The Windows HPC team has just made public their Computational Finance Pilot where they are enabling execution of computational fiance models for university courses – there is a good paper on the implementation. It would be good to see if the same type of implementation could be used for offering up science based services. The pilot brings is comprised of the following components:
- Computing Resources – A 64-node\256-core compute cluster with 5 TB storage and a low latency interconnect
- Central Market Dataset – Historical market data including 5 years of intraday equity tick data for the S&P 500, daily and fundamental data for 10,000 stocks and mortgage backed securities pool data
- Microsoft® Office SharePoint® Server 2007 Web Portal – A Microsoft Office SharePoint Server 2007 portal to publish, browse and monitor models
- Excel® HPC Task Pane – A Microsoft Excel 2007 user interface for model input and results
- Model Execution Status Notifications – Model execution workflow with status email notifications
The Microsoft HPC++ CompFin Lab integrates Microsoft HPC Server, a central market data database and Microsoft productivity products to provide university courses and research with an online service to publish, execute and manage computational finance models. Read more about it on our home page located here.