Details
Poster
Presenter(s)
![Shuang Liang Headshot](https://confcats-catavault.s3.amazonaws.com/CATAVault/ieeecass/master/files/styles/cc_user_photo/s3/user-pictures/17701.jpg?h=4024e24e&itok=GSU_-xmK)
Display Name
Shuang Liang
- Affiliation
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AffiliationNanjing University
- Country
Abstract
Pairs trading consists of two stages: pairs selection and trading based on the selected stock pairs. The first stage is the key to higher returns. Among existing pairs selection methods, pairs trading based on Engle-Granger cointegration has been proven to be superior. However, the cointegration approach is computationally expensive and brings high latency which may greatly affect the returns. We drastically simplify the Engle-Granger cointegration algorithm, and propose a hardware accelerator for the modified algorithm. In the experiment of selecting stocks of length 5000, our hardware design is more than 1290× faster than CPU and 190× faster than GPU.