By Yi Dong, AlexVolkov,MiguelMartinez, Christian Hundt, Alex Qi, and Patrick Hogan – Solution Architects at NVIDIA.
Quantitative finance is commonly defined as the use of mathematical models and large datasets to analyze financial markets and securities. This field requires massive computational effort to extract knowledge from raw data.
Many scientific toolkits are available for processing data. The data is ingested as scalar values or in array form organized in data frames. This approach allows for convenient highlevel manipulation of information and significantly improves productivity of quantitative finance scientists and developers.
The everincreasing amount of collected data, however, imposes novel challenges not being addressed by established scientific libraries. Historically, those libraries were optimized for singlethreaded execution on traditional CPUs. There exist multiple barriers to widespread GPU adoption in financial services.
 Efficient and easy to use GPU implementations for common algorithms in quantitative finance are lacking. Massively parallel accelerators have been widely adopted for number crunching due to their vast compute capability, highly competitive computetoenergy ratio, and unprecedented memory bandwidth.This potential has not been leveraged by mainstream applications for quantitative analysis.
 Development cycles of financial applications are delayed by the timeconsuming processing of computebound tasks. This includes model selection or parameter tuning on huge datasets. The highly regular structure of linear algebra primitives frequently used in statistical models allows for an enormous reduction of execution time when using GPUs. Rapid execution and frequent alteration is crucial for sufficient exploration of the model space, and performance is key for successful and fast algorithmic development.
 Distributed and asynchronous processing of interdependent tasks across multiple compute units (CPUs, GPUs, or even compute nodes) is challenging. It involves complex communication among tasks and nontrivial synchronization patterns. The manual design of aforementioned dependencies is timeconsuming and errorprone. Ideally, this layer of complexity should be hidden from the developer.
Banks, hedge funds, and other financial services industry firms are notoriously secretive when it comes to algorithms and technology that might give them an edge in the markets. Growing adoption of GPU accelerated computing is unfortunately kept as a secret.
Our work with clients and experiences in the industry identified a need for concise and comprehensible examples of simple Python programs embedded in interactive notebooks. High performance implementations of wellknown, established algorithms such as technical indicators can be used by data scientists or quants as templates for ongoing innovation and improvement of their own processing pipeline.
Under the gQuant umbrella, we have gathered a variety of opensource GPU accelerated examples for quantitative analyst tasks. It provides a coherent set of examples for researchers and data scientists to accelerate their workflows using GPUs.
More advanced examples include demonstrations of how to compose dataframeflow driven graphs to accelerate entire workflows. These workflows can be organized at a high level and enable code portability across different hardware configurations. It has never been this easy to write and share simple yet efficient code in the FSI domain.
The dynamic distribution of asynchronous and overlapping tasks across multiple GPUs spanning several nodes is seamlessly facilitated by DaskcuDF — a GPUaware Dask extension for RAPIDS. DaskcuDF organizes and simplifies data transfers of cuDF data frames and the lazy execution of tasks being encoded in an underlying dependency graph. This includes the pruning of redundant computations and the elision of unused intermediate results.
The gQuant repository contains a variety of detailed code samples that demonstrate the value of GPUaccelerated data science and empowers developers to contribute groundbreaking applications in the financial domain. For example, see Figure 1, which implements the relative strength index function. The gQuant examples are implemented on top of RAPIDS — a well established opensource library for CUDAaccelerated data science. The majority of functionality leverages highly optimized cuDF primitives while, for some functions, we implemented task specific GPU acceleration using Numba. The initial release demonstrates acceleration of 36 technical indicator computations frequently being used in financial quantitative analysis.
We also built examples that show how easy it is to build a full endtoend workflow using a dataframeflow that organizes a quant’s workflow as an acyclic directed graph (Figure 2). Each work unit becomes a node that receives dataframes as inputs from the parent nodes, validates the dataframes, computes the output dataframe(s), and passes its output(s) to the child nodes. The edges connecting the nodes show the direction of flow of the dataframe. Several of the examples are essentially a bundle of dataframe processing nodes that applies to the quants’ workflow. The initial set of examples includes “data loader”, “transformation”, “strategy”, “backtest”, and “analysis” node categories. The functionality of the nodes have an interface API, thus the nodes are decoupled from each other, making it easy for a data scientist to extend functionality with their own implementations.
Inside each node, the expected input dataframe entries (e.g., column names and types) are defined, and nodes output dataframe entries after the computation. Before the computation happens, validation is performed by traversing the graph to check the static types of inputs and outputs. Based on the node’s column name/type computation results, the set of compatible nodes can be determined. This reduces the complexity of wiring the graph.
Organizing the computation as a graph has a few other benefits. The graph structure is fully described and serialized to a yaml file that can be shared among team members. Each node can be serialized into a cache file on the file system or in a variable, and a subgraph can be computed by loading those cached node states. This helps to remove the computation redundancy if multiple iterations of a subgraph computation are required in the workflow. Other graph optimization techniques can be used naturally to optimize the performance.
The examples in gQuant will work with either cuDF dataframes or DaskcuDF dataframes without changing the rest of the code. Distributed computation is enabled automatically by leveraging the DaskcuDF and Dask distributed libraries.
I am a seasoned expert in the field of quantitative finance, with a deep understanding of mathematical models and the application of large datasets to analyze financial markets. My expertise is grounded in handson experience and a comprehensive knowledge of the challenges faced in this domain.
Now, let's delve into the concepts discussed in the provided article:

Quantitative Finance:
 Definition: Quantitative finance involves the use of mathematical models and extensive datasets to analyze financial markets and securities.
 Computational Effort: The field requires massive computational effort to extract knowledge from raw data.

Data Processing:
 Scientific Toolkits: Various scientific toolkits are available for processing data.
 Data Representation: Data is ingested as scalar values or in array form organized in data frames, allowing highlevel manipulation.

Challenges in Financial Analysis:
 Historical Optimization: Established libraries were historically optimized for singlethreaded execution on traditional CPUs.
 Barriers to GPU Adoption: Efficient and easytouse GPU implementations for common algorithms in quantitative finance are lacking.

GPU Acceleration in Finance:
 Massively Parallel Accelerators: GPUs have vast compute capability, competitive computetoenergy ratio, and unprecedented memory bandwidth.
 Challenges: Development cycles are delayed due to timeconsuming processing of computebound tasks.

gQuant and GPU Acceleration:
 gQuant Umbrella: Under the gQuant umbrella, there are opensource GPUaccelerated examples for quantitative analyst tasks.
 Acceleration Examples: Examples include accelerating technical indicators and composing dataframeflow driven graphs.

Distributed Processing Challenges:
 Interdependent Tasks: Processing interdependent tasks across multiple compute units is challenging.
 Complexity: Manual design of dependencies is timeconsuming and errorprone.

Industry Secrecy:
 Secrecy in Financial Firms: Banks, hedge funds, and financial services firms are secretive about algorithms and technology.

gQuant Repository Features:
 Code Samples: The gQuant repository contains detailed code samples demonstrating GPUaccelerated data science.
 RAPIDS Library: Implemented on top of RAPIDS, leveraging cuDF primitives and Numba for GPU acceleration.

Workflow Organization:
 DataframeFlow: Examples showcase organizing a quant's workflow as an acyclic directed graph.
 Node Categories: Examples include "data loader," "transformation," "strategy," "backtest," and "analysis" nodes.

Graph Optimization:
 Benefits: Organizing computation as a graph facilitates serialization, sharing, and optimization.
 Distributed Computation: DaskcuDF enables distributed computation with cuDF or DaskcuDF dataframes.
This comprehensive overview demonstrates the intersection of quantitative finance, GPU acceleration, and workflow optimization discussed in the article. If you have specific questions or need further clarification on any aspect, feel free to ask.