15630

GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model

Tetsuya Takaishi
Hiroshima University of Economics, Hiroshima 731-0192, Japan
arXiv:1603.08114 [q-fin.CP], (26 Mar 2016)
@article{takaishi2016computing,

   title={GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model},

   author={Takaishi, Tetsuya},

   year={2016},

   month={mar},

   archivePrefix={"arXiv"},

   primaryClass={q-fin.CP}

}

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The realized stochastic volatility (RSV) model that utilizes the realized volatility as additional information has been proposed to infer volatility of financial time series. We consider the Bayesian inference of the RSV model by the Hybrid Monte Carlo (HMC) algorithm. The HMC algorithm can be parallelized and thus performed on the GPU for speedup. The GPU code is developed with CUDA Fortran. We compare the computational time in performing the HMC algorithm on GPU (GTX 760) and CPU (Intel i7-4770 3.4GHz) and find that the GPU can be up to 17 times faster than the CPU. We also code the program with OpenACC and find that appropriate coding can achieve the similar speedup with CUDA Fortran.
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