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MATLAB's Racing Jacket

Published in Automated Trader Magazine Issue 16 Q1 2010

For those conducting intensive calculations on large data sets, recent advances in GPU computing have been little short of a revelation; no more waiting days for results, or having to invest in your own giant cluster or supercomputer. On that basis, GPU computing seems a natural fit with quants’ favourite MATLAB, which probably explains why the people at Accelereyes dreamt up their Jacket application for GPU-enabling MATLAB. Andy Webb takes it for a gallop round the Automated Trader track.

Anyone opening Automated Trader for the first time wouldn't take long to realise that our readers spend quite a lot of their time thinking about speed, which means that we all spend a corresponding amount of time writing about it. Until now, much of our focus has been on speed at the point of trade execution; fastest connectivity, colocation, in-processor-cache matching engines - and so on. We haven't expended so many words on speeding up offline calculations, such as the severe number

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