JP Morgan has gone live with a supercomputer for fixed-income trading operations.
The investment bank is using a Maxeler dataflow supercomputer for analysing and profiling intra-day trading risk.
Maxler uses field programmable gate array (FPGA) chips rather than a traditional CPU architecture. FPGAs can be reconfigured with electric signals once they have left the factory. This effectively allows them to be rewired to run specific tasks at high speed.
The Maxeler supercomputer allows the investment bank to assess tens of thousands of possible market scenarios. The machine is being used for constant analysis of the time path and structure of the associated risk. This means complex scenarios can now be calculated in a few minutes rather than hours, according to Maxler.
Peter Cherasia, head of markets strategies at JP Morgan, commented: "With the new Maxeler technology, JP Morgan’s trading businesses can now compute orders of magnitude more quickly, making it possible to improve our understanding and control of the profile of our complex trading risk."
As part of the deal, JP Morgan has ordered a second supercomputer for use in other parts of the fixed-income business at the bank. This new dataflow supercomputer will be equivalent to over 12,000 conventional x86 cores, providing 128 Teraflops of performance.