@inproceedings{a24ace4e9a154d5c93243a71f3971d29,
title = "FPGA based eigenfiltering for real-time portfolio risk analysis",
abstract = "The empirical correlation matrix of asset returns in an investment portfolio has its built-in noise due to market microstructure. This noise is usually eigenfiltered for robust risk analysis and management. Jacobi algorithm (JA) has been a popular eigensolver method due to its stability and efficient implementations. We present a fast FPGA implementation of parallel JA for noise filtering of empirical correlation matrix. Proposed FPGA implementation is compared with CPU and GPU implementations. It is shown that FPGA implementation of eigenfiltering operator in real-time significantly outperforms the others. We expect to see such emerging high performance DSP technologies to be widely used by the financial sector for real-time risk management and other tasks in the coming years.",
author = "Torun, {Mustafa U.} and Onur Yilmaz and Akansu, {Ali N.}",
year = "2013",
month = oct,
day = "18",
doi = "10.1109/ICASSP.2013.6639370",
language = "English (US)",
isbn = "9781479903566",
series = "ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings",
pages = "8727--8731",
booktitle = "2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings",
note = "2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 ; Conference date: 26-05-2013 Through 31-05-2013",
}