Financial Quantitative Big Data Platform Based on High Performance Computing
Yongze Sun, Zhonghua Lu · 2019
A big data platform to for financial quantitative data is designed and implemented on HPC system. Key technologies including data storage mechanism and distributed computing framework are resolved. Based on the platform, several important feature for financial quantitative strategy research is developed, which are indicator computing, large scale backtest and distributed hyperparameter tuning. Tests shows that the platform can achieve much higher performance than single PC program, and can be used to design strategy base on large scale financial data.