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Functional High Performance Financial IT

Jost Berthold, Andrzej Filinski, Fritz Henglein, Ken Friis Larsen, Mogens Steffensen, Brian Vinter
Department of Computer Science (DIKU), University of Copenhagen, Denmark
Trends in Functional Programming (TFP’11) – Revised Selected Papers. LNCS (to appear), Springer, 2011

@article{berthold2011functional,

   title={Functional High Performance Financial IT},

   author={Berthold, J. and Filinski, A. and Henglein, F. and Larsen, K.F. and Steffensen, M. and Vinter, B.},

   year={2011}

}

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The world of finance faces the computational performance challenge of massively expanding data volumes, extreme response time requirements, and compute-intensive complex (risk) analyses. Simultaneously, new international regulatory rules require considerably more transparency and external auditability of financial institutions, including their software systems. To top it off, increased product variety and customisation necessitates shorter software development cycles and higher development productivity. In this paper, we report about Hiperfit, a recently etablished strategic research center at the University of Copenhagen that attacks this triple challenge of increased performance, transparency and productivity in the financial sector by a novel integration of financial mathematics, domain-specific language technology, parallel functional programming, and emerging massively parallel hardware. Hiperfit seeks to contribute to effective high-performance modelling by domain specialists, and to functional programming on highly parallel computer architectures in particular, by pursuing a research trajectory informed by the application domain of finance, but without limiting its research scope, generality, or applicablity, to finance. Research in Hiperfit draws on and aims at producing new research in its different scientific fields, and it fosters synergies between them to deliver showcases of modern language technology and advanced functional methods with the potential for disruptive impact on an area of increasing societal importance.
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