Teaching Computational Finance on a hosted Windows HPC Cluster with 5years of Central Market S&P 500 tick data

Computational finance courses have free access to a Microsoft hosted HPC Cluster with 5 years-worth of ticker data for S&P 500 stocks available in a central market data database for modeling and analysis. For course/curriculum use, educators can upload the models and students can browse and monitor the model. Since the modeling and analysis is hosted on the Microsoft provided HPC cluster, there is no installation/configuration overhead for the School and all students can access the application and run in a powerful environment that enables extensive modeling and analysis in the familiar Excel interface.

Thus with minimal effort, an educator can upload a financial application that leverages existing S&P 500 tick data and a large student user base can use the application for learning coin the computational finance arena. The Microsoft HPC++ CompFin Lab at http://labs.microsofthpc.net/ integrates Microsoft Windows HPC Server, a central market data database and Microsoft productivity products to provide university courses with an online service to publish, execute and manage computational finance models.

  • The computational resources provided include : a 256 core/64 node compute cluster, 5TB disk space and low latency interconnect.

  • The user experience includes a sharepoint site (for each university) to manage for their class – use the sharepoint portal to publish, browse and monitor models. Excel 2007 is the modeling interface and the model execution workflow included status email notifications.

  • The Central Market database has 5year tick data for S&P 500, including Daily and fundamental data for 10,000 stocks, and Mortgage backed securities pool data.

The Microsoft HPC++ CompFin Lab is targeted for university courseware and research. Professors can publish models to their students who can execute the models and analyze results from any Internet connection. Get more information at http://labs.microsofthpc.net/