PIPPS bear fruit
Wed 17 Dec 2008
GridPP has always been happy to support more than just the work being done for the LHC and is particularly interested in knowledge transfer, working with small and medium enterprises to help prototype their work on the Grid. One of the most recent examples of one of these partnerships was with Econophyisca and their final review has just been submitted.
Econophysica is an SME working with researchers at Queen Mary, University of London looking at mathematical models for commodity trading. The work with GridPP received over £40,000 to look in to the feasibility of their algorithmic trading platform being deployed on the Grid. The money came from STFC as part of their Industry Programme Support Scheme (PIPPS) scheme.
The model the company uses to trade is to predetermine the size of a buy or sell order but let the programme decide how to execute the order, i.e. when is the best time and what size of individual orders to use. There are two main factors which influence the usefulness of this type of trading, the algorithms used and execution time for these algorithms. Having previously developed the algorithms Econophysica wanted to getting the models crunched on the Grid to speed up execution time.
Lasting a year the PIPPS project was a success with Econophysica's financial computational algorithms being adopted for Grid computing creating significant speed improvements. Also the work has attracted the attention of at least one major international financial institution who are interested in developing the work further. Econophysica gained extensive knowledge of Grid technology and has started incorporating Grid ideas into some of its other research.
More information on STFC's PIPPS awards can be found at:
http://www.scitech.ac.uk/KE/FOpp/PIPSS/Contents.aspx
More information on Econophysica can be found here:
http://www.econophysica.com/
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