GPU-computing in econophysics and statistical physics

Abstract

A recent trend in computer science and related fields is general purpose computing on graphics processing units (GPUs), which can yield impressive performance. With multiple cores connected by high memory bandwidth, today’s GPUs offer resources for non-graphics parallel processing. This article provides a brief introduction into the field of GPU computing and includes examples. In particular computationally expensive analyses employed in financial market context are coded on a graphics card architecture which leads to a significant reduction of computing time. In order to demonstrate the wide range of possible applications, a standard model in statistical physics – the Ising model – is ported to a graphics card architecture as well, resulting in large speedup values.