rpm XCTO base (210-ANJK)
  • 1 GPU-IntelI7-7800X-128 GB DDR4 2400 Mhz server

Access to Compute Canada’s high-performance computing resources.

High-performance computing laboratory

(Site 2)

  • IBM Storage Add-On (SAN)
  • 1 Think System SR650 12C 128 GB RAM 30TB SAS RAID6 server
  • 1 Think System SR630 server
  • 2 x 24C 2.7 GHz 1TB RAM
 

High-performance computing laboratory

(Site 3)

  • 3 precision 5820 rpm XCTO base (210-ANJK)
 
  • Société de l’assurance automobile du Québec
  • National Bank of Canada
  • Intact Insurance