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FPGA Implementation of Pseudo Random Number Generators for Monte Carlo Methods in Quantitative Finance

Authors: Simon Banks; Philip Beadling; Andras Ferencz;

FPGA Implementation of Pseudo Random Number Generators for Monte Carlo Methods in Quantitative Finance

Abstract

FPGA based implementations of two classes of pseudo random number(PRN) generator, intended for use in Monte Carlo methods for finance, are presented. FPGA implementations potentially offer reduced cost and improved performance compared to general purpose processor (GPP) systems such as PCs or mainframes. The first class of PRN generator, which includes the mersenne twister, uses generalized feedback shift registers (GFSRs). The second class is based on multiplication of fixed precision integers (with overflow). In both cases we compare a high quality generator and a generator with minimal resource usage. Comparisons of FPGA resource usage, data throughput and the quality of the generated series are given with a view to applications in high performance computing (HPC) for computational finance. The two classes of generator are shown to be complementary in their use of FPGA resources.

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    influence
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    impulse
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Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
13
Top 10%
Top 10%
Average
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