Imperial College London
Professor Wayne Luk

ProfessorWayneLuk

Faculty of Engineering, Department of Computing

Professor of Computer Engineering
 
 
 
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Contact

 

+44 (0)20 7594 8313w.luk Website

 
 
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Location

 

434Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inproceedings{Funie:2017:10.1007/978-3-319-56258-2_14,
author = {Funie, AI and Guo, L and Niu, X and Luk, W and Salmon, M},
doi = {10.1007/978-3-319-56258-2_14},
pages = {154--167},
publisher = {Springer},
title = {Custom framework for run-time trading strategies},
url = {http://dx.doi.org/10.1007/978-3-319-56258-2_14},
year = {2017}
}
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RIS format (EndNote, RefMan)

TY  - CPAPER
AB  - A trading strategy is generally optimised for a given market regime. If it takes too long to switch from one trading strategy to another, then a sub-optimal trading strategy may be adopted. This paper proposes the first FPGA-based framework which supports multiple trend-following trading strategies to obtain accurate market characterisation for various financial market regimes. The framework contains a trading strategy kernel library covering a number of well-known trend-following strategies, such as “triple moving average”. Three types of design are targeted: a static reconfiguration trading strategy (SRTS), a full reconfiguration trading strategy (FRTS), and a partial reconfiguration trading strategy (PRTS). Our approach is evaluated using both synthetic and historical market data. Compared to a fully optimised CPU implementation, the SRTS design achieves 11 times speedup, the FRTS design achieves 2 times speedup, while the PRTS design achieves 7 times speedup. The FRTS and PRTS designs also reduce the amount of resources used on chip by 29% and 15% respectively, when compared to the SRTS design.
AU  - Funie,AI
AU  - Guo,L
AU  - Niu,X
AU  - Luk,W
AU  - Salmon,M
DO  - 10.1007/978-3-319-56258-2_14
EP  - 167
PB  - Springer
PY  - 2017///
SN  - 0302-9743
SP  - 154
TI  - Custom framework for run-time trading strategies
UR  - http://dx.doi.org/10.1007/978-3-319-56258-2_14
UR  - http://hdl.handle.net/10044/1/50983
ER  -
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