The $10 Hedge Fund Supercomputer That’s Sweeping Wall Street

http://www.bloomberg.com/news/articles/2015-05-20/the-10-hedge-fund-supercomputer-that-s-sweeping-wall-street

by gk1 • 11 years ago

107 73 11 years ago

bloomberg.com

carsongross• 11 years ago

LTCM wasn't a warning, it was prophesy.

adultSwim• 11 years ago

A prophesy which became manifest a few years back.

wjnc3• 11 years ago

The gap that firms are trying to bridge is _huge_. I work in finance (slow finance: insurance), but finance technical enough to have our own PhD-level quants building code. They are running simulations taking hours, so scaling up on # cores would seem the first step to take. But it's not that the quants don't know parallelization, it's the IT-architecture not allowing to use AWS at all. And well, many cores on your own premises is hugely expensive because they are idle most of the time. And as a sidestep, most quants are not the first you think of to woo architectures' support. (This is probably easier for firms that trade for own profit.)

Point being: improvements in AI / machine learning and other statistical techniques are huge, and analytical demand exists, but 'old corporations' need cultural change before they can start working with and embedding startup-like technology in their workflows.

mcguire2• 11 years ago

This is pretty common outside finance as well. "We can't let our data touch any one else's network!" And, of course, we can't bother to get our IT group on the smarts wagon, so we're massively inefficient all the way around.

Someone1234• 11 years ago

I'm playing devil's advocate a little: There are sometimes legitimate legal hurdles to having your data hit external networks. For example, if you're a medical insurance company, then you have to get everything HIPAA legal.

the84722• 11 years ago

"We can't let our data touch any one else's network!"

In some industries that can be necessary if you want to stick to the letter of the law, especially here in europe.

You can outsource the processing, but then your provider has to meet fairly stringent certifications, you have the necessary "submitting to 3rd parties for purpose-specific processing" disclaimers in your privacy policies and a signed data processing agreement covering personal data compatible with national laws, which vary between countries.

The microsoft ireland email case[1] also made some data protection ombudsmen suggest that the whole safe harbor deal with US companies should be considered null and void because they cannot effectively guarantee the safety of your data, even more so given the threat of national security letters + gag orders. And without that deal you can't use their cloud solutions for sensitive data.

Personally identifying data has pretty high hurdles. Medical data (which might be processed by insurances?) raises even higher bars.

vosper• 11 years ago

Yeah. The company I work for was acquired by a big player in the industry, and one of the first things they wanted to do was move us off AWS, because the COO sees Amazon as a competitor and thinks that they'll go snooping in our databases to get a competitive advantage [1]. We managed to stave it off by coming up with a vague plan for how we'd move critical infrastructure to hardware, then shelving it indefinitely.

AWS was (and is) critical to our velocity - unlike every other team in the company, we don't wait 6 weeks to start working on something while IT eventually gets around to writing a hardware purchase order and racking the gear. We don't compete for "the staging environment" because we can have as many environments as we want.

[1] This is a ludicrous idea. My two main rebuttals are:

- AWS takes in more revenue than our company, and they would destroy that business if it ever got out that their engineers were snooping in customer data

- Netflix is a much more direct competitor than we are (they compete with Amazon Video) and also a much heavier user of (and cheerleader for, even) AWS

hinkley• 11 years ago

I really love it when I have to head up a project that costs the company $100-250,000 in developer time and the only reason we have to do it is that we can't get the business to buy us another $10,000 in hardware.

Actually I lied. What I really love is when one customer threatens to walk if they have to buy a $3000 machine to run our new version, and the whole team spends 1-2 months doing nothing but trying to keep that account. When we could just gift them a server and save ourselves a mountain of grief and a ton of development resources for, you know, landing new accounts.

If someone could start teaching basic math in business school, that would make me so happy.

raverbashing2• 11 years ago

Of course, why have them pay a couple thousand dollars for an AWS installation when they can buy a "corporate solution" for "3 zeroes more"

saganus2• 11 years ago

One totally uninformed question:

Do you think this could be solved with stacks of Parallela boards?

Just curious, because that's kind of like the target market for the boards right? Cheap , multi-core processing?

wjnc3• 11 years ago

Technically: sure. But I think you are touching some different skill sets going on a continuum from (1) 'sequential simulations on regular machine' to (2) 'parallel simulation on very high end, regular machine', all the way to (3) 'massively parallel on non-regular machine'. From (1) to (2) you can manage with existing staff and limited time. From (2) to (3) is quite the change in mindset, training et cetera.

jacquesm• 11 years ago

I'd look at checking if a GPU is a good match for the problem before thinking of even more exotic solutions.

virmundi2• 11 years ago

So could you take a page from Pixar or Seti and use company laptops while they're idle? Even if it was just on the quants laptops, it could help out. There would be no PO for the hardware. Shouldn't take to long to set up a simple system, but that could be the over optimistic American in me.

jdboyd• 11 years ago

Where does Pixar say they use company laptops while they are idle?

tdees406• 11 years ago

Confirmed. I'm in insurance too - variable annuities specifically - and it's the most perfect problem for parallelization. In practice everyone maintains their own in-house grid (which is massively expensive and idle 90% of the time), and the technical staff lacks any serious chops to tackle GPUs. In practice the only way we've found to solve this is to go around corporate IT, so we do things like buying GPU cards and jamming them into boxes ourselves.

ethbro2• 11 years ago

As someone related to the field, I see a fundamental lack of quality in in-house IT when faced with problems of this magnitude. Which isn't unreasonable.

IT evolved to be able to provision systems and roll out approved software. Maybe there's a development team or two to develop in-house extensions or software (though always viewed as a cost center).

Therefore, the department the organization's rules are set up to funnel you through is simultaneously incapable of fulfilling this need.

In practice, this leads to a ton of business specialty + devOps types from anyone who can hack Python in order to Get Stuff Done.

(For those of you that don't deal with 1,000+ headcount organizations, be thankful ;) )

vasilipupkin• 11 years ago

why do you guys keep it idle 90% of the time? can't you run more finer grained sims on it all the time, or nearly all the time ?

acconrad• 11 years ago

Sorry I'm very unfamiliar with this - what about variable annuities requires GPU power?

GFK_of_xmaspast• 11 years ago

If most of your cores are idle most of the time, you need to be doing things like searching bigger state spaces.

mseebach• 11 years ago

IT shops are inherently conservative, that's their job.

The trick is to get the higher-ups interested - they have the power to redirect IT, and are inherently (if laggingly) interested in making employees as effective as possible.

Funnily enough, a fluff-piece in Bloomberg is a pretty good way of achieving it. Tomorrow, some manager will pop into a quant's office with this article in his hand and ask "Are you doing this? Why not?" and that's how the ball gets rolling on opening up.

Once upon a time, getting remote access to email was a "this will never happen", then an executive saw someone with a BlackBerry at the golf club. Once upon a time, getting email access on anything other than a BlackBerry was a "this will never happen", then an executive saw someone with an iPhone.

Florin_Andrei• 11 years ago

IT-architecture not allowing to use AWS at all

IPSec all traffic, including internal traffic between instances? Encrypt all volumes with keys not written anywhere within the cloud? That should do it, no?

mariusandreiana• 11 years ago

Unrelated: Salut Florin, cred ca ne stim de pe RLUG. Veneam pe la tine in Drumul Taberei sa facem chestii pe linux. Daca vrei sa mai keep in touch, am adresa in profil. Numai bine!

PublicEnemy111• 11 years ago

Is it common to use prop trading strategies for trading a personal portfolio? Or do quants almost exclusively work at hedge funds

tdees406• 11 years ago

I've never met a quant trader trading for their own account. It requires some infrastructure that would be hard to justify unless you have lots of money to invest, and you're really good at it.

Bostonian• 11 years ago

It is common for successful quant traders to be partners (have equity) in their firms, which means they are "trading for their own account" to some extent.

ddeck4• 11 years ago

Definitely not common, but I run my own quant strategies for my own portfolio on a fully automated basis and have done so for several years.

Every other quant develper/trader I've met works at a fund or sell-side firm.

xedarius2• 11 years ago

Would you mind detailing the platform/portal that you use?

bra-ket• 11 years ago

Ufora DSL: http://kb.ufora.com/index/language/documentation.html

DominoDataLab2• 11 years ago

Hi guys, I'm a founder at Domino Data Lab (one of the other companies mentioned in the article). I'm happy to answer questions anyone has. I can also corroborate the opinions in the thread here: many of our customers are in finance and insurance, and many of them don't want data leaving their networks at all (hence the need for an on-prem offering).

walterbell• 11 years ago

Is the on-prem offering a combination of "OSS private cloud" and a proprietary analytics / machine learning API?

DominoDataLab2• 11 years ago

We don't offer a proprietary ML library or API -- we run arbitrary user code, whatever languages and packages you want to use (Python, R, h2o, dato, compiled C++, etc.). The infrastructure piece is like a private cloud, yes.

CyberDildonics2• 11 years ago

I've always been confused as to what takes a long time to calculate in finance. What are the common difficult problems that aren't getting solved?

gourneau• 11 years ago

Sensai which is mentioned in the article is hiring Java AI/NLP folks in Palo Alto http://sensai.workable.com/jobs/19235 The CTO Monica Anderson also runs the bay area AI meetup group

jchrisa• 11 years ago

2006 called, they want their technology back.

bd_at_rivenhill• 11 years ago

I've met some of the guys from Ufora and seen a demo of their technology; very impressive. I've always been leery of the claim that you can create smart software to make the problems of writing parallel code magically disappear, but what they've done has made me rethink some beliefs related to working with big data at scale. Definitely a company to keep an eye on.

sbenario3• 11 years ago

Glad to hear you like it! We think it's pretty cool ourselves :-)

sbenario3• 11 years ago

PM @ Ufora here. Happy to answer any questions you might have!

The $10 Hedge Fund Supercomputer That’s Sweeping Wall Street

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