Wednesday, 20 July 2016

Call for Papers:Ninth Workshop on High Performance Computational Finance (WHPCF 2016)

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WHPCF 2016: Ninth Workshop on High Performance Computational Finance

Friday, November 18th, 2016
Salt Lake City, Utah

Held in conjunction with "SC16"

Important Dates

Submission deadline: August 15th, 11:59 EDT
Author notification: September 12th
Final version due: October 3rd

Call For Papers

The purpose of this workshop is to bring together practitioners, researchers, vendors, and scholars from the complementary fields of computational finance and high performance computing, in order to promote an exchange of ideas, discuss future collaborations and develop new research directions. Financial companies increasingly rely on high performance computers to analyze high volumes of financial data, automatically execute trades, and manage risk. 

As financial market data continues to grow in volume and complexity, computational capabilities of emerging hardware also increases. Extracting high performance from emerging architectures requires a combination of domain knowledge and specialized technical skills. The workshop will explore how researchers, scholars, vendors and practitioners are collaborating to address high performance computing research challenges.

We have peer-reviewed paper submissions that cover various aspects of computational finance. In addition to submissions that deal with performance and programmability challenges, theoretical analysis, algorithms, and practical experience in computational finance, we have focussed on submissions that demonstrate or result from the collaboration between financial practitioners, and academics, researchers, or vendors.

For 2016, we are particularly interested in submissions addressing the following emerging topics in high performance computational finance:
· High performance machine learning for financial trading
· Use of the FPGAs for high frequency trading
· XVA pricing
· Adjoint algorithmic differentiation (AAD)
· Many-core implementation of derivative pricing, calibration, risk management
· Use of high performance Python and R

Additional topics of interest to this workshop include, but are not restricted to:
· Use of accelerator platforms for stream processing
· Fast algorithms for algorithmic trading and high frequency risk management
· Scalable in-memory data processing platforms for large-scale computations
· Software infrastructure for high performance and high productivity
· Use of parallel design patterns for mapping of applications to parallel hardware
· Financial libraries and run-times
· Use of accelerator platforms for stream processing
· Use of heterogeneous hardware in computational finance
· Financial applications of high performance computing: risk algorithms, derivative pricing, algorithmic trading, arbitrage
· High-bandwidth/low-latency streaming of market data
· Cluster computing for computational finance
· Financial data center engineering
· Computational algorithms for finance
· Move from capacity to capability computing in financial applications

Author Instructions

Submitted papers must be no more than 8 pages in length. The camera ready version of accepted papers must be in
ACM Proceedings format ( .
Each submission will receive at least three reviews from the technical program committee and authors of selected submissions will have 30 minutes to present their work at the workshop.
Papers should be submitted in electronic form to

Program Committee

John Ashley, NVIDIA Corp
Michael Creel, Universitat Autònoma de Barcelona
Dirk Eddelbuettel, Ketchum Trading
Mike Giles, Oxford University
Juho Kanniainen, Tampere University of Technology
Hicham Lahlou, Xcelerit
Peter Lankford, STAC
John Lockwood, AlgoLogix
Pat Miller, Jump Trading
Uwe Naumann, RWTH Aachen
Cornelis W. Oosterlee, CWI
Brian Peterson, DV Trading
José Antonio García Rodríguez, Universidade da Coruña
Jason Sewall, Intel Corporation
Brad Spiers, Micron
Jacques Du Toit, NAG
Muhammad Zubair, Old Dominion University

Steering Committee

Matthew Dixon, Illinois Institute of Technology
Jose Moreira, IBM Thomas J. Watson Research Center
Shih-Hau Tan, University of Greenwich

José E. Moreira
Research Staff Member
Future POWER Systems Concept Team
IBM Thomas J. Watson Research Center
Yorktown Heights NY 10598-0218
phone: 1-914-945-1709, fax: 1-914-945-4425


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